Details about Riza Demirer

Access statistics for papers by Riza Demirer.

Last updated 2024-12-12. Update your information in the RePEc Author Service.

Short-id: pde668

Working Papers

2025

1. Deglobalization and Foreign Exchange Volatility: The Role of Supply Chain Pressures
   Working Papers, University of Pretoria, Department of Economics

2024

2. Political Geography and Stock Market Volatility: The Role of Political Alignment across Sentiment Regimes
   Working Papers, University of Pretoria, Department of Economics
3. Presidential Politics and Investor Behavior in the Stock Market: Evidence from a Century of Stock Market Data
   Working Papers, University of Pretoria, Department of Economics

2023

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

2022

6. 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 (10)
   See also Journal Article Climate uncertainty and carbon emissions prices: The relative roles of transition and physical climate risks, Economics Letters, Elsevier (2022) View citations (6) (2022)
7. Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies
   Working Papers, University of Pretoria, Department of Economics View citations (1)
   See also Journal Article Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies, Journal of Empirical Finance, Elsevier (2025) (2025)
8. On the Pricing Effects of Bitcoin Mining in the Fossil Fuel Market: The Case of Coal
   Working Papers, University of Pretoria, Department of Economics
   See also Journal Article On the pricing effects of bitcoin mining in the fossil fuel market: The case of coal, Resources Policy, Elsevier (2023) View citations (2) (2023)
9. Policy Uncertainty and Stock Market Volatility Revisited: The Predictive Role of Signal Quality
   Working Papers, University of Pretoria, Department of Economics View citations (1)
   See also Journal Article Policy uncertainty and stock market volatility revisited: The predictive role of signal quality, Journal of Forecasting, John Wiley & Sons, Ltd. (2023) View citations (7) (2023)
10. The Pricing Implications of Cryptocurrency Mining on Global Electricity Markets: Evidence from Quantile Causality Tests
    Working Papers, University of Pretoria, Department of Economics

2021

11. Bitcoin Mining Activity and Volatility Dynamics in the Power Market
    Working Papers, University of Pretoria, Department of Economics View citations (10)
    See also Journal Article Bitcoin mining activity and volatility dynamics in the power market, Economics Letters, Elsevier (2021) View citations (6) (2021)
12. Financial Turbulence, Systemic Risk and the Predictability of Stock Market Volatility
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Financial turbulence, systemic risk and the predictability of stock market volatility, Global Finance Journal, Elsevier (2022) View citations (9) (2022)
13. Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models
    Working Papers, University of Pretoria, Department of Economics View citations (2)
14. 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 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, Elsevier (2023) (2023)
15. 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 Forecasting oil and gold volatilities with sentiment indicators under structural breaks, Energy Economics, Elsevier (2022) View citations (22) (2022)
16. 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 Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model, Energy Economics, Elsevier (2022) View citations (17) (2022)
17. Gold and the Global Financial Cycle
    Working Papers, University of Pretoria, Department of Economics View citations (2)
18. 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)
    See also Journal Article Interest rate uncertainty and the predictability of bank revenues, Journal of Forecasting, John Wiley & Sons, Ltd. (2022) View citations (2) (2022)
19. 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)
20. 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 The financial US uncertainty spillover multiplier: Evidence from a GVAR model, International Finance, Wiley Blackwell (2022) View citations (3) (2022)

2020

21. 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 A note on oil price shocks and the forecastability of gold realized volatility, Applied Economics Letters, Taylor & Francis Journals (2021) View citations (3) (2021)
22. 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 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), World Scientific Publishing Co. Pte. Ltd. (2022) (2022)
23. 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 COVID-19 Pandemic and Investor Herding in International Stock Markets, Risks, MDPI (2021) View citations (33) (2021)
24. 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)
25. Forecasting Realized Stock-Market Volatility: Do Industry Returns have Predictive Value?
    Working Papers, University of Pretoria, Department of Economics View citations (2)
26. 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 Investor Sentiment and (Anti) Herding in the Currency Market: Evidence from Twitter Feed Data, Journal of Behavioral Finance, Taylor & Francis Journals (2023) View citations (3) (2023)
27. Monetary Policy and Speculative Spillovers in Financial Markets
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Monetary policy and speculative spillovers in financial markets, Research in International Business and Finance, Elsevier (2021) View citations (10) (2021)
28. 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)
29. 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 Predicting firm-level volatility in the United States: the role of monetary policy uncertainty, Economics and Business Letters, Oviedo University Press (2020) View citations (2) (2020)
30. Sentiment and Financial Market Connectedness: The Role of Investor Happiness
    Working Papers, University of Pretoria, Department of Economics View citations (1)
31. The Predictive Power of Oil Price Shocks on Realized Volatility of Oil: A Note
    Working Papers, University of Pretoria, Department of Economics View citations (30)
    See also Journal Article The predictive power of oil price shocks on realized volatility of oil: A note, Resources Policy, Elsevier (2020) View citations (24) (2020)
32. The U.S. Term Structure and Return Volatility in Global REIT Markets
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article The US Term Structure and Return Volatility in Global REIT Markets, Advances in Decision Sciences, Asia University, Taiwan (2020) View citations (1) (2020)
33. 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)
    See also Journal Article Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data, Journal of Multinational Financial Management, Elsevier (2021) View citations (2) (2021)

2019

34. 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 Cross-border capital flows and return dynamics in emerging stock markets: Relative roles of equity and debt flows, Journal of International Money and Finance, Elsevier (2020) View citations (7) (2020)
35. Economic Policy Uncertainty and Herding Behavior: Evidence from the South African Housing Market
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article Economic Policy Uncertainty and Herding Behavior Evidence from the South African Housing Market, Advances in Decision Sciences, Asia University, Taiwan (2019) View citations (4) (2019)
36. Gold, Platinum and the Predictability of Bond Risk Premia
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article Gold, platinum and the predictability of bond risk premia, Finance Research Letters, Elsevier (2021) View citations (6) (2021)
37. Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets
    Working Papers, Eastern Mediterranean University, Department of Economics View citations (38)
    See also Journal Article Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets, Energy Policy, Elsevier (2019) View citations (40) (2019)
38. 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 Risk aversion and the predictability of crude oil market volatility: A forecasting experiment with random forests, Journal of the Operational Research Society, Taylor & Francis Journals (2022) View citations (6) (2022)
39. 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 (48)
    See also Journal Article The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis, Structural Change and Economic Dynamics, Elsevier (2019) View citations (41) (2019)
40. 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 The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles, Journal of Forecasting, John Wiley & Sons, Ltd. (2020) View citations (16) (2020)
41. The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach
    Working Papers, University of Pretoria, Department of Economics
42. 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
43. 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 Time-varying risk aversion and the predictability of bond premia, Finance Research Letters, Elsevier (2020) View citations (6) (2020)
44. 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 Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram, Economies, MDPI (2020) View citations (2) (2020)

2018

45. 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 (4)
    See also Journal Article Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from Stocks, Bonds and Commodities, Journal of Economics and Behavioral Studies, AMH International (2018) View citations (4) (2018)
46. 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 Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests, Sustainability, MDPI (2019) View citations (18) (2019)
47. Firm-Level Political Risk and Asymmetric Volatility
    Working Papers, University of Pretoria, Department of Economics View citations (12)
    See also Journal Article Firm-level political risk and asymmetric volatility, The Journal of Economic Asymmetries, Elsevier (2018) View citations (12) (2018)
48. Forecasting Stock Market (Realized) Volatility in the United Kingdom: Is There a Role for Economic Inequality?
    Working Papers, University of Pretoria, Department of Economics
49. Geopolitical Risks and the Predictability of Regional Oil Returns and Volatility
    Working Papers, University of Pretoria, Department of Economics View citations (5)
50. Investor Sentiment and Crash Risk in Safe Havens
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article Investor Sentiment and Crash Risk in Safe Havens, Journal of Economics and Behavioral Studies, AMH International (2019) View citations (3) (2019)
51. 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 (10)
52. Time-Varying Risk Aversion and Realized Gold Volatility
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article Time-varying risk aversion and realized gold volatility, The North American Journal of Economics and Finance, Elsevier (2019) View citations (39) (2019)

