Studies in Economics and Finance: Volume 36 Issue 2

Sensitivity of economic policy uncertainty to investor sentiment: Evidence from Asian, developed and European markets

Mobeen Ur Rehman, Nicholas Apergis

This paper aims to explore the impact of investor sentiments on economic policy uncertainty (EPU). The analysis also considers the momentum effect, stock market returns volatility…

Corporate social responsibility and bankruptcy

Elizabeth Cooper, Hatice Uzun

This paper aims to examine corporate social responsibility (CSR) and corporate bankruptcy. Specifically, the authors ask the following research questions: Does CSR play a role in…

Testing derivatives pricing models under higher-order moment swaps

Ako Doffou

This paper aims to test three parametric models in pricing and hedging higher-order moment swaps. Using vanilla option prices from the volatility surface of the Euro Stoxx 50…

Crude oil price and implied volatility: Insights from non-parametric quantile regressions

Panos Fousekis

The purpose of this study is to investigate empirically the pattern of co-movement between prices and implied volatility in the future markets for crude oil.

How well can investors diversify with commodities? Evidence from a flexible copula approach

Panos Fousekis, Vasilis Grigoriadis

This paper aims to investigate empirically the linkages between stock and commodity futures markets.

Availability of private credit – does culture matter?

Bree Dority, Frank Tenkorang, Nacasius U. Ujah

This paper aims to examine the impact of national culture on private credit availability. The authors particularly focus on the masculinity dimension, as previous studies have not…

Test for volatility spillover effects in Japan’s oil futures markets by a realized variance approach

Tadahiro Nakajima

The purpose of this paper is twofold. First, the paper examines the risk transmission between crude oil and petroleum product prices of Japan’s oil futures market. Second, it…

Do mergers and acquisitions create value?: The post-M&A performance of acquiring firms in China and India

Krishna Reddy, Muhammad Qamar, Noel Yahanpath

The purpose of this paper is to study whether mergers and acquisitions (M&As) create value in Indian and Chinese markets.

Liquidity hedging with futures and forward contracts

Yong Jae Shin, Unyong Pyo

This paper aims to develop hedging strategies using both futures and forward contracts and issuing risky debt when financially constrained firms are forced to operate in long…

Further insights into the oil and equity market relationship

Olfa Belhassine, Amira Ben Bouzid

This paper aims to assess the asymmetric effects of oil price shocks and the impact of oil price volatility on the Eurozone’s supersector returns, with a particular emphasis on…

Acquirer size, political connections and mergers and acquisitions performance: Evidence from China

Xi Zhao, Huanyu Ma, Ting Hao

The purpose of this paper is to empirically examine the relationships between acquirer size and performance outcomes of the different process of acquisition in the Chinese context…