We explore the oil-stock market nexus from a novel angle by examining the predictive role of oil prices over the excess returns associated with the market, size, book-to-market and momentum factors via bivariate cross-quantilograms. Our analysis of systematic risk premia across the four regions...

Risk management is an important and helpful process for investors, hedge funds, traders and market makers. One of its key points is the appropriate estimation of risk measures which can improve the investment decisions and trading strategies. The high volatility of cryptocurrencies turns them a...

The present study is, in particular, an attempt to test the relationship between tax level and political stability by using some economic control variables and to see the relationship among government effectiveness, corruption, and GDP. For the purpose, we used the GMM (1991) and GMM system...

The present study is, in particular, an attempt to test the relationship between tax level and political stability by using some economic control variables and to see the relationship among government effectiveness, corruption, and GDP. For the purpose, we used the Vector Autoregression (VAR)...

The outbreak of COVID-19 pandemic and its economic impact has created a havoc across all economies of the globe and amplifying the financial market volatility. The aim of this study is to investigate the impact of COVID-19 pandemic on interdependence and relationship among oil market, stock...

The tourism sector is very important for the economic growth in some countries and the hotel industry is the backbone of it. The advent of new technologies improves the stay experience of tourists in hotels and the environmental technologies contribute to the reduction of the environmental...

This paper examines the interdependence between green bonds and financial markets in the time-frequency domain by utilizing the multivariate wavelet approach and dynamic connectedness through combining Ensemble Empirical Mode Decomposition (EEMD) with Diebold and Yilmaz (2012) spillover...

The spillover effect is a significant factor impacting the volatility of commodity prices. Unlike earlier studies, this research uses a relatively recent estimation technique such as rolling window-based Quantile VAR (QVAR) advanced by Ando et al. (2018) to describe the conditional volatility...