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Herding Behavior and Systemic Risk in Global Stock Markets
Vioto, Davide; Tunaru, Radu; Hasan, Iftekhar - 2022
This paper provides new evidence of herding in global equity markets. Using quantile regressions applied to daily data … for 33 countries, we investigate herding during the Eurozone crisis, China's market crash in 2015-2016, and in the … aftermath of the Brexit vote. We find significant evidence of herding behavior driven by negative tail market conditions for …
Persistent link: https://www.econbiz.de/10013295491
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Dynamic Relations between International Equity and Currency Markets : The Role of Currency Order Flow
Francis, Bill B.; Hunter, Delroy M.; Hasan, Iftekhar - 2004
Previous research on the dynamic linkages between international financial markets focused on bivariate inter-equity or inter-currency relationships and do not allow a specific role for the currency or equity market, respectively. In this paper, we hypothesize that there are important, yet not...
Persistent link: https://www.econbiz.de/10014069928
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In search of concepts: The effects of speculative demand on returns and volume
Gwilym, Owain Ap; Wang, Qvigwei; Hasan, Iftekhar; Xie, Ru - 2013
Using a novel proxy of investors' speculative demand constructed from online search interest in "concept stocks", we examine how speculative demand affects the returns and trading volume of Chinese stock indices. We find that returns and trading volume increase with the contemporaneous...
Persistent link: https://www.econbiz.de/10012148181
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In Search of Concepts : The Effects of Speculative Demand on Returns and Volume
Ap Gwilym, Owain - 2019
Using a novel proxy of investors' speculative demand constructed from online search interest in “concept stocks”, we examine how speculative demand affects the returns and trading volume of Chinese stock indices. We find that returns and trading volume increase with the contemporaneous...
Persistent link: https://www.econbiz.de/10012905637
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In Search of Concepts : The Effects of Speculative Demand on Returns and Volume
Ap Gwilym, Owain - 2013
Using a novel proxy of investors' speculative demand constructed from online search interest in “concept stocks”, we examine how speculative demand affects the returns and trading volume of Chinese stock indices. We find that returns and trading volume increase with the contemporaneous...
Persistent link: https://www.econbiz.de/10013079295
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In Search of Concepts : The Effects of Speculative Demand on Returns and Volume
Ap Gwilym, Owain - 2017
Using a novel proxy of investors' speculative demand constructed from online search interest in "concept stocks", we examine how speculative demand affects the returns and trading volume of Chinese stock indices. We find that returns and trading volume increase with the contemporaneous...
Persistent link: https://www.econbiz.de/10012967719
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In search of concepts: The effects of speculative demand on returns and volume
ap Gwilym, Owain; Wang, Qingwei; Hasan, Iftekhar; Xie, Ru - Suomen Pankki - 2013
Using a novel proxy of investors’ speculative demand constructed from online search interest in “concept stocks”, we examine how speculative demand affects the returns and trading volume of Chinese stock indices. We find that returns and trading volume increase with the contemporaneous...
Persistent link: https://www.econbiz.de/10010691919
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Herding behavior and systemic risk in global stock markets
Hasan, Iftekhar; Tunaru, Radu; Vioto, Davide - In: Journal of empirical finance 73 (2023), pp. 107-133
Persistent link: https://www.econbiz.de/10014477001
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COVID-19 Pandemic and Global Corporate CDS Spreads
Hasan, Iftekhar; Marra, Miriam; To, Thomas Y.; Wu, Eliza; … - 2021
We examine the impact of the COVID-19 pandemic on CDS spreads of companies around the world. We find that the pandemic-induced increases in corporate CDS spreads are concentrated in firms with higher leverage, non-investment-grade rating, lower profitability, and higher stock volatility. Further...
Persistent link: https://www.econbiz.de/10013222396
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The Effects of Antitrust Laws on Horizontal Mergers : International Evidence
Chung, Chune Young; Hasan, Iftekhar; Hwang, Ji Hoon; … - 2023
This study examines how antitrust law adoptions affect horizontal merger and acquisition (M&A) outcomes. Using the staggered introduction of competition laws in 20 countries, we find antitrust regulation decreases acquirers’ five-day cumulative abnormal returns surrounding horizontal merger...
Persistent link: https://www.econbiz.de/10014258460