... distribution Generalised autoregressive score G15 G16 C32 Hence, we contribute to the existing literature by providing an effective way to choose time-varying parameters with the introduction of a score function as a driving mechanism. This approach enables us to capture not only the first...

... Structural equations System-wide connectedness Systemic risk C32 C51 C58 E44 F31 G15 Funding: The authors received no specific funding for this work. The seminal work of King and Wadhwani (1990) argues that shocks transmit in stock markets because rational agents infer...

... becomes popular with investors, it naturally becomes more liquid. Tong Yao can be contacted at: tong-yao@uiowa.edu Corporate bonds Liquidity premium Yield-chasing Retail investors G12 G14 G15 G18 Default, liquidity and tax are considered major determinants of yield spreads...

... stock sectors Collective risk resonance Sectoral resilience G15 C32 National Social Science Fund of China 23BTJ043 http://dx.doi.org/10.13039/501100012456 Postgraduate Scientific Research and Innovation Project of Hunan Province CX20250827 Funding: This work...

... flexibility in capturing non-linear dependencies relative to correlations. Non-fungible tokens Quantile Financial markets connectedness Extreme risk spillover C32 C58 G15 Despite the growing literature on NFT markets, significant gaps persist in our understanding of their internal...

... be contacted at: imenakhemakhem@yahoo.fr 12 09 2024 10 04 2025 13 05 2025 © Emerald Publishing Limited 2025 Emerald Publishing Limited Licensed re-use rights only Israeli–Hamas conflict Volatility transmission Global financial markets Commodity markets G15 G11 G01...

... BRICS markets G15 G18 G41 G32 The Efficient Market Hypothesis (EMH) posits that asset prices reflect all available information, making it impossible to achieve consistent abnormal returns (Fama, 1970). Despite this theoretical foundation, real-world financial markets regularly exhibit...

... Publishing Limited Licensed re-use rights only Internal capital market Agency theory International fourth quarter investment G15 G30 G31 The topic of internal capital market can be dated back to Coase (1937)   [1] and has become popular in corporate finance since studies...

... COVID-19 pandemic Bank systemic risk Conditional value-at-risk Marginal expected shortfall Cross-country evidence G01 G15 G21 In 2020, following a sudden outbreak of COVID-19, this novel coronavirus spread expeditiously to all corners of the world. Given the scale and scope...

... Gold price Silver price Inflation Economic policy uncertainty Geopolitical risk Safe-haven D81 F31 G12 G15 Gold has been widely held by Chinese residents not only for its beauty but also for its capacity to retain value. During times of dramatic social change, economic downturn...

... G15 J24 We proxy firm city with the headquarter city by following the conventions in the prior literature. Firm headquarter city heterogeneity in human capital creation is measured by using six variables from two categories. One category includes factors measuring the initial cumulated city...

...-use rights only Performance Scaled momentum strategies Volatility Investment horizon Persistence G10 G12 G15 The positive returns from momentum strategy have shown resilience over time for different asset classes and across distinct samples [ 1 ]. These positive returns can...

... correlations are negatively correlated to both Δ EPU t and | Δ GPR t | . Stock–bond return correlation Stock-gold return correlation Downside risk Economic policy uncertainty Geopolitical risk Safe haven G10 G11 G14 G15 Highlights This paper...

... Limited 2020 Emerald Publishing Limited Licensed re-use rights only Realized volatility Volatility forecasting HAR model Trading behavior Equity futures G13 G15 G17 In this paper, we examine whether the high frequency measure of order flow imbalance (OI), which...

..., and they are not mainly caused by movements of foreign exchange rates. Actually, empirical findings in this study provide evidence for inefficiency of Bitcoin markets. Day-of-the-week effect Bitcoin return Currencies Rolling window G14 G15 Because of the features of decentralization and scarcity...

... the investment decision made at a high uncertainty period. Originality/value The excess stock returns are negatively related to the EPU innovations, regardless of whether EPU originates from a domestic source or external sources. G11 G12 G15 It is well recognized that sudden changes in economic...

... volatility FOMC Risk-neutral density Target rates G10 G15 The monetary policy decisions of central banks are well recognized to have strong influence on price movements in the financial market. The decisions are announced on known and scheduled dates; however, market participants do...

.... Jun Cai can be contacted at: efjuncai@cityu.edu.hk 08 04 2018 08 09 2018 12 11 2018 © Emerald Publishing Limited 2019 Emerald Publishing Limited Licensed re-use rights only Emerging markets Foreign ownership Execution costs Investability G11 G15...

... Publishing Limited Licensed re-use rights only Figure 1 Proportion of FDI from Hong Kong, Taiwan and Macao Foreign direct investment Exports Lateral direct investment Time-varying causality Vertical direct investment C32 F14 G15 Generally, the VAR...

... Spatial effects G22 G15 N25 The exchange rate has essential effects on import and export trades. The People’s Bank of China (PBOC) has been delaying free exchange rate police because PBOC worries that exchange rate volatility is difficult for enterprises to hedge foreign exchange risk, which...