Studies in Economics and Finance: Volume 39 Issue 1

Broker-dealer leverage volatility and the US stock prices

Khandokar Istiak

Broker-dealer leverage volatility increases during booms and crisis periods, but its impact on stock prices is relatively unexplored. This paper aims to investigate whether…

Bitcoin’s value proposition: shorting expansionary monetary policies

Thibaut Morillon

Professionals and academics alike hold polarized opinions about Bitcoin’s purpose and its fundamental value. This paper aims to describe Bitcoin’s unique features that make it…

The liquidity aspects of peer-to-peer lending

Tímea Ölvedi

The purpose of this paper is to investigate investor behavior in the market of peer-to-peer lending, which is an alternative form of finance, from the liquidity perspective.

The role of precious metals in extreme market conditions: evidence from stock markets

Sinem Guler Kangalli Uyar, Umut Uyar, Emrah Balkan

The purpose of this paper is to scrutinize three different points: How safe haven properties of precious metals (gold, silver, platinum and palladium) differentiate in two recent…

The long-term effects of section transfers on return volatility: Intraday and overnight periods

Rodrigue Majoie Abo

Studies on transfers to a more regulated section show an increase in information disclosure and stocks’ liquidity levels. Classical theories suggest that volatility should also be…

Bitcoin-specific fear sentiment matters in the COVID-19 outbreak

Ali Yavuz Polat, Ahmet Faruk Aysan, Hasan Tekin, Ahmet Semih Tunali

This study aims to investigate the effect of fear sentiment with a novel data set on Bitcoin’s (BTC) return, volatility and transaction volume. The authors divide the sample into…

The predictive ability of stock market factors

Mohammed Mohammed Elgammal, Fatma Ehab Ahmed, David Gordon McMillan

This paper aims to ask whether a range of stock market factors contain information that is useful to investors by generating a trading rule based on one-step-ahead forecasts from…

The determinants of the COVID-19 related stock price overreaction and volatility

Yiyang Val Sun, Bin Liu, Tina Prodromou

This study aims to investigate which stock characteristics and corporate governance variables affect stock price overreaction and volatility during the COVID-19 pandemic period.

Autoregressive conditional duration models for high frequency financial data: an empirical study on mid cap exchange traded funds

Houmera Bibi Sabera Nunkoo, Preethee Nunkoo Gonpot, Noor-Ul-Hacq Sookia, T.V. Ramanathan

The purpose of this study is to identify appropriate autoregressive conditional duration (ACD) models that can capture the dynamics of tick-by-tick mid-cap exchange traded funds…