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Details about Riza Demirer

Homepage:https://www.siue.edu/business/departments-staff/rdemirer.shtml
Postal address:Department of Economics & Finance Southern Illinois University Edwardsville School of Business, Alumni Hall 3145 Edwardsville, IL 62026-1102, USA.
Workplace:Department of Economics and Finance, Southern Illinois University, (more information at EDIRC)
Economic Research Forum (ERF), (more information at EDIRC)

Access statistics for papers by Riza Demirer.

Last updated 2023-09-05. Update your information in the RePEc Author Service.

Short-id: pde668


Jump to Journal Articles

Working Papers

2023

  1. Gold-to-Platinum Price Ratio and the Predictability of Bubbles in Financial Markets
    Working Papers, University of Pretoria, Department of Economics Downloads
  2. Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach
    Working Papers, University of Pretoria, Department of Economics

2022

  1. Climate Uncertainty and Carbon Emissions Prices: The Relative Roles of Transition and Physical Climate Risks
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Economics Letters (2022)
  2. Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies
    Working Papers, University of Pretoria, Department of Economics Downloads
  3. On the Pricing Effects of Bitcoin Mining in the Fossil Fuel Market: The Case of Coal
    Working Papers, University of Pretoria, Department of Economics
  4. Policy Uncertainty and Stock Market Volatility Revisited: The Predictive Role of Signal Quality
    Working Papers, University of Pretoria, Department of Economics
  5. The Pricing Implications of Cryptocurrency Mining on Global Electricity Markets: Evidence from Quantile Causality Tests
    Working Papers, University of Pretoria, Department of Economics

2021

  1. Bitcoin Mining Activity and Volatility Dynamics in the Power Market
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Economics Letters (2021)
  2. Financial Turbulence, Systemic Risk and the Predictability of Stock Market Volatility
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Global Finance Journal (2022)
  3. Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  4. Firm-level Business Uncertainty and the Predictability of the Aggregate U.S. Stock Market Volatility during the COVID-19 Pandemic
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Quarterly Review of Economics and Finance (2023)
  5. Forecasting Oil and Gold Volatilities with Sentiment Indicators Under Structural Breaks
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Energy Economics (2022)
  6. Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Economics (2022)
  7. Gold and the Global Financial Cycle
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  8. Interest Rate Uncertainty and the Predictability of Bank Revenues
    Working Papers, Copenhagen Business School, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2020)

    See also Journal Article in Journal of Forecasting (2022)
  9. The Effect of Oil Price Uncertainty Shock on International Equity Markets: Evidence from a GVAR Model
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  10. The Financial US Uncertainty Spillover Multiplier: Evidence from a GVAR Model
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in International Finance (2022)

2020

  1. A Note on Oil Price Shocks and the Forecastability of Gold Realized Volatility
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Applied Economics Letters (2021)
  2. 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 (2)
    See also Journal Article in Annals of Financial Economics (AFE) (2022)
  3. COVID-19 Pandemic and Investor Herding in International Stock Markets
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Risks (2021)
  4. 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 View citations (2)
  5. Forecasting Realized Stock-Market Volatility: Do Industry Returns have Predictive Value?
    Working Papers, University of Pretoria, Department of Economics Downloads View citations (1)
  6. Investor Sentiment and (Anti-)Herding in the Currency Market: Evidence from Twitter Feed Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Behavioral Finance (2023)
  7. Monetary Policy and Speculative Spillovers in Financial Markets
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Research in International Business and Finance (2021)
  8. Oil-Shocks and Directional Predictability of Macroeconomic Uncertainties of Developed Economies: Evidence from High-Frequency Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  9. Predicting Firm-Level Volatility in the United States: The Role of Monetary Policy Uncertainty
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Economics and Business Letters (2020)
  10. Sentiment and Financial Market Connectedness: The Role of Investor Happiness
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  11. The Predictive Power of Oil Price Shocks on Realized Volatility of Oil: A Note
    Working Papers, University of Pretoria, Department of Economics View citations (22)
    See also Journal Article in Resources Policy (2020)
  12. 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 Advances in Decision Sciences (2020)
  13. 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
    Also in School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town (2020) Downloads

