This study investigates the dynamic pattern of the interdependence among G7 stock markets, namely the US, the UK, France, Germany, Italy Canada and Japan over the 1988-2021 period. The state-space formulation of the time-varying cointegrating coefficient allows us to examine the potential...

We examine the impact of multidimensional stock market liquidity on business cycles that captures the key market liquidity characteristics. Using seven different liquidity measures, we find that the effect of liquidity on economic growth and recessions differs among liquidity measures in the US...

We examine the impact of CEO-related sexual misconduct on U.S. firms’ stock market value in the #MeToo era. Our findings suggest that investors react negatively to corporate sexual misconduct, meaning that misbehaving CEOs cause significant damage to their shareholders’ wealth. On average,...

We examine the impact of multidimensional stock market liquidity on business cycles that captures the key market liquidity characteristics. Using 10 different liquidity measures and 5 sub-dimensions, we find that the effect of liquidity on economic growth differs among liquidity sub-dimensions...