The 2019 BIS Triennial Central Bank Survey provided new insights about the boost that electronification gave to trading in FX and OTC derivatives markets, and the role of compression and clearing in containing the growth of outstanding derivatives exposures

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...

The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit commitments as banks were restoring their balance sheets during the 2007-2009 financial crisis. Employing generalized autoregressive conditional heteroscedasticity (GARCH)...

We examine the presence of the Ramadan effect in feedback trading drawing on a sample of eleven majority Muslim markets for the period of 29/6/2001 to 1/8/2016. Feedback trading is significant in several of these markets, appearing stronger outside, rather than within, Ramadan. These results...

The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit commitments as banks were restoring their balance sheets during the 2007-2009 financial crisis. Employing generalized autoregressive conditional heteroscedasticity (GARCH)...

The volatility of investor returns depends not only on the volatility of the stocks investors hold but also on their time-varying capital exposure to these holdings. We measure investor returns as dollar-weighted returns (IRRs), and provide comprehensive evidence on the volatility of investor...

We investigate the relationships of the VIX with US and BRIC markets. In detail, we pick up the analysis from the point left off by (Sarwar, 2012), and we focus on the period: Jan 2007 - Feb 2, thus capturing the relations before, during and after the 2008 financial crisis. Results pinpoint...

Commodities have attracted considerable interest as a financial investment in recent years. This article discusses the factors behind their growing appeal and assesses the extent to which market characteristics, such as price volatility, have changed as a result. The feature concludes that...

Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevity risk sharing in pooled annuities has...