    See also Journal Article in Journal of Multinational Financial Management (2021)

2019

  1. 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 View citations (1)
    See also Journal Article in Journal of International Money and Finance (2020)
  2. Economic Policy Uncertainty and Herding Behavior: Evidence from the South African Housing Market
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Advances in Decision Sciences (2019)
  3. Gold, Platinum and the Predictability of Bond Risk Premia
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Finance Research Letters (2021)
  4. Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads View citations (35)
    See also Journal Article in Energy Policy (2019)
  5. 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 (4)
    See also Journal Article in Journal of the Operational Research Society (2022)
  6. 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 (37)
    See also Journal Article in Structural Change and Economic Dynamics (2019)
  7. 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)
  8. The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach
    Working Papers, University of Pretoria, Department of Economics
  9. 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 Downloads
  10. Time-Varying Risk Aversion and the Predictability of Bond Premia
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Finance Research Letters (2020)
  11. 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

  1. 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)
  2. Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Sustainability (2019)
  3. Firm-Level Political Risk and Asymmetric Volatility
    Working Papers, University of Pretoria, Department of Economics View citations (7)
    See also Journal Article in The Journal of Economic Asymmetries (2018)
  4. Forecasting Stock Market (Realized) Volatility in the United Kingdom: Is There a Role for Economic Inequality?
    Working Papers, University of Pretoria, Department of Economics
  5. Geopolitical Risks and the Predictability of Regional Oil Returns and Volatility
    Working Papers, University of Pretoria, Department of Economics View citations (4)
  6. 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)
  7. 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 (9)
  8. 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

  1. A Note on the Technology Herd: Evidence from Large Institutional Investors
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Review of Behavioral Finance (2019)
  2. 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)
  3. 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
  4. 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 (3)
  5. Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Defence and Peace Economics (2019)
  6. 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)
  7. 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)
  8. On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Quantitative Finance (2019)
  9. 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

  1. 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)
  2. 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)
  3. Does speculation in the oil market drive investor herding in net exporting nations?
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads View citations (2)
  4. 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)
  5. Geopolitical Risks and Stock Market Dynamics of the BRICS
    Working Papers, University of Pretoria, Department of Economics View citations (30)
    See also Journal Article in Economic Systems (2018)
  6. 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)
  7. 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 (8)
    See also Journal Article in Journal of Economics and Finance (2017)
  8. The Effect of Investor Sentiment on Gold Market Dynamics
    Working Papers, University of Pretoria, Department of Economics
  9. The Predictive Power of Industrial Electricity Usage Revisited: Evidence from Nonparametric Causality Tests
    Working Papers, University of Pretoria, Department of Economics View citations (1)

2014

  1. Oil Price Risk Exposure and the Cross-section of Stock Returns: The Case of Net Exporting Countries
    Working Papers, Economic Research Forum Downloads View citations (3)
    See also Journal Article in Energy Economics (2015)
  2. Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads View citations (5)
    See also Journal Article in Energy Economics (2016)

2013

  1. Commodity Financialization and Herd Behavior in Commodity Futures Markets
    Working Papers, College of Business, University of Texas at San Antonio Downloads View citations (2)
  2. Do Global Shocks Drive Investor Herds in Oil-Rich Frontier Markets?
    Working Papers, Economic Research Forum Downloads View citations (5)

Journal Articles

2023

  1. A note on financial vulnerability and volatility in emerging stock markets: evidence from GARCH-MIDAS models
    Applied Economics Letters, 2023, 30, (1), 37-42 Downloads
  2. Anti-herding by hedge funds and its implications for expected returns
    Journal of Economic Behavior & Organization, 2023, 211, (C), 31-48 Downloads
  3. Climate uncertainty and information transmissions across the conventional and ESG assets
    Journal of International Financial Markets, Institutions and Money, 2023, 83, (C) Downloads
  4. Economic policy uncertainty and fund flow performance sensitivity: Evidence from New Zealand
    International Review of Finance, 2023, 23, (3), 666-679 Downloads
  5. Firm-level business uncertainty and the predictability of the aggregate U.S. stock market volatility during the COVID-19 pandemic
    The Quarterly Review of Economics and Finance, 2023, 88, (C), 295-302 Downloads
    See also Working Paper (2021)
  6. Investor Sentiment and (Anti) Herding in the Currency Market: Evidence from Twitter Feed Data
    Journal of Behavioral Finance, 2023, 24, (1), 56-72 Downloads
    See also Working Paper (2020)

