This paper examines the effects of quantitative easing (QE) announcements by the European Central Bank (ECB), the Bank of England (BoE) and the Bank of Japan (BoJ) on the intraday volatility transmissions among EUR, GBP and JPY. The empirical results indicate: (i) an increased volatility...

This paper investigates the spread of the Global Financial Crisis (GFC) and the Eurozone Sovereign Debt Crisis (ESDC) to different market capitalization segments across countries and regions. Specifically, it tests for capitalization-specific contagion across both crises and their phases by...

This paper examines the effects of the unconventional monetary policy (UMP) launched by the European Central Bank on the cross-market correlations between bond, stock and currency forward markets. Using a dynamic conditional correlation analysis and several robustness tests, we investigate...

This paper investigates the relationship between the volatility of Volume Synchronized Probability of Informed Trading (VPIN) and future short-term volatility of stock returns. We construct a transaction-signed version of VPIN (TR-VPIN) based on tick by tick data on securities traded in the...

This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets and different regions. It uses daily return data of six asset classes: stocks, bonds, commodities, shipping, foreign exchange and real estate. A robust analysis of financial...

This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets and different regions. It uses daily return data of six asset classes: stocks, bonds, commodities, shipping, foreign exchange and real estate. A robust analysis of financial...

This study provides new evidence on emerging stock market contagion during the Global Financial crisis (GFC) and the Euro zone Sovereign Debt Crisis (ESDC). Focusing on the three emerging Baltic markets and developed European markets, proxied by the EUROSTOXX50 stock index, we explore asymmetric...

This paper investigates the contagion effects of the Global Financial Crisis (2007-2009) by examining ten sectors in six developed and emerging regions during different phases of the crisis. The analysis tests different channels of financial contagion across regions and real economy sectors by...

This paper investigates the contagion effects of the global financial crisis (GFC) and Eurozone sovereign debt crisis (ESDC) on Islamic equity and bond markets. Using a sample of Islamic stock indices from various developed and emerging markets and the global Islamic stock and bond (sukuk)...

This paper examines the dynamic linkages among major exchange rates during the Global Financial Crisis and Eurozone Sovereign Debt Crisis. We extend the previous literature on volatility spillover linkages among the currencies by taking into account the uncovered interest-rate parity hypothesis...