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Herding on Fundamental/Nonfundamental Information During the COVID-19 Outbreak and Cyber-Attacks : Evidence From the Cryptocurrency Market
(SAGE Publications, 2021-07-06)
We provide an empirical analysis of herding behavior in cryptocurrency markets during COVID-19 and periods of cyber-attacks, differentiating between fundamental and nonfundamental herding. The results show that herding ...
Forecasting realized volatility : New evidence from time-varying jumps in VIX
Given that jumps in the implied volatility index (VIX) lead to rapid changes in the level of volatility, they may contain significant predictive information for the realized variance (RV) of stock returns. Against this ...
Financial stress and crude oil implied volatility: New evidence from continuous wavelet transformation framework
This study explores the theoretical possibility of co-movement and causality between crude oil implied volatility (OVX) and financial stress in a wavelet framework. The paper contributes to the existing literature in at ...
In search of time-varying jumps during the turmoil periods : Evidence from crude oil futures markets
Prior literature demonstrates that energy prices are characterized by time-varying jumps. However, earlier studies do not investigate if the intensity of such jumps appears to be higher amid periods of extreme volatility ...
Dependence structure between the international crude oil market and the European markets of biodiesel and rapeseed oil
Being an environmentally friendly fuel obtained from rapeseed oil, biodiesel is used extensively in Europe. However, the dependence structure between global crude oil prices and the European prices of biodiesel and rapeseed ...
Impact of external assurance on corporate climate change disclosures : new evidence from Finland
Purpose The purpose of this research is to examine the impact of external assurance on the level of voluntary corporate climate change disclosures by Finnish firms. Design/methodology/approach The sample of this study ...
Pricing of IPOs : further evidence from South Africa
(Virtus Interpress, 2015)
We examine the long-term performance of 225 IPOs listed on the Johannesburg Securities Index (JSE) during the period from 1996 to 2006. The buy-and-hold abnormal return (BHAR) method and the calendar time portfolio (CTP) ...
Do green investments react to oil price shocks? Implications for sustainable development
This study investigates whether green investments are connected to oil price shocks. While earlier papers mainly investigate the linkage between clean energy stock and crude oil prices, we consider recently introduced ...
Can clean energy stock price rule oil price? New evidences from a regime-switching model at first and second moments
The study evaluates nonlinear price transmission mechanisms between clean energy stock and crude oil price in levels, mean, and error variances. We propose a novel way of combining a two-regime threshold vector error ...
Outliers and Time-Varying Jumps in the Cryptocurrency Markets
We examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin, Ethereum, Ripple, Dogecoin, Litecoin), and a broad cryptocurrency index (CCI30). The results indicate that ...