The present study analyses the role that water exchange traded index funds (ETFs) play in the performance of portfolios that follow the main US and European stock, bond and volatility benchmarks during the period 2007 to 2020. Data from the most representative water-related ETFs at the worldwide...

We provide the first intraday analysis on the contribution to price discovery of two emissions carbon credits: European Union Allowances (EUAs) and Certified Emission Reductions (CERs). We find that EUAs lead price discovery but CERs play a growing role and, therefore, should not be ignored

Psychological studies support the existence of an influence of weather on mood. It could affect the behaviour of market traders, as suggested by some authors, and this should be reflected by the stock returns. This paper investigates the possible relation between weather and market index returns...

The purpose of this paper is to investigate the existence of a pre-holiday effect in the most important stocks of the Spanish Stock Exchange which are also traded in both the New York Stock Exchange and the Frankfurt Stock Exchange. Our results show high abnormal returns on the trading day prior...

Many market integration measures are operationalized to compute their numerical values during a period characterized by the lack of stability and market turmoil. The results of the tests give their degree of effectiveness, and reveal that the measures based on the principles of asset valuation,...

The relationship between the index returns of the major stock markets has been analysed in many papers. These studies usually examine lead-lag relationships between markets, without distinguishing the influencing ability and the sensitivity of each of the markets. Additionally, these studies use...