Details about Riza Demirer
Access statistics for papers by Riza Demirer.
Last updated 2021-01-21. Update your information in the RePEc Author Service.
Short-id: pde668
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Working Papers
2021
- Interest Rate Uncertainty and the Predictability of Bank Revenues
Working Papers, Copenhagen Business School, Department of Economics 
Also in Working Papers, University of Pretoria, Department of Economics (2020)
2020
- A Note on Oil Price Shocks and the Forecastability of Gold Realized Volatility
Working Papers, University of Pretoria, Department of Economics
- A Note on Uncertainty due to Infectious Diseases and Output Growth of the United States: A Mixed-Frequency Forecasting Experiment
Working Papers, University of Pretoria, Department of Economics View citations (1)
- COVID-19 Pandemic and Investor Herding in International Stock Markets
Working Papers, University of Pretoria, Department of Economics
- Effect of Rare Disaster Risks on Crude Oil: Evidence from El Nino from Over 140 Years of Data
Working Papers, University of Pretoria, Department of Economics
- Forecasting Realized Stock-Market Volatility: Do Industry Returns have Predictive Value?
Working Papers, University of Pretoria, Department of Economics
- Investor Sentiment and (Anti-)Herding in the Currency Market: Evidence from Twitter Feed Data
Working Papers, University of Pretoria, Department of Economics
- Monetary Policy and Speculative Spillovers in Financial Markets
Working Papers, University of Pretoria, Department of Economics
- Oil-Shocks and Directional Predictability of Macroeconomic Uncertainties of Developed Economies: Evidence from High-Frequency Data
Working Papers, University of Pretoria, Department of Economics
- Predicting Firm-Level Volatility in the United States: The Role of Monetary Policy Uncertainty
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Economics and Business Letters (2020)
- Sentiment and Financial Market Connectedness: The Role of Investor Happiness
Working Papers, University of Pretoria, Department of Economics
- The Predictive Power of Oil Price Shocks on Realized Volatility of Oil: A Note
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Resources Policy (2020)
- The U.S. Term Structure and Return Volatility in Global REIT Markets
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in International Association of Decision Sciences (2020)
- This paper provides a long-term perspective to the causal linkages between currency dynamics and macroeconomic conditions by utilising a long span data set for the United Kingdom that extends back to 1856 and a time-varying causality testing methodology that accounts for the nonlinearity and structural breaks. Using unemployment fluctuations as a proxy for macroeconomic conditions and wavelet decompositions to obtain the fundamental factor that drives excess returns for the British pound, time varying causality tests based on alternative model specifications yield significant evidence of causal linkages and information spillovers across the labour and currency markets over the majority of the sample. Causal effects seem to strengthen during the Great Depression and later following the collapse of the Bretton Woods system, highlighting the role of economic crises in the predictive linkages between the two markets. While the predictive role of currency market dynamics over unemployment fluctuations reflects the effect of exchange rate volatility on corporate investment decisions, which in turn, drives subsequent labour market dynamics (e.g. Belke & Gross (2001); Belke & Kaas (2004); Feldman (2011); among others), we argue that causality in the direction of exchange rates from unemployment possibly reflects the signals regarding monetary policy actions, which in turn, spills over to financial markets. Overall, the findings indicate significant information spillovers across the labour and currency markets in both directions with significant policy making implications
School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town
- Unemployment Fluctuations and Currency Returns in the United Kingdom: Evidence from Over One and a Half Century of Data
Working Papers, University of Pretoria, Department of Economics
2019
- Cross-Border Capital Flows and Return Dynamics in Emerging Stock Markets: Relative Roles of Equity and Debt Flows
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Journal of International Money and Finance (2020)
- Economic Policy Uncertainty and Herding Behavior: Evidence from the South African Housing Market
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Advances in Decision Sciences (2019)
- Gold, Platinum and the Predictability of Bond Risk Premia
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets
Working Papers, Eastern Mediterranean University, Department of Economics View citations (3)
See also Journal Article in Energy Policy (2019)
- Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests
Working Papers, University of Pretoria, Department of Economics View citations (1)
- The Effect of Global Crises on Stock Market Correlations: Evidence from Scalar Regressions via Functional Data Analysis
Working Papers, University of Pretoria, Department of Economics View citations (4)
See also Journal Article in Structural Change and Economic Dynamics (2019)
