Studies in Economics and Finance: Volume 40 Issue 5

Senior official speeches and severe price discontinuities in the foreign exchange market

Mohamed A. Ayadi, Walid Ben Omrane, Jiayu Wang, Robert Welch

This study aims to better understand the effects of speeches as a valuable communication tool for central banks. It extends the analysis of the effects of public speeches on jumps…

Contemporaneous dependence between euro, crude oil, and gold returns and their respective implied volatility changes. Evidence from the local Gaussian correlation approach

Panos Fousekis

This study aims to assess the contemporaneous dependence between euro, crude oil and gold returns and their respective implied volatility changes.

Time-varying connectedness and causality between oil prices and G7 economies exchange rates. Evidence from the COVID-19 and Russia-Ukraine crises

Ngo Thai Hung

This study aims to attempt to investigate the time-varying causality and price spillover effects between crude oil and exchange rate markets in G7 economies during the COVID-19…

Time-varying dependence and currency tail risk during the Covid-19 pandemic

Fabio Gobbi, Sabrina Mulinacci

The purpose of this paper is to introduce a generalization of the time-varying correlation elliptical copula models and to analyse its impact on the tail risk of a portfolio of…

The response of gold to the COVID-19 pandemic

Zhaoying Lu, Hisashi Tanizaki

This study aims to investigate how the gold return and its volatility respond to the COVID-19 pandemic.

Bank capital and risk relationship during COVID-19: a cross-country evidence

Quang Thi Thieu Nguyen, Dao Le Trang Anh, Christopher Gan

This study aims to examine the relationship between bank capital and bank risk during COVID-19.

Too hot and too close. Bitcoin and gold dynamics during COVID times

Pablo Agnese

This paper aims to analyze the connectedness between bitcoin (BTC) and other traditional assets (e.g. metals) in times of financial turbulence like the COVID pandemic. The purpose…

The impact of the Market Abuse Directive on illegal insider trading: evidence from three Southern European stock markets

Júlio Lobão, Sofia P. Baptista

This study aims to examine the deterrent effect of the Market Abuse Directive (MAD) introduced in the European Union in 2003. The purpose is to evaluate whether the Directive has…

Investment decisions and small and medium-sized enterprise indebtedness: Heckman’s two-stage approach

Argjente Qerimi, Besnik A. Krasniqi, Driton Balaj, Muhamet Aliu, Skender Ahmeti

Insufficient internal financing capacities and challenges to accessing external finance are crucial to small and medium-sized enterprises (SMEs) investment and growth. This study…

Determinants of water consumption in Thailand: sustainable development of water resources

Sasipha Tangworachai, Wing-Keung Wong, Fang-Yi Lo

Freshwater availability is reducing globally, due to increasing demand with population growth and climate change and is disproportionately impacting developing countries. This…

An assessment of the impact of the PSPP on Spanish public bonds

Enrique Izquierdo-Cervera, Francisco Sogorb-Mira

The purpose of this study is to analyse the impact of the European Central Bank’s (ECB) Public Sector Purchase Programme (PSPP) on Spanish sovereign debt.

Testing for monotonicity, linearity and symmetry between trading volume and price returns in the futures markets of agricultural commodities: a discussion on the financial implications

Dimitrios Panagiotou, Konstantinos Karamanis

The aim of this study is to investigate for monotonicity, linearity and symmetry for the price volatility–trading volume relationship in the futures markets of agricultural…