2022

  1. A NOTE ON UNCERTAINTY DUE TO INFECTIOUS DISEASES AND OUTPUT GROWTH OF THE UNITED STATES: A MIXED-FREQUENCY FORECASTING EXPERIMENT
    Annals of Financial Economics (AFE), 2022, 17, (02), 1-9 Downloads
    See also Working Paper (2020)
  2. Climate uncertainty and carbon emissions prices: The relative roles of transition and physical climate risks
    Economics Letters, 2022, 217, (C) Downloads View citations (1)
    See also Working Paper (2022)
  3. Do emerging stock markets offer an illiquidity premium for local or global investors?
    The Quarterly Review of Economics and Finance, 2022, 86, (C), 502-515 Downloads View citations (1)
  4. Economic policy uncertainty and institutional investment returns: The case of New Zealand
    Pacific-Basin Finance Journal, 2022, 74, (C) Downloads View citations (1)
  5. Financial market connectedness: The role of investors’ happiness
    Finance Research Letters, 2022, 44, (C) Downloads View citations (4)
  6. Financial turbulence, systemic risk and the predictability of stock market volatility
    Global Finance Journal, 2022, 52, (C) Downloads View citations (4)
    See also Working Paper (2021)
  7. Forecasting oil and gold volatilities with sentiment indicators under structural breaks
    Energy Economics, 2022, 105, (C) Downloads View citations (12)
    See also Working Paper (2021)
  8. Forecasting stock market (realized) volatility in the United Kingdom: Is there a role of inequality?
    International Journal of Finance & Economics, 2022, 27, (2), 2146-2152 Downloads
  9. Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model
    Energy Economics, 2022, 108, (C) Downloads View citations (9)
    See also Working Paper (2021)
  10. Green investments: A luxury good or a financial necessity?
    Energy Economics, 2022, 105, (C) Downloads View citations (16)
  11. Hedging climate risks with green assets
    Economics Letters, 2022, 212, (C) Downloads View citations (12)
  12. Interest rate uncertainty and the predictability of bank revenues
    Journal of Forecasting, 2022, 41, (8), 1559-1569 Downloads
    See also Working Paper (2021)
  13. Oil Price Uncertainty Shocks and Global Equity Markets: Evidence from a GVAR Model
    JRFM, 2022, 15, (8), 1-26 Downloads View citations (3)
  14. Oil beta uncertainty and global stock returns
    Energy Economics, 2022, 112, (C) Downloads View citations (2)
  15. Oil price shocks and cost of capital: Does market liquidity play a role?
    Energy Economics, 2022, 115, (C) Downloads View citations (1)
  16. Oil shocks and directional predictability of macroeconomic uncertainties of developed economies: Evidence from high‐frequency data†
    Scottish Journal of Political Economy, 2022, 69, (2), 169-185 Downloads View citations (1)
  17. Risk aversion and the predictability of crude oil market volatility: A forecasting experiment with random forests
    Journal of the Operational Research Society, 2022, 73, (8), 1755-1767 Downloads View citations (1)
    See also Working Paper (2019)
  18. The financial US uncertainty spillover multiplier: Evidence from a GVAR model
    International Finance, 2022, 25, (3), 313-340 Downloads
    See also Working Paper (2021)
  19. Time-varying risk aversion and currency excess returns
    Research in International Business and Finance, 2022, 59, (C) Downloads View citations (4)
  20. U.S. monetary policy and the predictability of global economic synchronization patterns
    Journal of Economics and Finance, 2022, 46, (3), 473-492 Downloads View citations (1)
  21. Value-at-risk and the cross section of emerging market hedge fund returns
    Global Finance Journal, 2022, 52, (C) Downloads View citations (3)

