We use high-frequency intra-day gold and S&P500 data covering the period from 2007 to 2018 to investigate when and how fast gold prices react to extreme negative shocks in the equity market. Our empirical analysis reveals three new features of gold: First, extreme negative 5-min S&P500 returns...

We investigate the price reaction of international listed companies in response to blockchain-related announcements. The average abnormal return based on a sample of 979 firm-announcements is approximately 5% with significantly higher returns for smaller firms and for announcements in late 2017...

There is a large literature that reports time-specific anomalies in equity markets such as the Monday effect, the January effect and the Halloween effect. This study is the first to report intra-day time-of-day, day-of-week, and month-of-year effects for Bitcoin returns and trading volume. Using...

For the euro debt crisis, we assess the relevance of financial contagion from an investor perspective. We find that contagion, which we identify through the joint occurrence of extremely negative bond returns, has only small and transitory effects on broad government bond portfolios. For...

Companies increasingly announce goals to reduce carbon emissions. How do firms in the oil and gas industry achieve such goals without fundamentally changing their business model? We analyze this question and aim to identify any changes in firms' exposures to oil and to clean and renewable...

This paper analyses the impact of the coronavirus pandemic on the share prices of gold firms, whose activities are spread across gold exploration, project development and gold mining with markedly different risk characteristics. We find evidence for COVID-induced stock market contagion leading...

This paper proposes a simple framework to distinguish lagged effects (spillovers) from contemporaneous effects and to estimate their relative importance. We use an eclectic sample of assets from five different asset classes and find that spillovers have low explanatory power of returns and...

This paper analyzes the evolution of Australian property prices, the relationships between cities, houses and units, the stock market and monetary policy. Using monthly house and unit prices for all eight capital cities we identify extended periods of explosive positive price changes followed by...

We use quantile regressions to demonstrate that volatility persistence and the asymmetric "leverage" effect are high volatility phenomena. More specifically, we find that (i) low volatility is not persistent, but high volatility all the more, even featuring properties of explosive processes;...

Bitcoin is defined as digital money within a decentralized peer-to-peer payment network. It is a hybrid between fiat currency and commodity currency without intrinsic value and independent of any government or monetary authority. This paper analyses the question of whether Bitcoin is a medium of...