Studies in Economics and Finance: Volume 37 Issue 2

Liquidity of financial markets: a review

Abhinava Tripathi, Alok Dixit, Vipul

The purpose of this study is to systematically review and analyze the literature in the area of liquidity of financial markets. The study summarizes the key findings and…

Bitcoin, Litecoin, and the Euro: an annualized volatility analysis

Cynthia Miglietti, Zdenka Kubosova, Nicole Skulanova

This paper aims to empirically investigate the volatility of Bitcoin, Litecoin and the Euro.

Dynamic linkages among cryptocurrencies, exchange rates and global equity markets

Eleftheria Kostika, Nikiforos T. Laopodis

The purpose of this paper is to investigate the short- and long-run dynamic linkages between selected cryptocurrencies, several major world currencies and major equity indices…

A new approach to forecast market interest rates through the CIR model

Giuseppe Orlando, Rosa Maria Mininni, Michele Bufalo

The purpose of this study is to suggest a new framework that we call the CIR#, which allows forecasting interest rates from observed financial market data even when rates are…

Asymmetric effect of extreme changes in the exchange rate volatility on the US imports: Evidence from multiple threshold nonlinear autoregressive distributed lag model

Bisharat Hussain Chang, Suresh Kumar Oad Rajput, Niaz Ahmed Bhutto, Zahida Abro

Recent literature has shifted to examining whether exchange rate volatility symmetrically or asymmetrically affects the trade flows. This study aims to extend the existing…

Testing the efficiency of metal's market: new evidence from a generalized spectral test

Rajesh Pathak, Ranjan Das Gupta, Cleiton Guollo Taufemback, Aviral Kumar Tiwari

This paper aims to examine the weak form of efficiency for price series of four precious metals, i.e. gold, silver, platinum and palladium, using a generalized spectral method.

The information content of US stock market factors

Mohammed M. Elgammal, Fatma Ehab Ahmed, David G. McMillan

The purpose of this paper is to consider the economic information content within several popular stock market factors and to the extent to which their movements are both explained…

A weighted Fama-MacBeth two-step panel regression procedure: asymptotic properties, finite-sample adjustment, and performance

Kyuseok Lee

In a recent paper, Yoon and Lee (2019) (YL hereafter) propose a weighted Fama and MacBeth (FMB hereafter) two-step panel regression procedure and provide evidence that their…

Time series momentum trading in green stocks

Gagari Chakrabarti, Chitrakalpa Sen

The purpose of this study is to explore the inherent instability, if any, in the context of investment in stocks of environment friendly companies (or the “green” stocks) across…

Impact of financial liquidity and solvency on cost efficiency: evidence from US banking system

Kekoura Sakouvogui, Saleem Shaik

The purpose of this paper is to evaluate the importance of financial liquidity and solvency on US commercial and domestic banks’ cost efficiency while accounting for internal and…