Insider trading laws are designed to ensure a level-playing field and trust in financial markets at the expense of less efficient markets. This paper argues that insider trading laws fail to ensure a level-playing field and instead facilitate fraud and undermine trust and fairness. We use a...

There is a well documented asymmetric return - volatility effect of equity returns, that is, negative shocks increase volatility by more than positive shocks. This paper analyzes the return - volatility relationship of commodity price changes and finds an inverted asymmetric effect with a...

This paper proposes a new approach to identify safe haven assets and to characterize their relationship with the market. We use quantile regression to analyze the returns of potential safe haven assets conditional on all market conditions including periods of financial turmoil. We find a...

We estimate quantile autoregression (QAR) models to analyze variations in the autoregressive coefficients of 55 international stock index returns and demonstrate that it is important to allow the autoregressive parameters to vary with quantiles. The empirical results identify distinctively...

This paper analyses the impact of the June 23, 2016 Brexit vote on the British and Australian currency and equity markets. The two markets are particularly interesting as they were both strongly impacted by the Brexit vote, have cross-listed stocks and non-overlapping trading hours. Whilst the...

The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us in particular to study the behavior of extreme quantiles associated...

The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us in particular to study the behavior of extreme quantiles associated...

Gold, U.S. and German government bonds, the Swiss franc and the U.S. dollar and, more recently, Bitcoin are frequently labeled safe havens. This paper proposes a safe haven index (SHI) to benchmark safe haven assets and demonstrates that the SHI exhibits positive returns and increased volatility...