We investigate the asymmetries in the African financial markets; both stock and exchanges markets, namely Botswana, Egypt, Kenya, Mauritius and South Africa. The dataset begins on January 1, 2001 and ends on January 20, 2018, for a total of 4,479 trading days. We apply an asymmetric threshold...

This paper assesses the association of ESG scores with stock returns and highlights the moderating role of the COVID-19 pandemic and the country's governance. The study uses panel data regression models to assess the relationship between ESG factors and stock returns, focusing on the moderating...

In this chapter, I examine the properties of four realized correlation estimators and model their jumps. The correlations are between the three main FTSE indices of the Athens Stock Exchange. Using intraday data I first construct four state-of-the-art realized correlation estimators which I then...

The present paper investigates the relationship between stock prices, credit ratings, and ESG scores for banks internationally. First, it describes stock prices and ESG scores at an annual frequency, as well as stock price and credit risk at a daily frequency. The relationships between (a) stock...