... may be related to investor horizons, e.g. Algaba and Boudt (2017) ], allowing for three components. Stock returns Price-dividend ratio Dividend growth Consumption Growth Breaks Trend and cycle Predictability C22 G12 Stock return predictability remains one of the most active...

.../180501/000086) and the Spanish Universidad de Castilla-La Mancha (2025-GRIN-38406), both of which were co-financed with ERDF funds. C21 C22 C51 F21 G12 G32 H12 Interest rates Tokens Quantile regression Market conditions © 2025 Emerald Publishing Limited 2025 Emerald Publishing...

... component analysis Economic growth C22 E02 O40 Q01 Economic growth has been associated with improvement in living standards, and early discussion among scholars has focused on the driving factors. Classical economic growth theory emphasizes the role of capital and labor as the main...

... structure Tail risk Exchange rates G11 G15 C22 The recent financial crisis due to the Covid-19 pandemic has highlighted the importance of the systemic risk in the dynamics of financial markets. The conditional dependence among financial instruments can drastically change in periods...

...) COVID-19 pandemic crisis Non-ferrous industrial metals C22 C51 L61 Q02 The rest of the paper is structured as follows. Section 2 gives a recent review of previous literature on connectedness measures in commodity markets and the impact of the COVID-19 pandemic. Section 3 describes...

... Maghyereh can be contacted at: a.almaghaireh@uaeu.ac.ae Price bubbles Precious metals Contagion effect Global financial crises European sovereign debt crisis COVID-19 pandemic E3 G1 C22 F3 The existence of bubbles within the series can be tested by comparing the G S A D...

...-GARCH C22 D80 G19 There has been an increasing interest in cryptocurrencies in recent years in the global financial system. Cryptocurrencies are based on a number of ciphers and are traded virtually. The fact that this system is in a development process that would replace the existing...

... factors Trading rule Stock market factors Panel C22 G12 A major strand of the current asset pricing literature is the search for factors that explain the behaviour of stock returns. This approach largely began with Fama and French (1992 , 1993), who identify their three-factor model...

...) construct a daily internet search-based fear index and find that the fear index can predict asset prices and volatility. Volatility TRMI COVID-19 Fear sentiment Bitcoin’s return Transaction volume C22 G12 G18 G41 Bitcoin’s (BTC) price experienced a sharp drop, from US$9,147...

... G01 G11 G15 G23 C22 Although human history has had good times, it has often witnessed calamities such as war, famine, natural disasters, pandemics and crises. The negative effects of these undesirable situations on the markets have become feared outcomes for some investors. To avoid...

... Emerald Publishing Limited 2020 Emerald Publishing Limited Licensed re-use rights only Predictability Quantile Cross-quantilogram Risk premia Oil return C22 F31 The relationship between oil and financial markets is well documented in a large strand of the energy economics...

...: the research on the dynamics of specific commodity time series; the research on the impact of the macroeconomic performance on commodity prices; and the research on co-movements between commodities. Multivariate GARCH Dynamic volatility spillovers Energy futures G1 C22 C32 Q4...

... Macroeconomic risk C22 G12 In understanding asset price behavior, current research typically forms portfolios based on some firm characteristic, measure of value or past stock returns. This often includes, to provide a few examples, defining a portfolio according to size (such as large and small...

... to examine co-movements across a wide range of international stock markets. Causality Volatility Correlation VAR Returns Bonds Spillovers Stocks C22 G12 Understanding the nature of the interactions between stocks and bonds both across countries and across assets is important...

... Limited 2020 Emerald Publishing Limited Licensed re-use rights only Market efficiency Coffee Spot price Futures C12 C22 G14 Q11 Among primary commodities, coffee occupies an important place in the economies of more than 70 developing countries around the world, where...

... interdependency Quantile LASSO C22 C55 C58 G17 Interdependencies or interlinkages are crucial in many research domains such as physiology (Klein et al., 1986), development and inequality analysis (Chotia and Rao, 2017), power system security (Li et al., 2008), information...

... t - θ s t e t - 1 Regime switching Volatility Cryptocurrencies Bull and bear markets C5 C22 G1 Afterward, the literature on digital currencies is largely focused on investigating the dynamics of cryptocurrencies prices. In other words, the debate...

... returns Structural breaks C22 G12 Q43 The price of oil is considered an important risk factor for stock markets. The study of the oil-stock market relationship is particularly interesting and has attracted many researchers for decades. These studies have reached mixed results. One...

... only Dynamic time warping Johansen test Kalman filter Kalman smoother Precious metals Q43 C22 C32 Precious metals such as gold or silver are, next to the use as jewelry or in industrial processes, a popular commodity and investment vehicle. It is therefore important...

...-at-risk C22 C53 C53 The impact of the series of crises on the financial markets during the past two decades (e.g. the Asian financial crisis in 1997, the collapse of Long-Term Capital Management in 1998, the Russian financial crisis in 1998, global financial crisis in 2007-2009...