Search Results - "Teplova, Tamara"

Can high trading volume and volatility switch boost momentum to show greater inefficiency and avoid crashes in emerging markets? The economic relationship in factor investing in emerging markets by Teplova, Tamara, Tomtosov, Aleksandr

“…•By examining the results of anomalies at different stages of the market, it was found that risk of momentum significantly reduced and return upwards with…”
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Economic policy uncertainty, geopolitical risk, market sentiment, and regional stocks: asymmetric analyses of the EU sectors by Bossman, Ahmed, Gubareva, Mariya, Teplova, Tamara

“…The purpose of this study is to investigate the asymmetric effects of economic policy uncertainty (EPU), geopolitical risk (GPR), and market sentiment (VIX) on…”
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A retail investor in a cobweb of social networks by Teplova, Tamara, Tomtosov, Aleksandr, Sokolova, Tatiana

“…In this study, using AI, we empirically examine the irrational behaviour, specifically attention-driven trading and emotion-driven trading such as consensus…”
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Flights-to-quality from EM Bonds to safe-haven US Treasury Securities: A time-frequency Analysis by Gubareva, Mariya, Umar, Zaghum, Teplova, Tamara, Vo, Xuan Vinh

“…We study 2001-2020 flight-to-quality episodes encompassing two planetary-scale crises: the Global Financial Crisis (GFC) of 2007-2008 and the…”
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Social sentiment and exchange-specific liquidity at a Eurasian stock exchange outside of US market hours by Teplova, Tamara, Gubareva, Mariya, Kudriavtsev, Nikolai

“…We perform a neural network analysis of the impact of Russian retail investors´ sentiment on the stock price behavior of well-known American companies. We…”
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Do Local and World COVID-19 Media Coverage Drive Stock Markets? Time-Frequency Analysis of BRICS by Bossman, Ahmed, Teplova, Tamara, Umar, Zaghum

“…The role of media coverage as a proxy for investor sentiments has led to the assessments of the impact of COVID-19 media coverage on financial markets. To…”
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The spillover of media sentiment on the sukuk bonds during COVID-19 pandemic by Umar, Zaghum, Adekoya, Oluwasegun Babatunde, Oliyide, Johnson Ayobami, Teplova, Tamara

“…This study focuses on the examination of the spillover impact of media sentiments (media coverage index, MCI), on the returns and volatility of the different…”
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The Multifaceted Sustainable Development and Export Intensity of Emerging Market Firms under Financial Constraints: The Role of ESG and Innovative Activity by Teplova, Tamara, Sokolova, Tatiana, Gubareva, Mariya, Sukhikh, Viktoria

“…The role of sustainable development in the export intensity of small and medium-size enterprises (SMEs) represents an open research question. We consider…”
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Surprises of corporate governance and Russian firms debt by Teplova, Tamara V., Sokolova, Tatiana V.

“…•We first analyze impact of corporate governance on Russian firms’ cost of debt.•We reveal impact of CEO power, external auditor power and state participation…”
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Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints by Teplova, Tamara, Evgeniia, Mikova, Munir, Qaiser, Pivnitskaya, Nataliya

“…This study examines the portfolio optimization problem by exploiting daily data of 10 international Exchange Trade Funds (ETF) from 2012 to 2022. We extend the…”
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The reinvestment risk premium in the valuation of British and Russian government bonds by Teplova, Tamara V., Rodina, Victoria A.

“…[Display omitted] This article studies the dynamic properties of the reinvestment risk premium in the UK and RF government bond markets. In a new interest rate…”
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Complex Interplay of Eastern Bloc SMEs Trade Credit Determinants: Changes due to the Global Financial Crisis by Teplova, Tamara, Sokolova, Tatiana, Galenskaya, Kristina, Gubareva, Mariya

“…We investigate whether the determinants of small and medium enterprises’ (SMEs) trade credits taken for purchasing fixed assets suffered substantial changes…”
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Stop losses momentum strategy: From profit maximization to risk control under White’s Bootstrap Reality Check by Teplova, Tamara, Mikova, Evgeniya, Nazarov, Nikolai

“…•Momentum strategies’ ranking should be based on risk and return criteria under the control of Bootstrap Reality Check.•Formation period should be 2–3 times…”
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Building the Index of Efficiency of FDI Transformation: Economic Development and Intellectual Capital by Teplova, Tamara V., Sokolova, Tatiana V.

“…We propose an original approach to constructing an index of efficiency of FDI transformation into steady economic and innovation growth. As factors of…”
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Extreme connectedness between cryptocurrencies and non-fungible tokens: portfolio implications by Mensi, Waild, Gubareva, Mariya, Al-Yahyaee, Khamis Hamed, Teplova, Tamara, Kang, Sang Hoon

“…We analyze the connectedness between major cryptocurrencies and nonfungible tokens (NFTs) for different quantiles employing a time-varying parameter vector…”
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New evidence on determinants of price momentum in the Japanese stock market by Teplova, Tamara, Mikova, Evgeniya

“…We investigate the cross section momentum effect in the Japanese stock market over the period January 1997 to December 2013, sub-periods before August 2008 and…”
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Shocks to supply and demand in the oil market, the equilibrium oil price, and country responses in economic indicators by Teplova, Tamara V., Lysenko, Vladimir V., Sokolova, Tatiana V.

“…We develop a model to forecast the equilibrium price in the oil market by balancing demand and supply at the level of interaction of the largest oil-consuming…”
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Market Development Determinants for Corporate Bonds in National Currencies: Emerging Markets Review by Teplova, Tamara V., Sokolova, Tatiana V.

“…Our paper offers analysis of tendencies and determinants of development of local currency corporate bond markets in the period from 2006 to 2015. We consider a…”
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Does stock exchange consolidation improve market liquidity? A study of stock exchange acquisition in Russia by Teplova, Tamara V., Rodina, Victoria A.

“…•Exchange consolidation is an example of financial sector consolidation and is a response to ever stiffening competition among organized trading venues and…”
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Quality of Institutions and Import Substitution of Capital: Cross-country Research on the Corporate Bond Markets by Teplova, Tamara V., Sokolova, Tatiana V., Teplov, Andrey S.

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