This article analyzes the relationship between gold quoted on the Shanghai Gold Exchange and Chinese sectorial stocks from 2009 to 2015. Using different copulas, our results show that there is weak but significant tail dependence between gold and Chinese sectorial stock returns. This means that...

This study investigates the importance of social norms for shaping women's and men's decision to participate in the stock market, aiming to disentangle the different channels playing a role in this decision. Gender role asymmetry is indicated by the country's rank in the gender equality index of...

This paper aims to establish trends in intraday volatility in context of the Indian stock market and analyze the impact of development in the Indian economy on its stock market volatility. One minute tick data of Nifty 50 futures from Jan 1, 2011 to Aug 31, 2018 was used for the purpose of this...

The specific properties of assets such as cryptocurrencies, gold, and stocks have welcomed more empirical studies in assessing their nexus. As a result, market conditions, whether good or bad, become imperative to assess the benefits of safe have, hedges or diversification. Also, the presence of...

We examine prominent market anomalies and evaluate the efficacy of alternative asset pricing models under different financial integration settings. A financial integration index is developed for classifying 25 sample markets into high-, medium- and low integration groups. Size is found to be the...

Recently, sub-Saharan Africa (SSA) stock markets have received an exceptional attention as a market of hope and future. Hence, policy-makers, investors and financial analysts have been striving to ameliorate the factors that are detrimental to stock market development in SSA. Given this, the...

We construct a difference-in-differences simultaneous equation to study the long-term impact of price limit system on the comprehensive quality of the stock market. Moreover, we use event study method to further test short-term effect. Results show that after the setting of price limit system in...

Like no other calamitous event in recent memory, the COVID-19 pandemic has plunged the world’s financial system into disarray, triggering systemic risk spillovers across markets. In this study, we use 5-minute index futures price data to examine the multiscale interdependence structure of...