- The Predictability of Stock Market Volatility in Emerging Economies: Relative Roles of Local, Regional and Global Business Cycles
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Journal of Forecasting (2020)
- The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach
Working Papers, University of Pretoria, Department of Economics
- The U.S. term structure and stock market volatility: Evidence from emerging stock markets
Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences
- Time-Varying Risk Aversion and the Predictability of Bond Premia
Working Papers, University of Pretoria, Department of Economics View citations (4)
See also Journal Article in Finance Research Letters (2020)
- Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Economies (2020)
2018
- Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from Stocks, Bonds and Commodities
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in Journal of Economics and Behavioral Studies (2018)
- Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Sustainability (2019)
- Firm-Level Political Risk and Asymmetric Volatility
Working Papers, University of Pretoria, Department of Economics View citations (6)
See also Journal Article in The Journal of Economic Asymmetries (2018)
- Forecasting Stock Market (Realized) Volatility in the United Kingdom: Is There a Role for Economic Inequality?
Working Papers, University of Pretoria, Department of Economics
- Geopolitical Risks and the Predictability of Regional Oil Returns and Volatility
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Investor Sentiment and Crash Risk in Safe Havens
Working Papers, University of Pretoria, Department of Economics View citations (4)
See also Journal Article in Journal of Economics and Behavioral Studies (2019)
- Presidential Cycles and Time-Varying Bond-Stock Correlations: Evidence from More than Two Centuries of Data
Working Papers, University of Pretoria, Department of Economics View citations (2)
- Time-Varying Risk Aversion and Realized Gold Volatility
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in The North American Journal of Economics and Finance (2019)
2017
- A Note on the Technology Herd: Evidence from Large Institutional Investors
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Review of Behavioral Finance (2019)
- Country Risk Ratings and Stock Market Returns in BRICS Countries: A Nonlinear Dynamic Approach
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Credit Ratings and Predictability of Stock Returns and Volatility of the BRICS and the PIIGS: Evidence from a Nonparametric Causality-in-Quantiles Approach
Working Papers, University of Pretoria, Department of Economics
- Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Defence and Peace Economics (2019)
- Oil Returns and Volatility: The Role of Mergers and Acquisitions
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Energy Economics (2018)
- Oil Speculation and Herding Behavior in Emerging Stock Markets
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Journal of Economics and Finance (2019)
- On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators
Working Papers, University of Pretoria, Department of Economics View citations (3)
See also Journal Article in Quantitative Finance (2019)
- Time-Varying Rare Disaster Risks, Oil Returns and Volatility
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Energy Economics (2018)
2016
- Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Journal of Economics and Finance (2018)
- Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Sustainability (2017)
- Does speculation in the oil market drive investor herding in net exporting nations?
Working Papers, Eastern Mediterranean University, Department of Economics View citations (2)
- Effectiveness of Monetary Policy in the Euro Area: The Role of US Economic Policy Uncertainty
Working Papers, University of Pretoria, Department of Economics View citations (8)
- Geopolitical Risks and Stock Market Dynamics of the BRICS
Working Papers, University of Pretoria, Department of Economics View citations (24)
See also Journal Article in Economic Systems (2018)
- Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Resources Policy (2018)
- The Effect of Gold Market Speculation on REIT Returns in South Africa: A Behavioral Perspective
Working Papers, University of Pretoria, Department of Economics View citations (7)
See also Journal Article in Journal of Economics and Finance (2017)
- The Effect of Investor Sentiment on Gold Market Dynamics
Working Papers, University of Pretoria, Department of Economics
- The Predictive Power of Industrial Electricity Usage Revisited: Evidence from Nonparametric Causality Tests
Working Papers, University of Pretoria, Department of Economics
2014
- Oil Price Risk Exposure and the Cross-section of Stock Returns: The Case of Net Exporting Countries
Working Papers, Economic Research Forum View citations (3)
See also Journal Article in Energy Economics (2015)
- Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk
Working Papers, Eastern Mediterranean University, Department of Economics View citations (1)
See also Journal Article in Energy Economics (2016)
2013
- Commodity Financialization and Herd Behavior in Commodity Futures Markets
Working Papers, College of Business, University of Texas at San Antonio View citations (2)
- Do Global Shocks Drive Investor Herds in Oil-Rich Frontier Markets?