2017

53. 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 A note on the technology herd: evidence from large institutional investors, Review of Behavioral Finance, Emerald Group Publishing Limited (2019) View citations (4) (2019)
54. 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)
55. 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
56. 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)
57. 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 Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note, Defence and Peace Economics, Taylor & Francis Journals (2019) View citations (41) (2019)
58. Oil Returns and Volatility: The Role of Mergers and Acquisitions
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Oil returns and volatility: The role of mergers and acquisitions, Energy Economics, Elsevier (2018) View citations (8) (2018)
59. Oil Speculation and Herding Behavior in Emerging Stock Markets
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article Oil speculation and herding behavior in emerging stock markets, Journal of Economics and Finance, Springer (2019) View citations (11) (2019)
60. 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 On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators, Quantitative Finance, Taylor & Francis Journals (2019) View citations (29) (2019)
61. Time-Varying Rare Disaster Risks, Oil Returns and Volatility
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Time-varying rare disaster risks, oil returns and volatility, Energy Economics, Elsevier (2018) View citations (51) (2018)

2016

62. 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 Differences of opinion and stock market volatility: evidence from a nonparametric causality-in-quantiles approach, Journal of Economics and Finance, Springer (2018) View citations (7) (2018)
63. 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 Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations, Sustainability, MDPI (2017) View citations (26) (2017)
64. Does speculation in the oil market drive investor herding in net exporting nations?
    Working Papers, Eastern Mediterranean University, Department of Economics View citations (2)
65. 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 (9)
66. Geopolitical Risks and Stock Market Dynamics of the BRICS
    Working Papers, University of Pretoria, Department of Economics View citations (30)
    See also Journal Article Geopolitical risks and stock market dynamics of the BRICS, Economic Systems, Elsevier (2018) View citations (122) (2018)
67. 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 Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach, Resources Policy, Elsevier (2018) View citations (10) (2018)
68. 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 The effect of gold market speculation on REIT returns in South Africa: a behavioral perspective, Journal of Economics and Finance, Springer (2017) View citations (12) (2017)
69. The Effect of Investor Sentiment on Gold Market Dynamics
    Working Papers, University of Pretoria, Department of Economics
70. 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

71. 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 Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries, Energy Economics, Elsevier (2015) View citations (68) (2015)
72. Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk
    Working Papers, Eastern Mediterranean University, Department of Economics View citations (5)
    See also Journal Article Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk, Energy Economics, Elsevier (2016) View citations (99) (2016)

2013

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

Journal Articles

2025

1. Do oil price shocks drive systematic risk premia in stock markets? A novel investment application
   Research in International Business and Finance, 2025, 73, (PA)
2. Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies
   Journal of Empirical Finance, 2025, 81, (C)
   See also Working Paper Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies, Working Papers (2022) View citations (1) (2022)

2024

3. Climate risk, ESG ratings, and the flow-performance relationship in mutual funds
   Global Finance Journal, 2024, 63, (C)
4. Do industries predict stock market volatility? Evidence from machine learning models
   Journal of International Financial Markets, Institutions and Money, 2024, 90, (C) View citations (5)
5. Gold, platinum and the predictability of bubbles in global stock markets
   Resources Policy, 2024, 90, (C)
6. Speculation, Cross-Market Sentiment and the Predictability of Gold Market Volatility
   Journal of Behavioral Finance, 2024, 25, (3), 278-295
7. Technological shocks and stock market volatility over a century
   Journal of Empirical Finance, 2024, 79, (C) View citations (1)
8. What drives green betas? Climate uncertainty or speculation
   Finance Research Letters, 2024, 60, (C)

2023

9. A note on financial vulnerability and volatility in emerging stock markets: evidence from GARCH-MIDAS models
   Applied Economics Letters, 2023, 30, (1), 37-42
10. Anti-herding by hedge funds and its implications for expected returns
    Journal of Economic Behavior & Organization, 2023, 211, (C), 31-48 View citations (1)
11. Climate uncertainty and information transmissions across the conventional and ESG assets
    Journal of International Financial Markets, Institutions and Money, 2023, 83, (C) View citations (24)
12. Cross-border capital flows and information spillovers across the equity and currency markets in emerging economies
    Journal of International Money and Finance, 2023, 139, (C) View citations (4)
13. Economic policy uncertainty and fund flow performance sensitivity: Evidence from New Zealand
    International Review of Finance, 2023, 23, (3), 666-679
14. 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
    See also Working Paper Firm-level Business Uncertainty and the Predictability of the Aggregate U.S. Stock Market Volatility during the COVID-19 Pandemic, Working Papers (2021) (2021)
15. Investor Sentiment and (Anti) Herding in the Currency Market: Evidence from Twitter Feed Data
    Journal of Behavioral Finance, 2023, 24, (1), 56-72 View citations (3)
    See also Working Paper Investor Sentiment and (Anti-)Herding in the Currency Market: Evidence from Twitter Feed Data, Working Papers (2020) View citations (1) (2020)
16. On the pricing effects of bitcoin mining in the fossil fuel market: The case of coal
    Resources Policy, 2023, 85, (PB) View citations (2)
    See also Working Paper On the Pricing Effects of Bitcoin Mining in the Fossil Fuel Market: The Case of Coal, Working Papers (2022) (2022)
17. Policy uncertainty and stock market volatility revisited: The predictive role of signal quality
    Journal of Forecasting, 2023, 42, (8), 2307-2321 View citations (7)
    See also Working Paper Policy Uncertainty and Stock Market Volatility Revisited: The Predictive Role of Signal Quality, Working Papers (2022) View citations (1) (2022)

