We investigate the informational role of trading volume and quote changes in VIX options with regard to future movements in the index, based upon a high-frequency framework. Our results reveal that whilst volume imbalances convey no significant predictive information, quote changes in VIX...

This paper studies the relationship between the COVID-19, an infectious disease, and different financial assets. We find that the change in the newly confirmed cases per thousand people in US rather than that in China can positively predict the S&P 500 return. Moreover, we find that the change...

We investigate whether the global economic activity (GEA) index provided by Kilian (2009) can predict the dynamics of the cryptocurrency. First, we find that the lagged two-month GEA index can predict positively the cryptocurrency monthly returns, especially for Bitcoin. It implies that the...

This paper investigates whether the change of crypto-trading volume can affect the occurrence of terror attacks. We find that an increase in the Bitcoin and Ethereum trading volume is related to the higher probability of the occurrence of terror attacks while other main cryptocurrencies have no...

This study investigates whether economic policy uncertainty (EPU) affects the degree of Bitcoin dependency in the crypto market by calculating the Pearson correlation between Bitcoin return and the average return of 19 cryptocurrencies to determine the return dependency. The results indicate...