This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...

This paper estimates a trivariate VAR-GARCH(1,1) model to examine volatility linkages between the stock markets of three Central and Eastern European countries (CEECs), namely the Czech Republic, Hungary and Poland. The empirical .findings suggest that following the EU accession regional...

This paper estimates a bivariate VAR-GARCH (1,1) model to examine linkages between the stock market and economic growth in three CEEC countries (the Czech Republic, Hungary and Poland). The empirical findings suggest that there is unidirectional causality running from stock markets to growth in...

This paper provides some comprehensive evidence on the effects of cyber-attacks on the returns, realized volatility and trading volume of five of the main cryptocurrencies (Bitcoin, Ethereum, Litecoin, XRP and Stellar) in 99 developed and developing countries. More specifically, it investigates...

This paper investigates the dynamic linkages between portfolio flows and various news indices (based on both "positive" and "negative" news headlines collected from Bloomberg), whilst also controlling for a comprehensive set of push and pull factors. The monthly panel examined comprises 49...

This paper examines mean and volatility spillovers between three major cryptocurrencies (Bitcoin, Litecoin and Ethereum) and the role played by cyber attacks. Specifically, trivariate GARCH-BEKK models are estimated which include suitably defined dummies corresponding to different types, targets...