2022

18. 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
    See also Working Paper A Note on Uncertainty due to Infectious Diseases and Output Growth of the United States: A Mixed-Frequency Forecasting Experiment, Working Papers (2020) View citations (2) (2020)
19. Climate uncertainty and carbon emissions prices: The relative roles of transition and physical climate risks
    Economics Letters, 2022, 217, (C) View citations (6)
    See also Working Paper Climate Uncertainty and Carbon Emissions Prices: The Relative Roles of Transition and Physical Climate Risks, Working Papers (2022) View citations (10) (2022)
20. 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 View citations (1)
21. Economic policy uncertainty and institutional investment returns: The case of New Zealand
    Pacific-Basin Finance Journal, 2022, 74, (C) View citations (3)
22. Financial market connectedness: The role of investors’ happiness
    Finance Research Letters, 2022, 44, (C) View citations (16)
23. Financial turbulence, systemic risk and the predictability of stock market volatility
    Global Finance Journal, 2022, 52, (C) View citations (9)
    See also Working Paper Financial Turbulence, Systemic Risk and the Predictability of Stock Market Volatility, Working Papers (2021) (2021)
24. Forecasting oil and gold volatilities with sentiment indicators under structural breaks
    Energy Economics, 2022, 105, (C) View citations (22)
    See also Working Paper Forecasting Oil and Gold Volatilities with Sentiment Indicators Under Structural Breaks, Working Papers (2021) View citations (1) (2021)
25. 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 View citations (2)
26. Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model
    Energy Economics, 2022, 108, (C) View citations (17)
    See also Working Paper Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model, Working Papers (2021) (2021)
27. Green investments: A luxury good or a financial necessity?
    Energy Economics, 2022, 105, (C) View citations (54)
28. Hedging climate risks with green assets
    Economics Letters, 2022, 212, (C) View citations (52)
29. Interest rate uncertainty and the predictability of bank revenues
    Journal of Forecasting, 2022, 41, (8), 1559-1569 View citations (2)
    See also Working Paper Interest Rate Uncertainty and the Predictability of Bank Revenues, Working Papers (2021) (2021)
30. Oil Price Uncertainty Shocks and Global Equity Markets: Evidence from a GVAR Model
    JRFM, 2022, 15, (8), 1-26 View citations (4)
31. Oil beta uncertainty and global stock returns
    Energy Economics, 2022, 112, (C) View citations (4)
32. Oil price shocks and cost of capital: Does market liquidity play a role?
    Energy Economics, 2022, 115, (C) View citations (8)
33. 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 View citations (2)
34. 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 View citations (6)
    See also Working Paper Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests, Working Papers (2019) View citations (4) (2019)
35. The financial US uncertainty spillover multiplier: Evidence from a GVAR model
    International Finance, 2022, 25, (3), 313-340 View citations (3)
    See also Working Paper The Financial US Uncertainty Spillover Multiplier: Evidence from a GVAR Model, Working Papers (2021) View citations (2) (2021)
36. Time-varying risk aversion and currency excess returns
    Research in International Business and Finance, 2022, 59, (C) View citations (7)
37. U.S. monetary policy and the predictability of global economic synchronization patterns
    Journal of Economics and Finance, 2022, 46, (3), 473-492 View citations (1)
38. Value-at-risk and the cross section of emerging market hedge fund returns
    Global Finance Journal, 2022, 52, (C) View citations (4)

