The ultimate goal of all investments in stock markets is to earn a satisfactory return on investment, but this is difficult to achieve without enough information to predict stock returns. Information asymmetry refers to a situation where some investors have access to private information that is...

This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility exponential GARCH (EGARCH) model with an integrated...

It is generally acknowledged that one of the risks faced by any company is FX risk, especially when the business operates internationally. For individual companies, exposure to FX risk results in different financial implications, stressing such parameters as the industry affiliation and the...

This paper investigates the dynamic linkages between trading volume and investors sentiments for the S&P500 stock exchange. Two sentiment indicators are considered, the overconfidence and the net optimism-pessimism indicator. Non-linear dynamic approach, namely the asymmetric autoregressive...

This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sectoral markets. Evidence finds a positive...

Prior crisis-response literature outlines zones of conformity (i.e., response meets stakeholder expectations), underconformity (i.e., response falls short of expectations), and overconformity (i.e., response exceeds expectations). We utilize a mixed-method approach to empirically test the impact...

Environmental sustainability represents nowadays a significant factor for business sector. Firms carry out many initiatives to develop environmental practices. Investors increasingly consider environmental discloser by firms and integrate this disclosure into the investment decision-making...

This study examines the impact of stock splits on stock liquidity in Bursa Malaysia from 2004-2018. The study uses event study methodology and investigates liquidity changes, the role of liquidity, and the relationship between abnormal returns and liquidity as well. We found a significant...

In the U.S., the geometric return on stocks has been higher than the geometric return on bonds over long periods. We study whether balanced portfolios have a larger geometric return (and expected log return) than stock portfolios when the risk premium is low. We use a theoretical model and...