... control to trading frequency, portfolio concentration, risk-taking and net investment performance, while realized volatility conditions the strength of these relationships. Design/methodology/approach This study uses a theory-calibrated simulated panel of 1,000 heterogeneous investors. Standardized...

...João Afonso Coelho; António Portugal Duarte; Fátima Sol Murta Purpose The purpose of this study is to investigate the volatility dynamics of cryptocurrencies, fiat currencies from high-inflation economies and gold to assess their potential as stable stores of value in economically unstable...

...Viktor Santiago; Michel Charifzadeh; Tim Alexander Herberger Purpose This study aims to investigate the impact of the 2022 collapse of the Terra-Luna ecosystem on volatility correlations among digital assets, including U.S. Terra, Luna, Bitcoin, Ether, a Decentralized Finance index and U.S...

... of refugees from Ukraine and volatility of the stock indices and exchange rate of the host countries; volatility was significant in the first weeks after the start of the conflict in all the analyzed states; and the highest volatility was recorded in Hungary and Poland; the effect of refugees was stronger...

...-varying parameter vector autoregression (TVP-VAR) framework and a dynamic connectedness measure to study the volatility, skewness and kurtosis of most traded currency futures. Findings The authors’ results suggest a time-varying presence of dynamic connectedness within higher moments of currency...

...Zhaoying Lu; Hisashi Tanizaki Purpose This study aims to investigate how the gold return and its volatility respond to the COVID-19 pandemic. Design/methodology/approach Stochastic volatility (SV) models are conducted to examine the response of gold to the number of new confirmed cases...

.... Findings The emerging markets experienced significant negative abnormal returns on the event day. The CCPI negatively affects longer pre-event CARs, while WETI significantly negatively associates with CARs during longer pre- and post-event windows. Volatility is negatively related to pre- and post-event...

... Contrarian profit Portfolio Investing strategy Momentum Liquidity Volatility Numerous studies have established the presence of robust abnormal profits for contrarian investment strategies. For instance, De Bondt and Thaler’s (1985) research has demonstrated that stocks that underperformed over...

...Lars Tegtmeier Purpose This paper aims to analyze the characteristics of stochastic volatility processes in globally listed private equity (LPE) markets, which are represented by nine global, regional and style indices, and reveals transmissions in the conditional variances between the different...

...Ali Yavuz Polat; Ahmet Faruk Aysan; Hasan Tekin; Ahmet Semih Tunali Purpose This study aims to investigate the effect of fear sentiment with a novel data set on Bitcoin’s (BTC) return, volatility and transaction volume. The authors divide the sample into two subperiods to capture the changing...

...Khandokar Istiak Purpose Broker-dealer leverage volatility increases during booms and crisis periods, but its impact on stock prices is relatively unexplored. This paper aims to investigate whether broker-dealer leverage volatility is a key driver for stock prices. Design/methodology/approach...

...David G. McMillan Purpose This paper aims to examine the behaviour, both contemporaneous and causal, of stock and bond markets across four major international countries. Design/methodology/approach The authors generate volatility and correlations using the realised volatility approach...

...Azza Bejaoui; Salim Ben Sassi; Jihed Majdoub Purpose In this paper, the authors seek to investigate the dynamics of Bitcoin, Litecoin, Ethereum and Ripple daily returns and volatilities. Design/methodology/approach In this paper, the authors apply the MS-ARMA model on daily returns of Bitcoin...

...Cynthia Miglietti; Zdenka Kubosova; Nicole Skulanova Purpose This paper aims to empirically investigate the volatility of Bitcoin, Litecoin and the Euro. Design/methodology/approach The authors use quantitative methodologies to assess the annualized volatility of two cryptocurrencies and one...

... and recommendations. Gianluca Piero Maria Virgilio can be contacted at: consultgv@gmail.com 12 07 2018 08 04 2019 29 04 2019 © Emerald Publishing Limited 2019 Emerald Publishing Limited Licensed re-use rights only Crisis Volatility Liquidity Flash Crash Forced sales Stop...

...Panos Fousekis Purpose The purpose of this study is to investigate empirically the pattern of co-movement between prices and implied volatility in the future markets for crude oil. Design/methodology/approach The tool of non-parametric quantile regression is applied to daily price returns...

...Scott J. Niblock; Elisabeth Sinnewe Purpose The purpose of this paper is to examine whether superior risk-adjusted returns can be generated using monthly covered call option strategies in large capitalized Australian equity portfolios and across varying market volatility conditions. Design...

...Benjamin Carlston Purpose The purpose of this paper is to predict real gross domestic product (GDP) growth and business cycles by using information from both liquidity and volatility measures. Design/methodology/approach The paper estimates liquidity and volatility measures from over 5,000...

...Charilaos Mertzanis Purpose The relationship between short selling, market volatility and liquidity remains an object of intensive research. However, empirical evidence is yet to provide a conclusive elucidation of this relationship by examining aspects of market fragmentation in the form...

...Gang Li Purpose This paper aims to study whether noisy public information that investors receive about the expected aggregate dividend growth rate can help better understand the large average equity premium and stock return volatility in the US financial market. Design/methodology/approach...