This note considers the effect of changes in the well-being of U.S. residents owing to changes in the value of various financial assets. Ordinary least squares estimates reveal that equity market returns have a significant, and asymmetric, impact on well-being. This result is likely the result...

This article examines the relationship between changes in the level of investor fear (measured by VIX) and financial market returns. We document a statistically significant relationship, across asset classes, consistent with a flight to quality as investor fear increases. As VIX increase there...

This paper examines the patterns of trading behaviour, in the period surrounding monetary policy announcements. Utilizing a high-frequency data-set, with broker identifiers enabling classification of trades executed through institutional and retail brokers, I investigate all trades submitted on...

This paper examines the pattern of order aggressiveness, and the determinants of this pattern for institutional and retail brokers in the interval around monetary policy announcements. Utilizing a high-frequency dataset, with broker identifiers for each order submitted on the ASX over the period...

This article seeks to consider the relationship between the sentiment of newswire messages for a set of major international banks and changes in two important credit measures; the LIBOR-OIS spread and the CDS spread. There is a significant and negative relationship between news sentiment and...

This article examines the determinants of trading decisions, and the performance of trader types, in the context of the E-Mini S&P 500 futures and S&P 500 futures markets. Although the markets are very similar, essentially trading the same underlying asset but with different contract sizes, some...

I examine the relationship between aggregate news sentiment, S&P 500 Index returns, and changes in the implied volatility index (VIX). I find a significant negative contemporaneous relationship between changes in VIX and both news sentiment and stock returns. This relationship is asymmetric...

Research in cryptofinance has continued to consider whether Bitcoin possesses a safe haven property as traditionally defined by its correlation with other assets during times of market stress. However, this neglects other attributes of assets that are important to investors during periods of...

In addition to a myriad of industrial uses, precious metals continue to play an important role in the global financial system; they are increasingly popular as an investment and form part of a well-diversified portfolio in addition to acting as central bank reserves. Understanding how...

Utilising a comprehensive sample of U.S. and Chinese macroeconomic news announcements, we determine that volatility in commodity prices is significantly impacted by news regarding U.S. economic output (Industrial Production) and Chinese producer prices (PPI). Much of this effect appears to be...