This research explores dynamic connectedness amongst financial markets using the novel financial risk measure, global common volatility (COVOL) [Engle and Campos-Martins, 2023] and four major asset price implied volatility measures using a TVP-VAR framework. Considering a number of major...

The Silicon Valley Bank (SVB) collapse is the most significant US bank failure since 2008. Considering the new role of social media to effect bank runs, it is critical to investigate the impact of this collapse on US market sectors. Using an event study approach, we identify significant...

We evidence that cryptocurrencies possess a significantly higher probability of crash risk than equity indices, albeit such cryptocurrency market crashes are typically of shorter duration, while possessing an increased probability of acting a source of instability through which can pass through...

We examine the characteristics of Special Purpose Acquisition Companies (SPACs) focused on green causes. The growing importance of SPACs in financial markets has led to an increased presence of entrepreneurs raising capital to fund environmently friendly companies. We examine the structural...

Employing a TVP-VAR dynamic connectedness analysis, we identify avenues through which the collapse of the FTX exchange manifested contagion effects throughout a number of financial markets. Results indicate that interaction effects become significantly pronounced, coinciding with key milestones...

This study investigates how financial sanctions packages targeting Russia influenced traditional information flow dynamics with other international financial markets and products. While providing empirical evidence regarding the use of payment systems and finance as weapons of war, it is crucial...

Using electronic-markets data, this paper investigates partial determinants of change in Graham's price-earnings ratios (P/E) during US presidential election cycles. We document evidence over six elections, that as the probable winner of the election becomes clearer, markets surprisingly respond...

This paper examines the importance of governance transparency as a foundation of modern finance and the national institutions of effective capitalism. Governance transparency has two major components, self-dealing transparency and corporate ownership transparency. Governance transparency reduces...

Prior literature contending that corporate governance in Asia is poor ignores disclosure of self-dealing. This paper overcomes this deficiency as it examines the determinants of measures against self-dealing in business transactions in sixty countries, focusing especially on Asian countries...

Given the importance of financial intermediation and the rise of globalization, there is little prior research on how national preferences for financial intermediation (markets versus institutions) are determined by cultural, legal, and other national characteristics. Using panel analysis for...