Details about Riza Demirer

Access statistics for papers by Riza Demirer.

Last updated 2019-07-09. Update your information in the RePEc Author Service.

Short-id: pde668

Working Papers

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
2. Economic Policy Uncertainty and Herding Behavior: Evidence from the South African Housing Market
   Working Papers, University of Pretoria, Department of Economics
3. Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets
   Working Papers, Eastern Mediterranean University, Department of Economics
4. 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
5. 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
6. The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach
   Working Papers, University of Pretoria, Department of Economics
7. Time-Varying Risk Aversion and the Predictability of Bond Premia
   Working Papers, University of Pretoria, Department of Economics

2018

8. Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from Stocks, Bonds and Commodities
   Working Papers, University of Pretoria, Department of Economics
9. 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)
10. Firm-Level Political Risk and Asymmetric Volatility
    Working Papers, University of Pretoria, Department of Economics
11. Forecasting Stock Market (Realized) Volatility in the United Kingdom: Is There a Role for Economic Inequality?
    Working Papers, University of Pretoria, Department of Economics
12. Geopolitical Risks and the Predictability of Regional Oil Returns and Volatility
    Working Papers, University of Pretoria, Department of Economics
13. Investor Sentiment and Crash Risk in Safe Havens
    Working Papers, University of Pretoria, Department of Economics View citations (2)
14. 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 (1)
15. Time-Varying Risk Aversion and Realized Gold Volatility
    Working Papers, University of Pretoria, Department of Economics

2017

16. A Note on the Technology Herd: Evidence from Large Institutional Investors
    Working Papers, University of Pretoria, Department of Economics
17. 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)
18. 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
19. 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
20. 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)
21. 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)
22. Oil Speculation and Herding Behavior in Emerging Stock Markets
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Economics and Finance (2019)
23. On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Quantitative Finance (2019)
24. 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

25. 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)
26. 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)
27. Does speculation in the oil market drive investor herding in net exporting nations?
    Working Papers, Eastern Mediterranean University, Department of Economics View citations (1)
28. 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 (6)
29. Geopolitical Risks and Stock Market Dynamics of the BRICS
    Working Papers, University of Pretoria, Department of Economics View citations (11)
    See also Journal Article in Economic Systems (2018)
30. 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)
31. 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)
32. The Effect of Investor Sentiment on Gold Market Dynamics
    Working Papers, University of Pretoria, Department of Economics
33. The Predictive Power of Industrial Electricity Usage Revisited: Evidence from Nonparametric Causality Tests
    Working Papers, University of Pretoria, Department of Economics

2014

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

2013

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

Journal Articles

2019

1. Commodity-currencies or currency-commodities: Evidence from causality tests
   Resources Policy, 2019, 60, (C), 162-168
2. Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests
   Sustainability, 2019, 11, (2), 1-15 View citations (1)
   See also Working Paper (2018)
3. Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note
   Defence and Peace Economics, 2019, 30, (3), 367-379
   See also Working Paper (2017)
4. Oil speculation and herding behavior in emerging stock markets
   Journal of Economics and Finance, 2019, 43, (1), 44-56
   See also Working Paper (2017)
5. On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators
   Quantitative Finance, 2019, 19, (5), 843-858
   See also Working Paper (2017)

2018

6. 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
7. 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)
8. Geopolitical risks and stock market dynamics of the BRICS
   Economic Systems, 2018, 42, (2), 295-306 View citations (9)
   See also Working Paper (2016)
9. Global risk aversion and emerging market return comovements
   Economics Letters, 2018, 173, (C), 118-121 View citations (4)
10. Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach
    Resources Policy, 2018, 57, (C), 196-212 View citations (1)
    See also Working Paper (2016)
11. Oil returns and volatility: The role of mergers and acquisitions
    Energy Economics, 2018, 71, (C), 62-69 View citations (1)
    See also Working Paper (2017)
12. Presidential cycles and time-varying bond–stock market correlations: Evidence from more than two centuries of data
    Economics Letters, 2018, 167, (C), 36-39
13. Time-varying rare disaster risks, oil returns and volatility
    Energy Economics, 2018, 75, (C), 239-248 View citations (2)
    See also Working Paper (2017)

