This study provides new evidence on the impact of climate physical risk (as measured by the Global Climate Risk Index (CRI) from Germanwatch) on stock market returns. Specifically, a panel model with fixed effects is estimated using annual data from 2007 to 2021 for a set of 65 countries as well...

This paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, S&P500 and Nasdaq, over the period 2000-2021. First it analyses whether or not anomalies in price behaviour arise from witching by...

"This comprehensive Handbook deftly examines key aspects of financial integration, providing an overview of contemporary research and new perspectives. Employing state-of-the-art econometric methods to obtain new empirical evidence, it will be critical for designing optimal policies, and...

This paper analyses the persistence and mean reversion properties of sovereign debt and its components by applying fractional integration methods to long runs of annual data starting in 1831 for the UK and the US, in 1862 for Italy and in 1881 for France and Germany, and ending in all cases in...

This paper examines tourism persistence in a group of Southeastern European (SEE) countries (Albania, Bosnia, Bulgaria, Croatia, Montenegro, North Macedonia, Serbia and Slovenia) by applying fractional integration methods to monthly data on foreign tourist arrivals and overnight stays. The...

This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out hypothesis testing by means of a variety of statistical...

This paper aims to assess the role of expectations as a determinant of the real price of natural gas. To measure expectations-driven speculative demand three approaches are followed, which are based respectively on using natural gas inventories consistently with the theory of storage (Kilian and...