Search Results - "The North American journal of economics and finance"

Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak by Abuzayed, Bana, Al-Fayoumi, Nedal

“…•We examined oil price extreme tail risk spillover to GCC stock markets.•Three important measures of tail dependence risk are estimated.•All GCC stock markets…”
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Leverage and firm performance: New evidence on the role of firm size by Ibhagui, Oyakhilome W., Olokoyo, Felicia O.

“…In this paper, we draw on the Hansen (1999) threshold regression model to examine the empirical links between leverage and firm performance by means of a new…”
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Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis by Hasan, Md. Bokhtiar, Mahi, Masnun, Hassan, M. Kabir, Bhuiyan, Abul Bashar

“…•We explore the effect of COVID-19 on the Islamic and conventional stock markets.•The pandemic creates identical volatility in both stock markets.•The markets…”
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The impact of China’s one belt one road initiative on international trade in the ASEAN region by Foo, Nam, Lean, Hooi Hooi, Salim, Ruhul

“…This study explores the potential effects of China’s ‘One Belt One Road’ (OBOR) policy on trade flows in ASEAN countries and China. We use the augmented…”
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Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network by Zhang, Weiping, Zhuang, Xintian, Wang, Jian, Lu, Yang

“…This paper investigates the systemic risk spillovers and connectedness in the sectoral tail risk network of Chinese stock market, and explores the transmission…”
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High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets by Mensi, Walid, Sensoy, Ahmet, Aslan, Aylin, Kang, Sang Hoon

“…•We examine the asymmetric volatility connectedness in the BTC and precious metals markets.•We find evidence of significant spillover effects in volatility…”
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Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic by Esparcia, Carlos, Jareño, Francisco, Umar, Zaghum

“…•Strong dependencies between very distant markets and Gold are found on the first wave of the pandemic.•G7-Gold correlation patterns are very similar, while…”
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Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic by Okorie, David Iheke, Lin, Boqiang

“…•Examines the impact of COVID-19 outbreak on stock markets’ information efficiency.•Sampled stock markets from the top four (4) most COVID-19 affected…”
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Analysis of the impact of COVID-19 pandemic on G20 stock markets by Li, Yanshuang, Zhuang, Xintian, Wang, Jian, Dong, Zibing

“…•The impact of the COVID-19 pandemic on G20 stock markets is studied.•The volatility connectedness among the G20 stock markets are calculated.•Developed…”
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Time and frequency connectedness and portfolio diversification between cryptocurrencies and renewable energy stock markets during COVID-19 by Li, Zijian, Meng, Qiaoyu

“…•Time and frequency connectedness between cryptocurrencies and renewable energy stock markets are addressed.•Portfolio design and hedging strategy are…”
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Time frequency analysis of the commonalities between Bitcoin and major Cryptocurrencies: Portfolio risk management implications by Mensi, Walid, Rehman, Mobeen Ur, Al-Yahyaee, Khamis Hamed, Al-Jarrah, Idries Mohammad Wanas, Kang, Sang Hoon

“…This paper uses wavelet coherence and cross wavelet transform approaches to examine co-movement between Bitcoin and five major cryptocurrencies (Dash,…”
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Risk spillover between Bitcoin and conventional financial markets: An expectile-based approach by Zhang, Yue-Jun, Bouri, Elie, Gupta, Rangan, Ma, Shu-Jiao

“…•The risk spillover between Bitcoin and conventional financial markets is detected.•This paper applies a risk spillover approach based on expectiles.•It shows…”
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The causality direction of the corporate social responsibility – Corporate financial performance Nexus: Application of Panel Vector Autoregression approach by Lin, Woon Leong, Law, Siong Hook, Ho, Jo Ann, Sambasivan, Murali

“…This study is an attempt to model the bidirectional linkages between corporate social responsibility (CSR) and corporate financial performance (CFP) by using…”
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Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday by Choi, Sun-Yong

“…We examine the volatility spillovers among various industries during the COVID-19 pandemic period. We measure volatility spillovers by defining the volatility…”
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Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios by Díaz, Antonio, Esparcia, Carlos, Huélamo, Diego

“…This paper empirically assesses the ability of three putative stablecoins (two dollar-backed, Tether and USD Coin; and one gold-backed, Digix Gold) to mitigate…”
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Connectedness of non-fungible tokens and conventional cryptocurrencies with metals by Yousaf, Imran, Gubareva, Mariya, Teplova, Tamara

“…•We study non-fungible token (NFT) and cryptocurrency connectedness with metals.•Vector Auto-Regression is employed to study spillovers from Mar 2018 to Aug…”
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Pricing efficiency and asymmetric multifractality of major asset classes before and during COVID-19 crisis by Mensi, Walid, Sensoy, Ahmet, Vo, Xuan Vinh, Kang, Sang Hoon

“…•Examine the impact of COVID-19 on the pricing efficiency of major asset classes.•We apply a permutation entropy and A-MF-DFA on intraday data.•We show that…”
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Herding in the bad times: The 2008 and COVID-19 crises by Ferreruela, Sandra, Mallor, Tania

“…•Herding is found in the markets of Spain and Portugal.•Imitation behaviour is not generally observed during the global financial crisis.•Herding is detected…”
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The impact of COVID-19 on the G7 stock markets: A time-frequency analysis by Rehman, Mobeen Ur, Kang, Sang Hoon, Ahmad, Nasir, Vo, Xuan Vinh

“…•We examine the impact of the COVID-19 on the G7 stock markets.•A time frequency method exhibits coherence between G7 returns and COVID-19 pandemic.•This…”
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Stablecoins as the cornerstone in the linkage between the digital and conventional financial markets by Gubareva, Mariya, Bossman, Ahmed, Teplova, Tamara

“…•We study linkages between stocks, treasuries, stablecoins, and cryptocurrencies.•Nonparametric quantile-causality-in-means & quantile-on-quantile regression…”
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