2021

39. A note on oil price shocks and the forecastability of gold realized volatility
    Applied Economics Letters, 2021, 28, (21), 1889-1897 View citations (3)
    See also Working Paper A Note on Oil Price Shocks and the Forecastability of Gold Realized Volatility, Working Papers (2020) View citations (5) (2020)
40. Bitcoin mining activity and volatility dynamics in the power market
    Economics Letters, 2021, 209, (C) View citations (6)
    See also Working Paper Bitcoin Mining Activity and Volatility Dynamics in the Power Market, Working Papers (2021) View citations (10) (2021)
41. COVID-19 Pandemic and Investor Herding in International Stock Markets
    Risks, 2021, 9, (9), 1-11 View citations (33)
    See also Working Paper COVID-19 Pandemic and Investor Herding in International Stock Markets, Working Papers (2020) View citations (1) (2020)
42. 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 View citations (8)
43. Economic policy uncertainty and gold return dynamics: Evidence from high-frequency data
    Resources Policy, 2021, 72, (C) View citations (14)
44. Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold
    Mathematics, 2021, 9, (8), 1-20 View citations (2)
45. Gold, platinum and the predictability of bond risk premia
    Finance Research Letters, 2021, 38, (C) View citations (6)
    See also Working Paper Gold, Platinum and the Predictability of Bond Risk Premia, Working Papers (2019) View citations (1) (2019)
46. Monetary policy and speculative spillovers in financial markets
    Research in International Business and Finance, 2021, 56, (C) View citations (10)
    See also Working Paper Monetary Policy and Speculative Spillovers in Financial Markets, Working Papers (2020) (2020)
47. On the hedging benefits of REITs: The role of risk aversion and market states
    Economics and Business Letters, 2021, 10, (2), 126-132 View citations (1)
48. 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) View citations (2)
    See also Working Paper Unemployment Fluctuations and Currency Returns in the United Kingdom: Evidence from Over One and a Half Century of Data, Working Papers (2020) (2020)

2020

49. 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) View citations (7)
    See also Working Paper Cross-Border Capital Flows and Return Dynamics in Emerging Stock Markets: Relative Roles of Equity and Debt Flows, Working Papers (2019) View citations (1) (2019)
50. Infectious Diseases, Market Uncertainty and Oil Market Volatility
    Energies, 2020, 13, (16), 1-8 View citations (57)
51. Oil and risk premia in equity markets
    Studies in Economics and Finance, 2020, 37, (4), 697-723 View citations (4)
52. Oil price shocks, global financial markets and their connectedness
    Energy Economics, 2020, 88, (C) View citations (69)
53. Oil price uncertainty, global industry returns and active investment strategies
    The Journal of Economic Asymmetries, 2020, 22, (C) View citations (2)
54. Predicting firm-level volatility in the United States: the role of monetary policy uncertainty
    Economics and Business Letters, 2020, 9, (3), 167-177 View citations (2)
    See also Working Paper Predicting Firm-Level Volatility in the United States: The Role of Monetary Policy Uncertainty, Working Papers (2020) View citations (2) (2020)
55. Risk Appetite and Jumps in Realized Correlation
    Mathematics, 2020, 8, (12), 1-11 View citations (1)
56. The U.S. term structure and return volatility in emerging stock markets
    Journal of Economics and Finance, 2020, 44, (4), 687-707
57. The US Term Structure and Return Volatility in Global REIT Markets
    Advances in Decision Sciences, 2020, 24, (3), 84-109 View citations (1)
    See also Working Paper The U.S. Term Structure and Return Volatility in Global REIT Markets, Working Papers (2020) View citations (1) (2020)
58. The effect of global and regional stock market shocks on safe haven assets
    Structural Change and Economic Dynamics, 2020, 54, (C), 297-308 View citations (14)
59. 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 View citations (16)
    See also Working Paper The Predictability of Stock Market Volatility in Emerging Economies: Relative Roles of Local, Regional and Global Business Cycles, Working Papers (2019) (2019)
60. The predictive power of oil price shocks on realized volatility of oil: A note
    Resources Policy, 2020, 69, (C) View citations (24)
    See also Working Paper The Predictive Power of Oil Price Shocks on Realized Volatility of Oil: A Note, Working Papers (2020) View citations (30) (2020)
61. Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram
    Economies, 2020, 8, (1), 1-12 View citations (2)
    See also Working Paper Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram, Working Papers (2019) (2019)
62. Time-varying risk aversion and the predictability of bond premia
    Finance Research Letters, 2020, 34, (C) View citations (6)
    See also Working Paper Time-Varying Risk Aversion and the Predictability of Bond Premia, Working Papers (2019) View citations (5) (2019)
63. Volatility forecasting with bivariate multifractal models
    Journal of Forecasting, 2020, 39, (2), 155-167 View citations (13)