2021

  1. A note on oil price shocks and the forecastability of gold realized volatility
    Applied Economics Letters, 2021, 28, (21), 1889-1897 Downloads View citations (1)
    See also Working Paper (2020)
  2. Bitcoin mining activity and volatility dynamics in the power market
    Economics Letters, 2021, 209, (C) Downloads View citations (3)
    See also Working Paper (2021)
  3. COVID-19 Pandemic and Investor Herding in International Stock Markets
    Risks, 2021, 9, (9), 1-11 Downloads View citations (20)
    See also Working Paper (2020)
  4. Credit ratings and predictability of stock return dynamics of the BRICS and the PIIGS: Evidence from a nonparametric causality-in-quantiles approach
    The Quarterly Review of Economics and Finance, 2021, 79, (C), 290-302 Downloads View citations (5)
  5. Economic policy uncertainty and gold return dynamics: Evidence from high-frequency data
    Resources Policy, 2021, 72, (C) Downloads View citations (10)
  6. Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold
    Mathematics, 2021, 9, (8), 1-20 Downloads
  7. Gold, platinum and the predictability of bond risk premia
    Finance Research Letters, 2021, 38, (C) Downloads View citations (3)
    See also Working Paper (2019)
  8. Monetary policy and speculative spillovers in financial markets
    Research in International Business and Finance, 2021, 56, (C) Downloads View citations (6)
    See also Working Paper (2020)
  9. On the hedging benefits of REITs: The role of risk aversion and market states
    Economics and Business Letters, 2021, 10, (2), 126-132 Downloads
  10. Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data
    Journal of Multinational Financial Management, 2021, 61, (C) Downloads View citations (2)
    See also Working Paper (2020)

2020

  1. 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) Downloads View citations (3)
    See also Working Paper (2019)
  2. Infectious Diseases, Market Uncertainty and Oil Market Volatility
    Energies, 2020, 13, (16), 1-8 Downloads View citations (52)
  3. Oil and risk premia in equity markets
    Studies in Economics and Finance, 2020, 37, (4), 697-723 Downloads View citations (2)
  4. Oil price shocks, global financial markets and their connectedness
    Energy Economics, 2020, 88, (C) Downloads View citations (56)
  5. Oil price uncertainty, global industry returns and active investment strategies
    The Journal of Economic Asymmetries, 2020, 22, (C) Downloads View citations (2)
  6. Predicting firm-level volatility in the United States: the role of monetary policy uncertainty
    Economics and Business Letters, 2020, 9, (3), 167-177 Downloads View citations (2)
    See also Working Paper (2020)
  7. Risk Appetite and Jumps in Realized Correlation
    Mathematics, 2020, 8, (12), 1-11 Downloads View citations (1)
  8. The U.S. term structure and return volatility in emerging stock markets
    Journal of Economics and Finance, 2020, 44, (4), 687-707 Downloads
  9. The US Term Structure and Return Volatility in Global REIT Markets
    Advances in Decision Sciences, 2020, 24, (3), 84-109 Downloads
    See also Working Paper (2020)
  10. The effect of global and regional stock market shocks on safe haven assets
    Structural Change and Economic Dynamics, 2020, 54, (C), 297-308 Downloads View citations (9)
  11. 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 Downloads View citations (11)
    See also Working Paper (2019)
  12. The predictive power of oil price shocks on realized volatility of oil: A note
    Resources Policy, 2020, 69, (C) Downloads View citations (22)
    See also Working Paper (2020)
  13. Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram
    Economies, 2020, 8, (1), 1-12 Downloads View citations (2)
    See also Working Paper (2019)
  14. Time-varying risk aversion and the predictability of bond premia
    Finance Research Letters, 2020, 34, (C) Downloads View citations (5)
    See also Working Paper (2019)
  15. Volatility forecasting with bivariate multifractal models
    Journal of Forecasting, 2020, 39, (2), 155-167 Downloads View citations (9)

