This paper extends Hong et al. (2007)’s model-free test to analyze the contagion. A simulation experiment reveals that our test has reasonable size and good power in finite sample. We use this test and find the strong evidence of contagion between crude oil and stock markets.

Amid its rapidly increasing usage and immense public interest the subject of Bitcoin has raised profound economic and societal issues. In this paper we undertake economic and econometric modelling of Bitcoin prices. As with many asset classes we show that Bitcoin exhibits speculative bubbles....

We discover mispricing in an apparently transparent market — the European soccer betting market. Efficiency differences between countries are accounted for by variations in league competitiveness. We conclude that barriers to efficiency (e.g., risk evaluation problems) may remain in...

Employing an augmented univariate EGARCH model, we estimate the dynamic impact of information arrival as measured by volume on asymmetric news in the pre and post 2009 global financial crisis in the Athens Stock Exchange (ASE). Our results reveal that trading volume appears to capture a...

This paper analyzes stock-price volatility in the presence of periodically collapsing Evans bubbles. We derive a volatility formula that establishes a link between the bubble component and stock-price volatility. We demonstrate how to fit the volatility equation to stock-market data.

I examine if the 2009 bank stress test conducted by the Federal Reserve conveyed new information to investors. By analyzing bank bond returns, I show that the announcement of the bank stress test results mitigated information asymmetries in US banks.

This paper examines the degree of fragmentation in the Euro overnight unsecured money market during the period June 2008–August 2013 using interbank loans constructed from payments data. After controlling for cross-country differences in bank risk, we document several episodes of significant...

We find that an expansion of credit has a positive effect on per capita output growth only up to a point. Beyond this threshold the impact of finance on growth is not statistically significant anymore. We show, however, that the estimated non-linear relationship may stem from the omission of...

This article tests the linearity assumption underlying the popular heterogeneous autoregressive model for realized volatility (HAR-RV). We implement a consistent model specification test that is robust to both distributional and model misspecification. We find that, using a nonparametric HAR-RV...

This paper tries to shed light on the historical analogies of the current crisis. To that end we compare the current sample distribution of Dow Jones Industrial Average Index returns for a 769-day period (from 15 September 2008, the Lehman Brothers bankruptcy, to 30 September 2011), with all...