This paper investigate whether the effects of U.S. news announcements has influence on liquidity commonality during financial crisis periods. We construct a market-wide liquidity risk in the foreign exchange market by using Generalized Dynamic Factor Model (GDFM) model. We show that strong...

This paper assesses the possible contemporaneous relationship between stock index prices, earnings and long-term government bond yields for a large number of countries and over a time period that spans several decades. In a cointegration framework, our analysis looks at three hypotheses. First,...

This paper uses time-varying second moments to investigate exchange rate exposure betas. Using a BEKK-GARCH(1,21)-M model, time-varying exchange rate exposure betas are obtained with explicit focus on the non-orthogonality between exchange rate changes and market returns. We look into certain...

Over the last two decades, a number of financial disasters have occurred due to failure in risk management procedures. If some, as the Asian financial crisis, had a very much more muted global impact (even though they sent shock waves through global financial markets, the main damage were fairly...

We explore the oil-stock market nexus from a novel angle by examining the predictive role of oil prices over the excess returns associated with the market, size, book-to-market and momentum factors via bivariate cross-quantilograms. Our analysis of systematic risk premia across the four regions...

We acquire a unique dataset of high-frequency traded prices for bitcoin call and put options from the Deribit cryptocurrency derivatives exchange, by 15-minute sampling via the application programming interface. We use these prices to construct a term structure of bitcoin implied volatility...

A later version of this paper has been published in the Journal of Financial Stability (Volume 50, October 2020, Article Number 100776).When trading volumes are high, bitcoin futures on the Chicago Mercantile Exchange (CME) and -- until recently -- the Chicago Board Options Exchange (CBOE) lead...

We analyse minute-level multi-dimensional information flows within and between bitcoin spot and derivatives. We show that perpetual swaps and futures traded on the unregulated exchanges Huobi, OKEx and BitMEX are much the strongest instruments for bitcoin price discovery and we examine potential...

We analyse the price discovery process in bitcoin-dollar trading on Coinbase, the most established cryptocurrency spot exchange. Using a modified reinforcement learning framework, we find that market orders individually carry more information than limit orders, but due to their abundance, limit...

Frontier markets have become increasingly investible, providing diversification opportunities; however, there is very little research (with conflicting results) on the relationship between Foreign Exchange (FX) and frontier stock markets. Understanding this relationship is important for both...