Order imbalance methodology is utilized to examine the link between trading activity and returns in the six most liquid international bond futures markets. Order imbalances are strongly related to contemporaneous returns, in the expected direction (i.e. excess buy (sell) orders push down (up)...

Construction of efficient portfolios is reliant on understanding the correlation between assets. If correlations change markedly during times of economic turmoil then investors are exposed to greater than desired risk levels at the most inopportune time. We examine the linkages between global...

There is a growing empirical literature on gold's safe haven status with respect to financial risks but no study with respect to global geopolitical risks. This paper extends the common focus on extreme stock market movements and financial turmoil with an analysis of geopolitical risk. We find...

The cryptocurrency literature has attempted to identifying factors that explain excess returns. We utilise principal component analysis to determine whether a (small) set of factors can explain returns and whether this varies over time. We find that a substantial proportion of cryptocurrency...