Working Papers, Economic Research Forum View citations (2)
Journal Articles
2020
- Cross-border capital flows and return dynamics in emerging stock markets: Relative roles of equity and debt flows
Journal of International Money and Finance, 2020, 109, (C) 
See also Working Paper (2019)
- Infectious Diseases, Market Uncertainty and Oil Market Volatility
Energies, 2020, 13, (16), 1-1 View citations (6)
- Oil and risk premia in equity markets
Studies in Economics and Finance, 2020, 37, (4), 697-723
- Oil price shocks, global financial markets and their connectedness
Energy Economics, 2020, 88, (C) View citations (4)
- Oil price uncertainty, global industry returns and active investment strategies
The Journal of Economic Asymmetries, 2020, 22, (C)
- Predicting firm-level volatility in the United States: the role of monetary policy uncertainty
Economics and Business Letters, 2020, 9, (3), 167-177 
See also Working Paper (2020)
- The U.S. term structure and return volatility in emerging stock markets
Journal of Economics and Finance, 2020, 44, (4), 687-707
- The US Term Structure and Return Volatility in Global REIT Markets
International Association of Decision Sciences, 2020, 24, (3), 84-109 
Also in Advances in Decision Sciences, 2020, 24, (3), 84-109 (2020) 
See also Working Paper (2020)
- The effect of global and regional stock market shocks on safe haven assets
Structural Change and Economic Dynamics, 2020, 54, (C), 297-308
- The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles
Journal of Forecasting, 2020, 39, (6), 957-965 
See also Working Paper (2019)
- The predictive power of oil price shocks on realized volatility of oil: A note
Resources Policy, 2020, 69, (C) 
See also Working Paper (2020)
- Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram
Economies, 2020, 8, (1), 1-1 
See also Working Paper (2019)
- Time-varying risk aversion and the predictability of bond premia
Finance Research Letters, 2020, 34, (C) View citations (1)
See also Working Paper (2019)
- Volatility forecasting with bivariate multifractal models
Journal of Forecasting, 2020, 39, (2), 155-167 View citations (4)
2019
- A note on the technology herd: evidence from large institutional investors
Review of Behavioral Finance, 2019, 11, (3), 294-308 
See also Working Paper (2017)
- Commodity-currencies or currency-commodities: Evidence from causality tests
Resources Policy, 2019, 60, (C), 162-168 View citations (3)
- Do firm characteristics matter in explaining the herding effect on returns?
