Purpose: This paper sets out to investigate whether the four members of the common monetary area (CMA) regime experience similar inflation-unemployment dynamics as explained by the Phillips Curve phenomenon. Design/methodology/approach: This study uses a combination of seemingly unrelated...

Purpose: Despite regulatory claims of straitening volatility and preventing crashes, evidences on circuit breakers' ability to achieve so are nonconclusive. While previous scholars studies general performances of circuit breakers, the authors examine whether Malaysian price limits aggravate...

Purpose - The purpose of this paper is to examine the effect of economic policy uncertainty (EPU) of China on investment opportunities in five ASEAN economies. Design/methodology/approach - This paper employs advanced empirical approaches, such as Multivariate DCC-GARCH and Continuous Wavelet...

This paper reports findings on multiple important phenomena in capital flow literature: internal and external shock transmission to foreign direct investment and foreign portfolio investment. Operating on Turkey as a case study, I disaggregate quarterly gross capital inflows (FDI and FPI) and...

We contribute to financial literature by identifying economic uncertainties salient to the price dynamics of cryptocurrencies. To measure this relationship, we examine the common stochastic trends between cryptocurrencies and major text-based uncertainty indices — categorical and broad —...

We construct synthetic spreads representing funding liquidity risk in BRICS economies and examine whether stress in the interbank and financial markets in the US spread to emerging markets during the Global Financial Crisis, European Sovereign Debt Crisis, and COVID-19 pandemic. We rely on a...

We examine the volatility dynamics and predictive potency of Twitter-based uncertainty metrics by [1] against major financial assets. Employing a latent factor structure model driven by stochastic volatility in high dimensions, we document a lack of co-movement between uncertainty sentiment on...

We report new evidence that speculation in energy and precious metal futures are more prevalent in crisis periods and even more so during the COVID-19 pandemic. In contrast, agricultural futures attract more hedging pressure. Post-GFC patterns mirror the 1980s’ recessions. Using quantile...

This paper examines the information content of implied volatility of structured call warrant in the Singapore Stock Exchange (SGX). The study is the first to examine implied volatility of equity options (structured warrants) outside the US. Using a daily dataset for 252 trading days for a period...

This paper briefly overviews several challenging dimensions pertaining to cryptocurrencies with respect to their valuation, legitimacy, design, consensual acceptance and market-based stylized facts with a view to understanding whether this new asset class indeed has the potential to become an...