This study examines the dynamic relationships among foreign investors' trading behavior, stock returns, and sovereign CDS spread changes in Korea. Our findings show that the stock return (CDS spread change) rises (declines) in response to shocks to net foreign flows into the stock market on the...

This paper examines the degree of market integration, as observed by measuring volatility spillovers, in selected wholesale electricity spot markets from United States. We choose markets located at interconnected and non-interconnected areas. We use a Multivariate GARCH framework, which allows...

This paper studies the effects of the June 2016 United Kingdom European Union membership referendum and the subsequently triggered article 50 on 43 major developed and emerging stock markets. Specifically, on a bivariate basis, we use dependence dynamics through copulas with regime switching of...

Collaboration among academic authors promotes innovation and research productivity and increases the quality of published papers. The aim of this paper is to investigate collaboration and co-authorship in the area of finance, focusing on ten leading journals in the field. We employed social...

In this paper, we estimate the effects of the COVID-19 pandemic on the banking system and the real economy and simulate potential policy responses. We combine machine learning algorithms, namely a Random Regression Forest and a Long Short Term Memory neural network, with an agent-based framework...