Sadorsky (2012) analyzes correlations and volatility spillovers between oil prices and stock price indices of clean energy and technology companies. In this paper, we replicate the original analysis of Sadorsky (2012), extend the sample period and present new findings. The extended sample...

The cryptocurrency literature has attempted to identifying factors that explain excess returns. We utilise principal component analysis to determine whether a (small) set of factors can explain returns and whether this varies over time. We find that a substantial proportion of cryptocurrency...

Economic policy uncertainty (EPU) relates to ambiguity surrounding possible changes in government policy and their associate impact on firm performance. This uncertainty places additional stress on economic agents and has implications for the global economy via delays in firm investment and...

Following the 2004 introduction of VIX futures, they have become an increasingly important hedging instrument and aid for portfolio diversification. We examine changes in the futures basis which, owing to their unique characteristics, can be interpreted as changes in expectations of future VIX...

We investigate the information acquisition role of dark pool trading. The implementation of the European double volume cap (DVC) mechanism acts as an exogenous shock to help us understand how restrictions on dark trading affect the price discovery process for German stocks. Using the price jump...

We examine how the stock market relation to news sentiment – from traditional and social media (Twitter) sources - interacts with stock short selling. Our sample includes the S&P500 constituents for the period January 2016 to December 2020. We find evidence that returns are positively related...

We compare two text-based proxies for the sentiment of investors in the Japanese market. Both proxies are constructed by Thomson Reuters using the same algorithm, and the only difference between them is that the first proxy is derived using only Japanese language items; the second is derived...

The collapse of Silicon Valley Bank and Signature Bank in March 2023 triggered a flight to quality. This paper analyses flows to and from money market mutual funds (MMFs) and stablecoins consistent with a flight to quality. We find aggregate net inflows to MMFs and aggregate net outflows from...

Bitcoin is often labelled digital gold and many studies compare bitcoin and gold prices, returns and volatility. This paper digs deeper and compares the characteristics of bitcoin mining with gold mining to assess claims that bitcoin is digital gold. We identify twenty differences between gold...

Liquidity is an important financial market characteristic, effecting portfolio decisions, and priced risk. During periods of market turmoil, such as occurs during financial crisis, investors have an elevated need for cash and so understanding how liquidity differs during those periods is...