2019

  1. A note on the technology herd: evidence from large institutional investors
    Review of Behavioral Finance, 2019, 11, (3), 294-308 Downloads View citations (3)
    See also Working Paper (2017)
  2. Commodity-currencies or currency-commodities: Evidence from causality tests
    Resources Policy, 2019, 60, (C), 162-168 Downloads View citations (14)
  3. Do firm characteristics matter in explaining the herding effect on returns?
    Review of Financial Economics, 2019, 37, (2), 256-271 Downloads View citations (3)
  4. Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies
    Energy Economics, 2019, 83, (C), 375-388 Downloads View citations (48)
  5. Economic Policy Uncertainty and Herding Behavior Evidence from the South African Housing Market
    Advances in Decision Sciences, 2019, 23, (1), 88-113 Downloads View citations (2)
    See also Working Paper (2019)
  6. Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests
    Sustainability, 2019, 11, (2), 1-15 Downloads View citations (17)
    See also Working Paper (2018)
  7. Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note
    Defence and Peace Economics, 2019, 30, (3), 367-379 Downloads View citations (27)
    See also Working Paper (2017)
  8. Herding and flash events: Evidence from the 2010 Flash Crash
    Finance Research Letters, 2019, 31, (C) Downloads View citations (6)
  9. Industry Herding and the Profitability of Momentum Strategies During Market Crises
    Journal of Behavioral Finance, 2019, 20, (2), 195-212 Downloads View citations (1)
  10. Investor Sentiment and Crash Risk in Safe Havens
    Journal of Economics and Behavioral Studies, 2019, 10, (6), 97-108 Downloads View citations (2)
    See also Working Paper (2018)
  11. Oil speculation and herding behavior in emerging stock markets
    Journal of Economics and Finance, 2019, 43, (1), 44-56 Downloads View citations (11)
    See also Working Paper (2017)
  12. On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators
    Quantitative Finance, 2019, 19, (5), 843-858 Downloads View citations (18)
    See also Working Paper (2017)
  13. Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets
    Energy Policy, 2019, 134, (C) Downloads View citations (35)
    See also Working Paper (2019)
  14. The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging
    Energy Economics, 2019, 84, (C) Downloads View citations (43)
  15. 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 Downloads View citations (36)
    See also Working Paper (2019)
  16. Time-varying risk aversion and realized gold volatility
    The North American Journal of Economics and Finance, 2019, 50, (C) Downloads View citations (33)
    See also Working Paper (2018)

2018

  1. Country Risk Ratings and Stock Market Returns in Brazil, Russia, India, and China (BRICS) Countries: A Nonlinear Dynamic Approach
    Risks, 2018, 6, (3), 1-22 Downloads View citations (3)
  2. 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 Downloads View citations (5)
    See also Working Paper (2016)
  3. 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 Downloads View citations (2)
    See also Working Paper (2018)
  4. Firm-level political risk and asymmetric volatility
    The Journal of Economic Asymmetries, 2018, 18, (C), - Downloads View citations (7)
    See also Working Paper (2018)
  5. Geopolitical risks and stock market dynamics of the BRICS
    Economic Systems, 2018, 42, (2), 295-306 Downloads View citations (70)
    See also Working Paper (2016)
  6. Global risk aversion and emerging market return comovements
    Economics Letters, 2018, 173, (C), 118-121 Downloads View citations (27)
  7. Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach
    Resources Policy, 2018, 57, (C), 196-212 Downloads View citations (9)
    See also Working Paper (2016)
  8. Oil returns and volatility: The role of mergers and acquisitions
    Energy Economics, 2018, 71, (C), 62-69 Downloads View citations (6)
    See also Working Paper (2017)
  9. Presidential cycles and time-varying bond–stock market correlations: Evidence from more than two centuries of data
    Economics Letters, 2018, 167, (C), 36-39 Downloads View citations (9)
  10. Time-varying rare disaster risks, oil returns and volatility
    Energy Economics, 2018, 75, (C), 239-248 Downloads View citations (41)
    See also Working Paper (2017)