2019

64. A note on the technology herd: evidence from large institutional investors
    Review of Behavioral Finance, 2019, 11, (3), 294-308 View citations (4)
    See also Working Paper A Note on the Technology Herd: Evidence from Large Institutional Investors, Working Papers (2017) View citations (2) (2017)
65. Commodity-currencies or currency-commodities: Evidence from causality tests
    Resources Policy, 2019, 60, (C), 162-168 View citations (15)
66. Do firm characteristics matter in explaining the herding effect on returns?
    Review of Financial Economics, 2019, 37, (2), 256-271 View citations (4)
67. 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 (72)
68. Economic Policy Uncertainty and Herding Behavior Evidence from the South African Housing Market
    Advances in Decision Sciences, 2019, 23, (1), 88-113 View citations (4)
    See also Working Paper Economic Policy Uncertainty and Herding Behavior: Evidence from the South African Housing Market, Working Papers (2019) View citations (4) (2019)
69. Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests
    Sustainability, 2019, 11, (2), 1-15 View citations (18)
    See also Working Paper Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests, Working Papers (2018) View citations (1) (2018)
70. Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note
    Defence and Peace Economics, 2019, 30, (3), 367-379 View citations (41)
    See also Working Paper Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note, Working Papers (2017) View citations (3) (2017)
71. Herding and flash events: Evidence from the 2010 Flash Crash
    Finance Research Letters, 2019, 31, (C) View citations (10)
72. Industry Herding and the Profitability of Momentum Strategies During Market Crises
    Journal of Behavioral Finance, 2019, 20, (2), 195-212 View citations (1)
73. Investor Sentiment and Crash Risk in Safe Havens
    Journal of Economics and Behavioral Studies, 2019, 10, (6), 97-108 View citations (3)
    See also Working Paper Investor Sentiment and Crash Risk in Safe Havens, Working Papers (2018) View citations (5) (2018)
74. Oil speculation and herding behavior in emerging stock markets
    Journal of Economics and Finance, 2019, 43, (1), 44-56 View citations (11)
    See also Working Paper Oil Speculation and Herding Behavior in Emerging Stock Markets, Working Papers (2017) View citations (1) (2017)
75. On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators
    Quantitative Finance, 2019, 19, (5), 843-858 View citations (29)
    See also Working Paper On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators, Working Papers (2017) View citations (5) (2017)
76. Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets
    Energy Policy, 2019, 134, (C) View citations (40)
    See also Working Paper Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets, Working Papers (2019) View citations (38) (2019)
77. The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging
    Energy Economics, 2019, 84, (C) View citations (61)
78. 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 (41)
    See also Working Paper The Effect of Global Crises on Stock Market Correlations: Evidence from Scalar Regressions via Functional Data Analysis, Working Papers (2019) View citations (48) (2019)
79. Time-varying risk aversion and realized gold volatility
    The North American Journal of Economics and Finance, 2019, 50, (C) View citations (39)
    See also Working Paper Time-Varying Risk Aversion and Realized Gold Volatility, Working Papers (2018) View citations (2) (2018)

2018

80. 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 View citations (4)
81. 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 (7)
    See also Working Paper Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach, Working Papers (2016) (2016)
82. 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 (4)
    See also Working Paper Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from Stocks, Bonds and Commodities, Working Papers (2018) View citations (4) (2018)
83. Firm-level political risk and asymmetric volatility
    The Journal of Economic Asymmetries, 2018, 18, (C), - View citations (12)
    See also Working Paper Firm-Level Political Risk and Asymmetric Volatility, Working Papers (2018) View citations (12) (2018)
84. Geopolitical risks and stock market dynamics of the BRICS
    Economic Systems, 2018, 42, (2), 295-306 View citations (122)
    See also Working Paper Geopolitical Risks and Stock Market Dynamics of the BRICS, Working Papers (2016) View citations (30) (2016)
85. Global risk aversion and emerging market return comovements
    Economics Letters, 2018, 173, (C), 118-121 View citations (34)
86. Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach
    Resources Policy, 2018, 57, (C), 196-212 View citations (10)
    See also Working Paper Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach, Working Papers (2016) (2016)
87. Oil returns and volatility: The role of mergers and acquisitions
    Energy Economics, 2018, 71, (C), 62-69 View citations (8)
    See also Working Paper Oil Returns and Volatility: The Role of Mergers and Acquisitions, Working Papers (2017) (2017)
88. 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 (12)
89. Time-varying rare disaster risks, oil returns and volatility
    Energy Economics, 2018, 75, (C), 239-248 View citations (51)
    See also Working Paper Time-Varying Rare Disaster Risks, Oil Returns and Volatility, Working Papers (2017) (2017)

2017

90. 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 (26)
    See also Working Paper Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations, Working Papers (2016) (2016)
91. Does speculation in the oil market drive investor herding in emerging stock markets?
    Energy Economics, 2017, 65, (C), 50-63 View citations (33)
92. 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 View citations (1)
93. Investor herds and oil prices evidence in the Gulf Cooperation Council (GCC) equity markets
    Central Bank Review, 2017, 17, (3), 77–89 View citations (18)
94. Oil and stock market momentum
    Energy Economics, 2017, 68, (C), 151-159 View citations (29)
95. On the short-term predictability of stock returns: A quantile boosting approach
    Finance Research Letters, 2017, 22, (C), 35-41 View citations (6)
96. 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 (12)
    See also Working Paper The Effect of Gold Market Speculation on REIT Returns in South Africa: A Behavioral Perspective, Working Papers (2016) View citations (8) (2016)
97. 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 (51)
98. 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 (26)

2016

99. 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 (28)
100. Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk
     Energy Economics, 2016, 54, (C), 159-172 View citations (99)
     See also Working Paper Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk, Working Papers (2014) View citations (5) (2014)

2015

101. Does the stock market drive herd behavior in commodity futures markets?
     International Review of Financial Analysis, 2015, 39, (C), 32-44 View citations (60)
102. 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 (36)
103. Global risk exposures and industry diversification with Shariah-compliant equity sectors
     Pacific-Basin Finance Journal, 2015, 35, (PB), 499-520 View citations (29)
104. Industry herding and momentum strategies
     Pacific-Basin Finance Journal, 2015, 32, (C), 95-110 View citations (28)
105. 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 (68)
     See also Working Paper Oil Price Risk Exposure and the Cross-section of Stock Returns: The Case of Net Exporting Countries, Working Papers (2014) View citations (3) (2014)
106. Regional and global spillovers and diversification opportunities in the GCC equity sectors
     Emerging Markets Review, 2015, 24, (C), 160-187 View citations (20)
107. 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

108. Do ADR investors herd?: Evidence from advanced and emerging markets
     International Review of Economics & Finance, 2014, 30, (C), 138-148 View citations (18)
109. The Effect of Global Shocks and Volatility on Herd Behavior in Borsa Istanbul
     BIFEC Book of Abstracts & Proceedings, 2014, 1, (2), 142-172
110. 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 (54)

2013

111. 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 (12)
112. 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 (87)
113. The conditional relation between dispersion and return
     Review of Financial Economics, 2013, 22, (3), 125-134 View citations (7)
     Also in Review of Financial Economics, 2013, 22, (3), 125-134 (2013) View citations (2)

2012

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

2010

115. Do investors herd in emerging stock markets?: Evidence from the Taiwanese market
     Journal of Economic Behavior & Organization, 2010, 76, (2), 283-295 View citations (101)
116. 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 (80)

2006

117. Does herding behavior exist in Chinese stock markets?
     Journal of International Financial Markets, Institutions and Money, 2006, 16, (2), 123-142 View citations (163)
118. Sequential valuation networks for asymmetric decision problems
     European Journal of Operational Research, 2006, 169, (1), 286-309 View citations (3)

2005

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

2004

121. Firm-level return dispersion and correlation asymmetry: challenges for portfolio diversification
     Applied Financial Economics, 2004, 14, (6), 447-456 View citations (7)

2003

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

2002

123. 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 (17)