Details about Hardik A Marfatia

Access statistics for papers by Hardik A Marfatia.

Last updated 2020-04-02. Update your information in the RePEc Author Service.

Short-id: pma2152

Working Papers

2020

1. 125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets
   Working papers, University of Connecticut, Department of Economics View citations (5)
   Also in Working Papers, University of Pretoria, Department of Economics (2019) View citations (1)
2. Dynamic Connectedness And Spillovers Across Sectors: Evidence From The Indian Stock Market
   Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group View citations (2)
3. Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models
   Working papers, University of Connecticut, Department of Economics View citations (13)

2019

4. Dynamic Impact of the U.S. Monetary Policy on Oil Market Returns and Volatility
   Working Papers, University of Pretoria, Department of Economics
5. Effect of Uncertainty on U.S. Stock Returns and Volatility: Evidence from Over Eighty Years of High-Frequency Data
   Working Papers, University of Pretoria, Department of Economics View citations (1)
6. Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment
   Working Papers, University of Pretoria, Department of Economics View citations (5)

2018

7. High-Frequency Impact of Monetary Policy and Macroeconomic Surprises on US MSAs and Aggregate US Housing Returns and Volatility: A GJR-GARCH Approach
   Working Papers, University of Pretoria, Department of Economics View citations (11)
8. Information Spillover across International Real Estate Investment Trusts: Evidence from an Entropy-Based Network Analysis
   Working Papers, University of Pretoria, Department of Economics View citations (22)
   See also Journal Article Information spillover across international real estate investment trusts: Evidence from an entropy-based network analysis, The North American Journal of Economics and Finance, Elsevier (2018) View citations (22) (2018)
9. Time-varying Response of Treasury Yields to Monetary Policy Shocks: Evidence from the Tunisian Bond Market
   Working Papers, Economic Research Forum

2017

10. A Note on the Impact of Unconventional Monetary Policy Shocks in the US on Emerging Market REITs: A Qual VAR Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
11. Estimating excess sensitivity and habit persistence in consumption using Greenbook forecast as an instrument
    MPRA Paper, University Library of Munich, Germany
12. 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)
13. 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)
14. Price Jumps in Developed Stock Markets: The Role of Monetary Policy Committee Meetings
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article Price jumps in developed stock markets: the role of monetary policy committee meetings, Journal of Economics and Finance, Springer (2019) View citations (8) (2019)
15. The International REIT's Time-Varying Response to the U.S. Monetary Policy and Macroeconomic Surprises
    Working Papers, University of Pretoria, Department of Economics View citations (33)
    See also Journal Article The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises, The North American Journal of Economics and Finance, Elsevier (2017) View citations (36) (2017)

Journal Articles

2019

1. 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)
2. Monetary policy co-movement and spillover of shocks among BRICS economies
   Applied Economics Letters, 2019, 26, (15), 1253-1263 View citations (5)
3. 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)
4. Price jumps in developed stock markets: the role of monetary policy committee meetings
   Journal of Economics and Finance, 2019, 43, (2), 298-312 View citations (8)
   See also Working Paper Price Jumps in Developed Stock Markets: The Role of Monetary Policy Committee Meetings, Working Papers (2017) View citations (3) (2017)
5. The dynamic relationship among the money market mutual funds, the commercial paper market, and the repo market
   The European Journal of Finance, 2019, 25, (5), 395-414

2018

6. Estimating the New Keynesian Phillips Curve for the UK: evidence from the inflation-indexed bonds market
   The B.E. Journal of Macroeconomics, 2018, 18, (1), 18 View citations (5)
7. Forecasting house prices in OECD economies
   Journal of Forecasting, 2018, 37, (2), 170-190 View citations (11)
8. Information spillover across international real estate investment trusts: Evidence from an entropy-based network analysis
   The North American Journal of Economics and Finance, 2018, 46, (C), 103-113 View citations (22)
   See also Working Paper Information Spillover across International Real Estate Investment Trusts: Evidence from an Entropy-Based Network Analysis, Working Papers (2018) View citations (22) (2018)

2017

9. A fresh look at integration of risks in the international stock markets: A wavelet approach
   Review of Financial Economics, 2017, 34, (C), 33-49 View citations (12)
10. The Dynamic Relationship Between Housing Prices and the Macroeconomy: Evidence from OECD Countries
    The Journal of Real Estate Finance and Economics, 2017, 54, (2), 237-268 View citations (28)
11. The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises
    The North American Journal of Economics and Finance, 2017, 42, (C), 640-653 View citations (36)
    See also Working Paper The International REIT's Time-Varying Response to the U.S. Monetary Policy and Macroeconomic Surprises, Working Papers (2017) View citations (33) (2017)

2016

12. The Role of Push and Pull Factors in Driving Global Capital Flows
    Applied Economics Quarterly (formerly: Konjunkturpolitik), 2016, 62, (2), 117-146 View citations (6)

2015

13. Monetary policy's time-varying impact on the US bond markets: Role of financial stress and risks
    The North American Journal of Economics and Finance, 2015, 34, (C), 103-123 View citations (16)

2014

14. Impact of uncertainty on high frequency response of the U.S. stock markets to the Fed's policy surprises
    The Quarterly Review of Economics and Finance, 2014, 54, (3), 382-392 View citations (11)

2013

15. Does federal funds futures rate contain information about the treasury bill rate?
    Applied Financial Economics, 2013, 23, (16), 1311-1324 View citations (3)
16. The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market
    Journal of International Financial Markets, Institutions and Money, 2013, 24, (C), 1-24 View citations (29)