This paper compares the performance of safe haven assets during two stressful stock market regimes – the 2008 Global Financial Crisis (GFC) and COVID-19 pandemic. Our analysis across the ten largest economies in the world shows that the traditional choice, gold, acts as a safe haven during the...

In this paper, we examine whether the economic policy uncertainty (EPU) index can predict the cryptocurrency returns for countries with the highest number of Bitcoin nodes, which include U.S., Germany, France, Netherlands, Singapore, Canada, the UK, China, Russia, and Japan. To the extent...

Recent evidence on the relationship between investor sentiment and subsequent monthly market returns in China shows that investor sentiment is a reliable momentum predictor since an increase (decrease) in investor sentiment leads to higher (lower) future returns. However, we suggest that...

Recent evidence shows that investor sentiment is a contrarian predictor of stock returns with speculative stocks earning lower (higher) future returns than safe stocks following high (low) sentiment states. We extend this argument by conditioning expected stock returns on sentiment dynamics and...

Research literature shows weak momentum profitability in China due to the trading behaviour of local retail investors who trade in Chinese A-shares. Therefore, we suggest momentum strategy would be profitable in non-A (B and H) shares where foreign investors play an important role instead of...

This paper examines the relationship between oil prices and stock market anomalies in China, the largest oil importer country in the world. Prior literature documents both a positive and negative relationship between oil prices and the stock market. The explanation of a positive relationship is...