Drawing upon an extensive dataset comprising 3,680 cyberattacks on firms listed in 5 stock markets, our main objective is to ascertain the financial market reaction based on a hybrid valuation inspired by the event study methodology and a counterfactual analysis. Analyses concern three dates...

Existing literature suggests that conditional correlations between equity markets vary over time, and increase over periods of financial crises. I test this hypothesis on a set of eight national equity indices from the Asia-Pacific region on one hand, and the US market on the other. Tse (2000)...

This paper examines the value relevance of accounting fundamentals in the Mexican Stock Market ([BMV] - Bolsa Mexicana de Valores). The research question that motivated the paper was: Can accounting fundamentals provide relevant information to better understand firm value? More specifically, the...

Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...

Capital outflows after financial integration can lead to simultaneous increases in the national savings rate and asset prices in an economy with substantial financing costs. Under autarky, firms invest in risky capital while facing a borrowing constraint that creates a need for precautionary...

This study investigates how twelve cryptocurrencies with large capitalization get influenced by the three cryptocurrencies with the largest market capitalization (Bitcoin, Ethereum, and Ripple). Twenty alternative specifications of ARCH, GARCH as well as DCC-GARCH are employed. Daily data covers...

This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period from November 2002 to March 2018. The linkages between both aggregate and financial sector stock indices (both weekly and monthly) are analysed using fractional integration and...

Prior studies have shown that the COVID-19 pandemic has led to negative returns and increased volatilities in various financial markets. Not many however have sought to investigate why. With anecdotal evidence pointing to investors earning abnormal returns despite the pandemic, this paper sought...

Advances in Natural Language Processing (NLP), computing power and data availability are driving an explosion in research about the impact of news on asset prices. However, when relating news to individual assets, this research is based on mentions of specifuc assets or related terms in the news...

This paper undertakes a comparison between five multifactor variants of the capital asset pricing model, where this is augmented by size, book to market value, momentum, liquidity and a new investor protection metric based on the product of institutional quality in a country and the proportion...