This paper uses daily data to analyze how stock and foreign exchange markets react to terror.The data distinguishes location, type of attack and target, number of casualties, and the number of attacks per day for 639 terror attacks between 1990 and 2003 in which 1212 people in Israel were killed...

Based on the coverage of over 660m news stories from LexisNexis News & Business between 2015–2021, we provide two new indices around the growing area of Central Bank Digital Currencies (CBDC): the CBDC Uncertainty Index (CBDCUI) and CBDC Attention Index (CBDCAI). We show that both indices...

This paper assesses the contemporaneous, leading and lagging indicator properties of financial market variables relative to movements in six major developed country currency pairs. As indicator variables changes in various relative asset prices, short-term portfolio flows and currency options...

In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets via spillovers. We document how new approaches or improved existing methodologies lead to results that offer richer insights than those derived from standard econometric...

We show that excess returns to the carry trade can be interpreted as compensation for foreign exchange dealers' capital risk. Given that the top market makers in foreign exchange are at the heart of the market's information aggregation process we also suggest that it is their marginal value of...

The dynamic linkage of stock price movements between major global and Korean stock exchanges are investigated by employing a monthly sample from January 1987 to October 2018. The Johansen test for cointegration indicates that a long-run equilibrium relationship between global and Korean stock...

We estimate dynamic conditional correlations of financial asset returns across countries by an array of multivariate GARCH models and analyze spillover effects of the recent US financial crisis on 5 emerging Asian countries. We confirm the existence of financial contagion around the collapse of...