We provide original results on national and global stock market liquidity and its interaction with macroeconomic variables for six of the G7 economies, namely: Canada, France, Germany, Italy, Japan and UK, building on the methodology and on the USA evidence by Naes et al (2011). Using a number...

Purpose – The purpose of this paper is to test whether the 2007 identification of commonality in liquidity by Galariotis and Giouvris for the UK is robust to different methodological approaches; to find whether commonality is priced; and to identify how changes in trading regimes, hence liquidity...

Purpose: This study Investigates Shareholders' value adjustment in response to financial institutions (FIs) merger announcements in the immediate event window and in the extended event window. This study also investigates accounting measures performance, comparison of post-merger to pre-merger,...

We look into determinants (volatility, crises, sentiment and the U.S. 'fear' index) of herding using BRICS as our sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global financial crisis (only China was affected). There was no...

We examine the impact of oil price and oil price volatility on US illiquidity premiums (return on illiquid-minus-liquid stocks), using the US Oil Fund options implied volatility OVX index. We use daily data from 2007 to 2018, taking into account the structural break in June 2009 and controlling...

Frontier markets have become increasingly investible, providing diversification opportunities; however, there is very little research (with conflicting results) on the relationship between Foreign Exchange (FX) and frontier stock markets. Understanding this relationship is important for both...