2017

  1. Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations
    Sustainability, 2017, 9, (10), 1-18 Downloads View citations (22)
    See also Working Paper (2016)
  2. Does speculation in the oil market drive investor herding in emerging stock markets?
    Energy Economics, 2017, 65, (C), 50-63 Downloads View citations (22)
  3. 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 Downloads View citations (1)
  4. Investor herds and oil prices evidence in the Gulf Cooperation Council (GCC) equity markets
    Central Bank Review, 2017, 17, (3), 77–89 Downloads View citations (15)
  5. Oil and stock market momentum
    Energy Economics, 2017, 68, (C), 151-159 Downloads View citations (26)
  6. On the short-term predictability of stock returns: A quantile boosting approach
    Finance Research Letters, 2017, 22, (C), 35-41 Downloads View citations (6)
  7. 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 Downloads View citations (8)
    See also Working Paper (2016)
  8. 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 Downloads View citations (48)
  9. The impact of US policy uncertainty on the monetary effectiveness in the Euro area
    Journal of Policy Modeling, 2017, 39, (6), 1052-1064 Downloads View citations (19)

2016

  1. 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 Downloads View citations (24)
  2. Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk
    Energy Economics, 2016, 54, (C), 159-172 Downloads View citations (67)
    See also Working Paper (2014)

2015

  1. Does the stock market drive herd behavior in commodity futures markets?
    International Review of Financial Analysis, 2015, 39, (C), 32-44 Downloads View citations (47)
  2. 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 Downloads View citations (34)
  3. Global risk exposures and industry diversification with Shariah-compliant equity sectors
    Pacific-Basin Finance Journal, 2015, 35, (PB), 499-520 Downloads View citations (23)
  4. Industry herding and momentum strategies
    Pacific-Basin Finance Journal, 2015, 32, (C), 95-110 Downloads View citations (27)
  5. Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries
    Energy Economics, 2015, 49, (C), 132-140 Downloads View citations (61)
    See also Working Paper (2014)
  6. Regional and global spillovers and diversification opportunities in the GCC equity sectors
    Emerging Markets Review, 2015, 24, (C), 160-187 Downloads View citations (19)
  7. Risk and return in the Chinese stock market: Does equity return dispersion proxy risk?
    Pacific-Basin Finance Journal, 2015, 33, (C), 23-37 Downloads View citations (4)

2014

  1. Do ADR investors herd?: Evidence from advanced and emerging markets
    International Review of Economics & Finance, 2014, 30, (C), 138-148 Downloads View citations (17)
  2. The Effect of Global Shocks and Volatility on Herd Behavior in Borsa Istanbul
    BIFEC Book of Abstracts & Proceedings, 2014, 1, (2), 142-172 Downloads
  3. 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 Downloads View citations (48)

2013

  1. 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 Downloads View citations (12)
  2. Investor herds and regime-switching: Evidence from Gulf Arab stock markets
    Journal of International Financial Markets, Institutions and Money, 2013, 23, (C), 295-321 Downloads View citations (78)
  3. The conditional relation between dispersion and return
    Review of Financial Economics, 2013, 22, (3), 125-134 Downloads View citations (1)
    Also in Review of Financial Economics, 2013, 22, (3), 125-134 (2013) Downloads View citations (7)

2012

  1. The effect of ethanol listing on corn prices: Evidence from spot and futures markets
    Energy Economics, 2012, 34, (5), 1400-1406 Downloads View citations (8)

2010

  1. Do investors herd in emerging stock markets?: Evidence from the Taiwanese market
    Journal of Economic Behavior & Organization, 2010, 76, (2), 283-295 Downloads View citations (100)
  2. 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 Downloads View citations (70)

2006

  1. Does herding behavior exist in Chinese stock markets?
    Journal of International Financial Markets, Institutions and Money, 2006, 16, (2), 123-142 Downloads View citations (148)
  2. Sequential valuation networks for asymmetric decision problems
    European Journal of Operational Research, 2006, 169, (1), 286-309 Downloads View citations (3)

2005

  1. Comparisons of short and long hedge performance: the case of Taiwan
    Journal of Multinational Financial Management, 2005, 15, (1), 51-66 Downloads View citations (8)
  2. Correlation and return dispersion dynamics in Chinese markets
    International Review of Financial Analysis, 2005, 14, (4), 477-491 Downloads View citations (6)

2003

  1. Downside risk for short and long hedgers
    International Review of Economics & Finance, 2003, 12, (1), 25-44 Downloads View citations (24)

2002

  1. An Investigation of the Day-of-the-Week Effect on Stock Returns in Turkey
    Emerging Markets Finance and Trade, 2002, 38, (6), 47-77 Downloads View citations (17)
 
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