Studies in Economics and Finance: Volume 41 Issue 5

American option evaluations using higher moments

Patrice Gaillardetz, Saeb Hachem

By using higher moments, this paper extends the quadratic local risk-minimizing approach in a general discrete incomplete financial market. The local optimization subproblems are…

Does banning cryptocurrencies affect stock markets?

Ahmed W. Elroukh

This paper aims to investigate the impact of banning cryptocurrencies on stock markets.

Precious metal prices: a tale of four US recessions

Pablo Agnese, Pedro Garcia del Barrio, Luis Alberiko Gil-Alana, Fernando Perez de Gracia

The purpose of this paper is to examine the degree of persistence in four precious metal prices (i.e. gold, palladium, platinum and silver) during the last four US recessions.

Co-volatility dynamics in global cryptocurrency and conventional asset classes: a multivariate stochastic factor volatility approach

Shalini Velappan

This study aims to investigate the co-volatility patterns between cryptocurrencies and conventional asset classes across global markets, encompassing 26 global indices ranging…

Stock market indices and interest rates in the US and Europe: persistence and long-run linkages

Guglielmo Maria Caporale, Luis Alberiko Gil-Alana, Eduard Melnicenco

This paper aims to analyse the persistence of the S&P500 and DAX 30 stock indices as well as of the Fed’s Effective Federal Funds rate and of the European Central Bank’s Marginal…

Return and volatility transmission among economic policy uncertainty, geopolitical risk and precious metals

Opeoluwa Adeniyi Adeosun, Suhaib Anagreh, Mosab I. Tabash, Xuan Vinh Vo

This paper aims to examine the return and volatility transmission among economic policy uncertainty (EPU), geopolitical risk (GPR), their interaction (EPGR) and five tradable…

Hidden truncation model with heteroskedasticity: S&P 500 index returns reexamined

Rachid Belhachemi

This paper aims to introduce a heteroskedastic hidden truncation normal (HTN) model that allows for conditional volatilities, skewness and kurtosis, which evolve over time and are…

Can mutual fund characteristics predict future performance? Evidence from Portugal

Maria Inês Sá, Paulo Leite, Maria Carmo Correia

This paper aims to investigate not only the performance of Portuguese mutual funds investing in domestic and international equities but also which fund characteristics, such as…

Dynamic connectedness among market volatilities: a perspective of COVID-19 and Russia-Ukraine conflict

Prince Kumar Maurya, Rohit Bansal, Anand Kumar Mishra

This paper aims to investigate the dynamic volatility connectedness among 13 G20 countries by using the volatility indices.

In what way can worldwide robotics and artificial intelligence encourage development in green crypto investments? An implementation of a model-free connectedness technique

Le Thanh Ha

This study aims to investigate connections between the development of robotic and artificial intelligence (AI) and green crypto investments. The author also explores the…

Interrelations between bitcoin market sentiment, crude oil, gold, and the stock market with bitcoin prices: Vision from the hedging market

Guanghao Wang, Chenghao Liu, Erwann Sbai, Mingyue Selena Sheng, Jinhong Hu, Miaomiao Tao

The purpose of this study is to examine Bitcoin's price behavior across market conditions, focusing on the influence of Bitcoin's historical prices, news sentiment and market…

Altcoins as safe havens for bitcoin investors

Jin Cai, Gerard Pinto

This paper aims to improve how investors can better manage their exposure to bitcoin (BTC), given the growing importance of BTC and the accompanying high volatility of BTC. This…