Finance Research Letters

2004 - 2025

Current editor(s): R. Gençay

From Elsevier
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Volume 34, issue C, 2020

Causality dynamics from equities to economic growth

Cetin Ciner

Do Asian emerging stock markets react to international economic policy uncertainty and geopolitical risk alike? A quantile regression approach

M. Kannadhasan and Debojyoti Das

Pricing arithmetic Asian options under jump diffusion CIR processes

Jong Jun Park, Hyun Jin Jang and Jiwook Jang

Liquidity and capital in bank lending: Evidence from European banks

John Thornton and Caterina di Tommaso

When does the market feel it? Magnitude, speed and persistence of market reactions to cross-listings

Lis Biell, Xavier Mouchette and Aline Muller

Does the jump risk in the US market matter for Japan and Hong Kong? An investigation on the REIT market

Chi-Wei He, Kuang-Liang Chang and Yung-Jang Wang

The desertion of rich countries and the mutual support of the poor ones: Preferential lending agreements among the PIGS

David Vidal-Tomás, Gabriele Tedeschi and Jordi Ripollés

Fair value and economic consequences of financial restatements

Hua-Wei Solomon Huang, Zhi-Yuan Andy Feng and Angie Abdel Zaher

Pension funds and stock market development in OECD countries: Novel evidence from a panel VAR

Vassilios Babalos and Stavros Stavroyiannis

Optimal liquidation of financial derivatives

Jingnan Chen

Time-varying risk aversion and the predictability of bond premia

Oğguzhan Çepni, Riza Demirer, Rangan Gupta and Christian Pierdzioch

Strategic timing of corporate insiders when trading at earnings announcements

Harold Contreras

CEO tenure and mergers and acquisitions

Bing Zhou, Shantanu Dutta and Pengcheng Zhu

Impact of Brexit vote on the London stock exchange: A sectorial analysis of its volatility and efficiency

Shaista Arshad, Syed Aun R. Rizvi and Omair Haroon

Time-of-day periodicities of trading volume and volatility in Bitcoin exchange: Does the stock market matter?

Jying-Nan Wang, Hung-Chun Liu and Yuan-Teng Hsu

Credit default swap and two-sided moral hazard

Yaxian Gong

Back to government ownership: The Sovereign Wealth Funds phenomenon

Jocelyn Grira

Pension policy and the IPO market

Hui-Ju Tsai and Yao-Min Chiang

Is the introduction of futures responsible for the crash of Bitcoin?

Ruozhou Liu, Shanfeng Wan, Zili Zhang and Xuejun Zhao

Economies of diversification in microfinance: Evidence from quantile estimation on panel data

Emir Malikov, Valentina Hartarska and Roy Mersland

The association between political connection and stock price crash risk: Using financial reporting quality as a moderator

Tzu-Yi Fang, Fengyi Lin, Sheng-Wei Lin and Yi-Hua Huang

Do it with a smile: Forecasting volatility with currency options

Lorenzo Reus, José A. Carrasco and Pablo Pincheira

Banking goes digital: The adoption of FinTech services by German households

Moritz Jünger and Mark Mietzner

Does celebrity spokesperson signal firm performance? Evidence from a drug scandal in China

Wenyun Yao, Jiahui Wei, Yongjian Shen, Yan Deng and Ali Kutan

A new measure for market efficiency and its application

Jinjin Jiang and Haiqi Li

Exotic options pricing under special Lévy process models: A biased control variate method approach

Jiayi Jia, Yongzeng Lai, Lin Li and Vinna Tan

The impact of monetary policy shocks on stock market bubbles: International evidence

Petre Caraiani and Adrian Cantemir Cǎlin

Does high-frequency trading reduce market underreaction to earnings news?

Yun Ke and Yanan Zhang

Under pressure: Listing status and disinvestment in Japan

Joseph French, Ryosuke Fujitani and Yukihiro Yasuda

Historical volatility of advanced equity markets: The role of local and global crises

Samrat Goswami, Rangan Gupta and Mark Wohar

Macroeconomic uncertainty, information competition, and liquidity

Yen-Chen Chiu

Financial networks and systemic risk in China's banking system

Lixin Sun

The profitability of technical trading rules in the Bitcoin market

Dirk Gerritsen, Elie Bouri, Ehsan Ramezanifar and David Roubaud

The forecasting power of the multi-language narrative of sell-side research: A machine learning evaluation

Krzysztof Rybinski

A three-factor pricing model for cryptocurrencies

Dehua Shen, Andrew Urquhart and Pengfei Wang

The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives

Erdinc Akyildirim, Shaen Corbet, Paraskevi Katsiampa, Neil Kellard and Ahmet Sensoy

Spatial connectedness of volatility spillovers in G20 stock markets: Based on block models analysis

Weiping Zhang, Xintian Zhuang and Dongmei Wu

Do financial reforms promote entrepreneurship?

Chandan Jha and Rafiqul Bhuyan

Can economic policy uncertainty predict exchange rate volatility? New evidence from the GARCH-MIDAS model

Zhongbao Zhou, Zhangyan Fu, Yong Jiang, Ximei Zeng and Ling Lin

Forecasting volatility using realized stochastic volatility model with time-varying leverage effect

Xinyu Wu and Xiaona Wang

Diamonds versus precious metals: What gleams most against USD exchange rates?

Rihab Bedoui, Khaled Guesmi, Saoussen Kalai and Thomas Porcher

Market stability analysis after the circuit breaker for the CSI 300 energy index

Wei Zhou, Wanying Rao and Shuai Lu

Testing for mean reversion in Bitcoin returns with Gibbs-sampling-augmented randomization

Douglas Eduardo Turattia, Fernando Henrique P.S. Mendes and João Frois Caldeira

Can financial marketization mitigate the negative effect of exchange rate fluctuations on exports? Evidence from Chinese regions

Brian Lucey, Wang Xiaoxue, Wang Yanfang and Xu Ying

How do sovereign credit default swap spreads behave under extreme oil price movements? Evidence from G7 and BRICS countries

Jun Wang, Xiaolei Sun and Jianping Li

The financialization of Chinese commodity markets

Baochen Yang, Yingjian Pu and Yunpeng Su

Intangible factor and idiosyncratic volatility puzzles

Xing Li, Keqiang Hou and Chao Zhang

Does financial inclusion impact CO2 emissions? Evidence from Asia

Thai-Ha Le, Ha-Chi Le and Farhad Taghizadeh-Hesary

Corporate social responsibility, financial instability and corporate financial performance: Linear, non-linear and spillover effects – The case of the CAC 40 companies

Abderrahmane Jahmane and Brahim Gaies

Investigating solutions for the development of a green bond market: Evidence from analytic hierarchy process

Chuc Anh Tu, Ehsan Rasoulinezhad and Tapan Sarker