2017

14. Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations
    Sustainability, 2017, 9, (10), 1-18 View citations (1)
    See also Working Paper (2016)
15. Does speculation in the oil market drive investor herding in emerging stock markets?
    Energy Economics, 2017, 65, (C), 50-63 View citations (3)
16. 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
17. Investor herds and oil prices evidence in the Gulf Cooperation Council (GCC) equity markets
    Central Bank Review, 2017, 17, (3), 77–89 View citations (1)
18. Oil and stock market momentum
    Energy Economics, 2017, 68, (C), 151-159 View citations (3)
19. On the short-term predictability of stock returns: A quantile boosting approach
    Finance Research Letters, 2017, 22, (C), 35-41 View citations (1)
20. 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 (1)
    See also Working Paper (2016)
21. 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 (9)
22. 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 (2)

2016

23. Is there a role for Islamic bonds in global diversification strategies?
    Managerial Finance, 2016, 42, (7), 656-679 View citations (3)
24. 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 (10)
25. Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk
    Energy Economics, 2016, 54, (C), 159-172 View citations (23)
    See also Working Paper (2014)

2015

26. Does the stock market drive herd behavior in commodity futures markets?
    International Review of Financial Analysis, 2015, 39, (C), 32-44 View citations (13)
27. 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 (12)
28. Global risk exposures and industry diversification with Shariah-compliant equity sectors
    Pacific-Basin Finance Journal, 2015, 35, (PB), 499-520 View citations (9)
29. Industry herding and momentum strategies
    Pacific-Basin Finance Journal, 2015, 32, (C), 95-110 View citations (11)
30. 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 (21)
    See also Working Paper (2014)
31. Regional and global spillovers and diversification opportunities in the GCC equity sectors
    Emerging Markets Review, 2015, 24, (C), 160-187 View citations (9)
32. 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 (3)

2014

33. Do ADR investors herd?: Evidence from advanced and emerging markets
    International Review of Economics & Finance, 2014, 30, (C), 138-148 View citations (11)
34. The Effect of Global Shocks and Volatility on Herd Behavior in Borsa Istanbul
    BIFEC Book of Abstracts & Proceedings, 2014, 1, (2), 142-172
35. 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 (25)

2013

36. 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 (10)
37. 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 (48)
38. The conditional relation between dispersion and return
    Review of Financial Economics, 2013, 22, (3), 125-134 View citations (4)

2012

39. The effect of ethanol listing on corn prices: Evidence from spot and futures markets
    Energy Economics, 2012, 34, (5), 1400-1406 View citations (4)

2010

40. Do investors herd in emerging stock markets?: Evidence from the Taiwanese market
    Journal of Economic Behavior & Organization, 2010, 76, (2), 283-295 View citations (58)
41. 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 (35)

2006

42. Does herding behavior exist in Chinese stock markets?
    Journal of International Financial Markets, Institutions and Money, 2006, 16, (2), 123-142 View citations (90)
43. Sequential valuation networks for asymmetric decision problems
    European Journal of Operational Research, 2006, 169, (1), 286-309 View citations (3)

2005

44. Comparisons of short and long hedge performance: the case of Taiwan
    Journal of Multinational Financial Management, 2005, 15, (1), 51-66 View citations (6)
45. Correlation and return dispersion dynamics in Chinese markets
    International Review of Financial Analysis, 2005, 14, (4), 477-491 View citations (5)

2004

46. Firm-level return dispersion and correlation asymmetry: challenges for portfolio diversification
    Applied Financial Economics, 2004, 14, (6), 447-456 View citations (6)

2003

47. Downside risk for short and long hedgers
    International Review of Economics & Finance, 2003, 12, (1), 25-44 View citations (20)

2002

48. 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 (15)