This paper analyzes the existence of flights from stocks to bonds and vice versa. We propose a definition and a test for flight-to-quality, flight-from-quality and cross-asset contagion and examine their characteristics and effects for the financial system. The empirical analysis for eight...

Is gold a hedge against sudden changes in stock and bond returns, or does it instead have a subtly different property, that of being a safe haven? This paper addresses these two interlinked questions. A safe haven is defined as a security that is uncorrelated with stocks and bonds in case of a...

In this study, we attempt to revisit how dependent the US stock market returns are on climate change-related risks (CCRR). In this regard, we use a spillover and connectedness network analysis to assess the strength of the causal effect and transmission pathway of CCRR proxies (green index,...

This paper analyzes the existence of flight-to-quality from stocks to bonds and contagion between the two asset classes. Flight-to-quality is present if correlations between stocks and bonds strongly decrease in falling stock markets since this constitutes a movement of the asset classes in...

The ability of investors to implement seasonal strategies implied by academic papers has been widely criticised, most recently by Hudson, Keasey amp; Littler (2002). This paper addresses these concerns, and provides an example of a strategy derived from academic papers that indicates how and to...

The pre-holiday behavior of equity price and return indices on the Irish Stock Exchange do not display consistent positive pre-holiday returns. This is contrary to the majority of studies on this area, and the result is found across a number of sectoral indices. The analysis also indicates that...

This paper surveys the research on the influence of investor feelings on equity pricing, and also develops a theoretical basis with which to understand the emerging findings of this area. The theoretical basis is developed by reference to research in the fields of economic psychology and...

The first four moments of four indices of equity returns produced by the Irish Stock Exchange are examined across different market directions. Using standard F, K-W and Levene tests daily seasonality is confirmed in all, although in a pattern different to that found elsewhere. In particular,...

Evidence is provided that the preholiday behaviour of irish stock exchange equity indices is different to that found elsewhere. In particular, the indices do not show consistent preholiday positive returns. These returns seem to be driven by local, as opposed to international forces

The Friday the 13th anomaly of Kolb amp; Rodriguez (1987) is revisited in an international context. Using the FTSE world indices over 1988-200, for 19 countries, it is found that there is some evidence that returns on Friday the 13th are statistically different from, and generally greater than,...