This paper extends the empirical literature on volatility risk premium (VRP) and future returns by analyzing the predictive ability of commodity currency VRP and commodity VRP. The empirical evidence throughout this paper provides support for a positive relationship of commodity currencies VRP...

In this study, we investigate the dynamic relationship between return and liquidity in the Brent and the West Texas Intermediate (WTI) oil markets. The research utilises daily oil price and volume data and monthly macroeconomic data from January 1, 1996 to April 28, 2023 obtained from the Energy...

This paper employs wavelet coherence, Cross-Quantilogram (CQ), and Time-Varying Parameter Vector-Autoregression (TVP-VAR) estimation strategies to investigate the dependence structure and connectedness between investments in artificial intelligence (AI) and eight different energy-focused...

I link deviations from forward-spot parity for currencies and commodities. The key is to think of the U.S. dollar as a “commodity.” When commodity spot prices are too high compared to futures, arbitrageurs will short the commodity and bank dollars. When physical scarcity constrains commodity...

This paper examines the impact of the Russia-Ukraine conflict on the volatility spillovers and their dynamics among major global financial markets, including global stock (USA, China, Japan, UK, Germany, and France), major cryptocurrencies (BTC and ETH), crude oil (WTI) and gold markets. The...

The notion that investors shift to gold during economic market crises remains unverifed for many cryptocurrency markets. This paper investigates the connectedness between the 10 most traded cryptocurrencies and gold as well as crude oil markets pre-COVID-19 and during COVID-19. Through the...

We employ a structural VAR model with global and US variables to study the relevance and transmission of oil, food commodities, and industrial input price shocks. We show that commodities are not all alike. Industrial input price changes are almost entirely endogenous responses to other shocks....

The pricing dynamics of oil-based commodities are frequently influenced by reported events. Our analysis spans almost 900 oil-related events from 1978 to 2022, categorizing them based on recurring characteristics. Employing a novel bootstrap-after-bootstrap testing econometric framework, we...

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the deviation. A demand shock leads to greater liquidity,...

Purpose - The study examines global Gold market performance and correlations between COVID-19, the Russian invasion, inflation, investors' fear, asymmetric shocks, and the VIX (volatility index) impact on volatility. Research Methodology - This research uses an econometric approach to analyse...