This study employs the Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging Asian stock markets during the full sample period, the...

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese stock market of 2015. Regarding return...

This study examines the safe-haven and hedging roles of gold against thirteen Asian stock markets during the COVID-19 outbreak. During the COVID-19 sub-period, gold is shown to be a strong hedge (diversifier) for the majority (minority) of Asian stock markets; it exhibits the property of a...

As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...

The market for cryptocurrencies has experienced extremely turbulent conditions in recent times, and we can clearly identify strong bull and bear market phenomena over the past year. In this paper, we utilise algorithms for detecting turnings points to identify both bull and bear phases in...

This Special Issue publishes high quality papers on contemporary issues in business and economics in Vietnam and other Asian emerging markets. These papers were accepted and presented at the 2019 Vietnam's Business and Economics Research Conference (VBER2019) organized by Ho Chi Minh City Open...

This paper focuses on strategic corporate financial decisions related to capital structure to increased firm value, moderated by the COVID-19 pandemic under MM theory, trade-off theory, and pecking order theory. The analytical method used is panel data analysis, with observations of 1828...

This study focused on increasing firm value through CSR- and profitability-moderated investment decisions in emerging markets. A panel data analysis method was used for this study with a total of 215 observations of non-financial sector companies on the Indonesian Stock Exchange from 2018 to...

This Editorial evaluates 14 invaluable and interesting articles in the Special Issue "Applied Econometrics" for the Journal of Risk and Financial Management (JRFM). The topics covered include recovering historical inflation data from postage stamps prices, FHA loans in foreclosure proceedings...

With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms...