Purpose: The purpose of this paper is to examine the impact of corporate governance, investor sentiment and financial liberalization on downside systematic risk and the interplay of socio-political turbulence on this relationship through static and dynamic panel estimation models....

The study aims to investigate the casual effect of Socio-Political factors on Systematic risk in Pakistan Stock Exchange. For this purpose, the study used 250 Non-Financial companies monthly rolling Beta (36 months window) data as well as Socio-Political factors like Assassination, Terrorism,...

This study examines the causality between Chinese Investment under China-Pakistan Economic Corridor and economic growth in Pakistan by using the Autoregressive distributed lag estimation framework. For this purpose, quarterly time series data ranging from 2009 to 2018 were used. In short run,...

We propose a new systemic risk index based on the interdependence of extreme downside movements of stock returns using the cross-quantilogram and network analysis approach. While quantile dependence allows for sensitivity in times of market downturn, the topological network properties allow for...

Do gold prices influence gold mining stocks? In this paper, we evaluate the hypothesis that the relationship between the prices of gold and gold mining stocks should be asymmetric due to the embedded real option characteristics associated with gold mining stocks. We use the cross-quatilogram to...

This paper extends the literature on the relationship between oil price shocks and financial markets by examining the effect of oil shocks on the sovereign bond markets of a large number of advanced and emerging economies and exploring the impact of oil shocks on the degree of connectedness...

This study examines the conditional correlation and the resulting optimal hedge ratios between the Credit Default Swap (CDS) spreads of the U.S. metal and mining industries, and the prices of copper, platinum, silver and gold using the daily date from December 14, 2007 to August 18, 2018. It...