Review of Financial Economics, 2019, 37, (2), 256-271
- Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies
Energy Economics, 2019, 83, (C), 375-388 View citations (8)
- Economic Policy Uncertainty and Herding Behavior Evidence from the South African Housing Market
Advances in Decision Sciences, 2019, 23, (1), 88-113 
Also in International Association of Decision Sciences, 2019, 23, (1), 88-113 (2019) 
See also Working Paper (2019)
- Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests
Sustainability, 2019, 11, (2), 1-1 View citations (11)
See also Working Paper (2018)
- Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note
Defence and Peace Economics, 2019, 30, (3), 367-379 View citations (7)
See also Working Paper (2017)
- Herding and flash events: Evidence from the 2010 Flash Crash
Finance Research Letters, 2019, 31, (C) View citations (2)
- Industry Herding and the Profitability of Momentum Strategies During Market Crises
Journal of Behavioral Finance, 2019, 20, (2), 195-212
- Investor Sentiment and Crash Risk in Safe Havens
Journal of Economics and Behavioral Studies, 2019, 10, (6), 97-108 View citations (2)
See also Working Paper (2018)
- Oil speculation and herding behavior in emerging stock markets
Journal of Economics and Finance, 2019, 43, (1), 44-56 View citations (2)
See also Working Paper (2017)
- On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators
Quantitative Finance, 2019, 19, (5), 843-858 View citations (5)
See also Working Paper (2017)
- Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets
Energy Policy, 2019, 134, (C) View citations (3)
See also Working Paper (2019)
- The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging
Energy Economics, 2019, 84, (C) View citations (4)
- The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis
Structural Change and Economic Dynamics, 2019, 50, (C), 132-147 View citations (4)
See also Working Paper (2019)
- Time-varying risk aversion and realized gold volatility
The North American Journal of Economics and Finance, 2019, 50, (C) View citations (9)
See also Working Paper (2018)
2018
- Country Risk Ratings and Stock Market Returns in Brazil, Russia, India, and China (BRICS) Countries: A Nonlinear Dynamic Approach
Risks, 2018, 6, (3), 1-1
- Differences of opinion and stock market volatility: evidence from a nonparametric causality-in-quantiles approach
Journal of Economics and Finance, 2018, 42, (2), 339-351 View citations (3)
See also Working Paper (2016)
- Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from Stocks, Bonds and Commodities
Journal of Economics and Behavioral Studies, 2018, 10, (2), 120-132 View citations (2)
See also Working Paper (2018)
- Firm-level political risk and asymmetric volatility
The Journal of Economic Asymmetries, 2018, 18, (C), - View citations (6)
See also Working Paper (2018)
- Geopolitical risks and stock market dynamics of the BRICS
Economic Systems, 2018, 42, (2), 295-306 View citations (25)
See also Working Paper (2016)
- Global risk aversion and emerging market return comovements
Economics Letters, 2018, 173, (C), 118-121 View citations (11)
- Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach
Resources Policy, 2018, 57, (C), 196-212 View citations (3)
See also Working Paper (2016)
- Oil returns and volatility: The role of mergers and acquisitions
Energy Economics, 2018, 71, (C), 62-69 View citations (4)
See also Working Paper (2017)
- Presidential cycles and time-varying bond–stock market correlations: Evidence from more than two centuries of data
Economics Letters, 2018, 167, (C), 36-39 View citations (3)
- The profitability of herding: evidence from Taiwan
Managerial Finance, 2018, 44, (7), 919-934
- Time-varying rare disaster risks, oil returns and volatility
Energy Economics, 2018, 75, (C), 239-248 View citations (15)
See also Working Paper (2017)
2017
- Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations
Sustainability, 2017, 9, (10), 1-1 View citations (6)
See also Working Paper (2016)
- Does speculation in the oil market drive investor herding in emerging stock markets?
Energy Economics, 2017, 65, (C), 50-63 View citations (11)
- Flight to quality and the predictability of reversals: The role of market states and global factors
Research in International Business and Finance, 2017, 42, (C), 1445-1454
- Investor herds and oil prices evidence in the Gulf Cooperation Council (GCC) equity markets
Central Bank Review, 2017, 17, (3), 77–89 View citations (8)
- Oil and stock market momentum
Energy Economics, 2017, 68, (C), 151-159 View citations (12)
- On the short-term predictability of stock returns: A quantile boosting approach
Finance Research Letters, 2017, 22, (C), 35-41 View citations (2)
- The effect of gold market speculation on REIT returns in South Africa: a behavioral perspective
Journal of Economics and Finance, 2017, 41, (4), 774-793 View citations (4)
See also Working Paper (2016)
- The effect of investor sentiment on gold market return dynamics: Evidence from a nonparametric causality-in-quantiles approach
Resources Policy, 2017, 51, (C), 77-84 View citations (24)
- The impact of US policy uncertainty on the monetary effectiveness in the Euro area
Journal of Policy Modeling, 2017, 39, (6), 1052-1064 View citations (7)
2016
- Is there a role for Islamic bonds in global diversification strategies?
