Journal of Risk Finance: Volume 23 Issue 2

Wavelet power spectrum analysis of ETF’s tracking error

Aniel Nieves-González, Javier Rodríguez, José Vega Vilca

This study examines the tracking error (TE) of a sample of sector exchange traded funds (ETFs) using spectral techniques.

Political sentiment and stock crash risk

Cathy Xuying Cao, Chongyang Chen

This paper examines the relation between political sentiment and future stock price crash risk.

Personal characteristics and risk tolerance in a natural experiment

Peter Brous, Bo Han

This paper examines students' decisions when playing an in-class version of the TV game, Deal or No Deal (DOND), to study the relation between personal characteristics and…

ESG and corporate credit spreads

Florian Barth, Benjamin Hübel, Hendrik Scholz

The authors investigate the implications of environmental, social and governance (ESG) practices of firms for the pricing of their credit default swaps (CDS). In doing so, the…

Quantifying the hedge and safe-haven properties of bond markets for cryptocurrency indices

Sitara Karim, Muhammad Abubakr Naeem, Nawazish Mirza, Jessica Paule-Vianez

This study quantified the hedge and safe haven features of bond markets for multiple cryptocurrency indices from June 2014 to April 2021 to highlight whether bond markets offer…

Extreme dependence and risk spillover across G7 and China stock markets before and during the COVID-19 period

Ahmed Ghorbel, Mohamed Fakhfekh, Ahmed Jeribi, Amine Lahiani

The paper analyzes downside and upside risk spillovers between stock markets of G7 countries and China before and during the COVID-19 pandemic.