This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on their sentiment for twelve agricultural commodity futures. For this purpose, we dynamically model the equidirectional trading of long and short commodity futures of long-short...

This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...

We examine 22 determinants of stock market correlations in a panel setting with 651 country pairs of developed economies over the 2001-2018 period, while accounting for model uncertainty and reverse causality. On the one hand, we find, that a number of determinants, well established in the...

Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor positions in foreign currencies. In periods of increased economic uncertainty, institutional investors hedge their international bond positions, which creates a net hedging...

We study the period of the COVID-19 pandemic to assess the impact of foreign institutional investor (FII) flows on asset prices in an emerging market. Using a dataset of stock-level foreign fund flows of Indian equities, we show that stocks experiencing abnormally high innovations in foreign...

Well-functioning risk-sharing arrangements are essential for the shock absorbing capacity and resilience of an economy, even more so for countries in a monetary union where the single monetary policy is unable to address asymmetric shocks. The common shocks that euro area member states have been...

This article surveys the literature on consumption risk sharing, focusing on the findings for the euro area and for the United States, but also presenting evidence for other countries. The literature examined found that risk sharing is higher in more mature federations, such as the United...

Previous studies document a relationship between gambling at the aggregate level and investments in securities with lottery-like features. We combine data on individual gambling consumption with portfolio holdings and trading records to examine whether gambling and trading act as substitutes or...

We analyze the cross-section of more than 1200 cryptocurrencies derived from 350 exchanges in the time period from January 2014 to June 2020. Specifically, we investigate whether well-known cross-sectional characteristics like beta (Fama/MacBeth (1973)), size (Banz (1981)) or momentum (...

The efficient market hypothesis describes an efficient market as one in which investors cannot consistently predict stock returns because prices instantly reflect all the information flowing into the market. However, return predictability has been documented in many markets. This study tests the...