Managerial Finance, 2016, 42, (7), 656-679 View citations (3)
- On the volatility transmission between oil and stock markets: a comparison of emerging importers and exporters
Economia Politica: Journal of Analytical and Institutional Economics, 2016, 33, (1), 63-82 View citations (16)
- Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk
Energy Economics, 2016, 54, (C), 159-172 View citations (30)
See also Working Paper (2014)
2015
- Does the stock market drive herd behavior in commodity futures markets?
International Review of Financial Analysis, 2015, 39, (C), 32-44 View citations (26)
- Effect of Global Shocks and Volatility on Herd Behavior in an Emerging Market: Evidence from Borsa Istanbul
Emerging Markets Finance and Trade, 2015, 51, (1), 140-159 View citations (17)
- Global risk exposures and industry diversification with Shariah-compliant equity sectors
Pacific-Basin Finance Journal, 2015, 35, (PB), 499-520 View citations (13)
- Industry herding and momentum strategies
Pacific-Basin Finance Journal, 2015, 32, (C), 95-110 View citations (14)
- Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries
Energy Economics, 2015, 49, (C), 132-140 View citations (34)
See also Working Paper (2014)
- Regional and global spillovers and diversification opportunities in the GCC equity sectors
Emerging Markets Review, 2015, 24, (C), 160-187 View citations (15)
- Risk and return in the Chinese stock market: Does equity return dispersion proxy risk?
Pacific-Basin Finance Journal, 2015, 33, (C), 23-37 View citations (4)
2014
- Do ADR investors herd?: Evidence from advanced and emerging markets
International Review of Economics & Finance, 2014, 30, (C), 138-148 View citations (12)
- The Effect of Global Shocks and Volatility on Herd Behavior in Borsa Istanbul
BIFEC Book of Abstracts & Proceedings, 2014, 1, (2), 142-172
- What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors
The North American Journal of Economics and Finance, 2014, 29, (C), 418-440 View citations (37)
2013
- Can advanced markets help diversify risks in frontier stock markets? Evidence from Gulf Arab stock markets
Research in International Business and Finance, 2013, 29, (C), 77-98 View citations (13)
- Investor herds and regime-switching: Evidence from Gulf Arab stock markets
Journal of International Financial Markets, Institutions and Money, 2013, 23, (C), 295-321 View citations (59)
- The conditional relation between dispersion and return
Review of Financial Economics, 2013, 22, (3), 125-134 View citations (5)
Also in Review of Financial Economics, 2013, 22, (3), 125-134 (2013)
2012
- The effect of ethanol listing on corn prices: Evidence from spot and futures markets
Energy Economics, 2012, 34, (5), 1400-1406 View citations (6)
2010
- Do investors herd in emerging stock markets?: Evidence from the Taiwanese market
Journal of Economic Behavior & Organization, 2010, 76, (2), 283-295 View citations (74)
- The behavior of crude oil spot and futures prices around OPEC and SPR announcements: An event study perspective
Energy Economics, 2010, 32, (6), 1467-1476 View citations (44)
2006
- Does herding behavior exist in Chinese stock markets?
Journal of International Financial Markets, Institutions and Money, 2006, 16, (2), 123-142 View citations (114)
- Sequential valuation networks for asymmetric decision problems
European Journal of Operational Research, 2006, 169, (1), 286-309 View citations (3)
2005
- Comparisons of short and long hedge performance: the case of Taiwan
Journal of Multinational Financial Management, 2005, 15, (1), 51-66 View citations (8)
- Correlation and return dispersion dynamics in Chinese markets
International Review of Financial Analysis, 2005, 14, (4), 477-491 View citations (5)
2004
- Firm-level return dispersion and correlation asymmetry: challenges for portfolio diversification
Applied Financial Economics, 2004, 14, (6), 447-456 View citations (6)
2003
- Downside risk for short and long hedgers
International Review of Economics & Finance, 2003, 12, (1), 25-44 View citations (22)
2002
- An Investigation of the Day-of-the-Week Effect on Stock Returns in Turkey
Emerging Markets Finance and Trade, 2002, 38, (6), 47-77 View citations (16)
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