Studies in Economics and Finance

1977 - 2024

Current editor(s): Prof Niklas Wagner

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Volume 37, issue 4, 2019

Market dynamics, cyclical patterns and market states pp. 585-604

Azza Bejaoui, Salim Ben Sassi and Jihed Majdoub

Real effects of real estate: evidence from unemployment rates pp. 605-623

Can Dogan and John Can Topuz

Review on behavioral economics and behavioral finance pp. 625-672

Wing-Keung Wong

Dynamic co-movements and directional spillovers among energy futures pp. 673-696

Sercan Demiralay, Nikolaos Hourvouliades and Athanasios Fassas

Oil and risk premia in equity markets pp. 697-723

Satish Kumar, Riza Demirer and Aviral Tiwari

The impact of financial regulation policy uncertainty on bank profits and risk pp. 725-752

Robert Neil Killins, David W. Johnk and Peter V. Egly

Bad or good neighbours: a spatial financial contagion study pp. 753-776

Matteo Foglia, Alessandra Ortolano, Elisa Di Febo and Eliana Angelini

Monetary policy uncertainty and stock market returns: influence of limits to arbitrage and the economic cycle pp. 777-798

Jessica Paule-Vianez, Camilo Prado-Roman and Raúl Gómez-Martínez

Volume 37, issue 3, 2020

Assessing the relationship between closing prices and trading volume in the US livestock futures markets pp. 413-428

Dimitrios Panagiotou and Alkistis Tseriki

Hedging positions in US wheat markets: a disaggregated data analysis pp. 429-455

Nam Hoang and Terrance Grieb

Returns and volume pp. 457-473

Panos Fousekis

A framework for screening and portfolio selection in corporate venture capital pp. 475-495

Tim Alexander Herberger and Felix Reinle

Spoofing: effective market power building through perception alignment pp. 497-511

Viktoria Dalko, Bryane Michael and Michael Wang

The spillover effects of economic policy uncertainty on financial markets: a time-varying analysis pp. 513-543

Canh Nguyen, Thanh Su, Udomsak Wongchoti and Christophe Schinckus

One size does not fit all: external driver of the cryptocurrency world pp. 545-560

Yaman Omer Erzurumlu, Tunc Oygur and Alper Kirik

Interrelation and spillover effects between stocks and bonds: cross-market and cross-asset evidence pp. 561-582

David G. McMillan

Volume 37, issue 2, 2020

Liquidity of financial markets: a review pp. 201-227

Abhinava Tripathi, Alok Dixit and Vipul

Bitcoin, Litecoin, and the Euro: an annualized volatility analysis pp. 229-242

Cynthia Miglietti, Zdenka Kubosova and Nicole Skulanova

Dynamic linkages among cryptocurrencies, exchange rates and global equity markets pp. 243-265

Eleftheria Kostika and Nikiforos Laopodis

A new approach to forecast market interest rates through the CIR model pp. 267-292

Giuseppe Orlando, Rosa Maria Mininni and Michele Bufalo

Asymmetric effect of extreme changes in the exchange rate volatility on the US imports pp. 293-309

Bisharat Chang, Suresh Kumar Oad Rajput, Niaz Ahmed Bhutto and Zahida Abro

Testing the efficiency of metal's market: new evidence from a generalized spectral test pp. 311-321

Rajesh Pathak, Ranjan Das Gupta, Cleiton Taufemback and Aviral Tiwari

The information content of US stock market factors pp. 323-346

Mohammed Elgammal, Fatma Ehab Ahmed and David G. McMillan

A weighted Fama-MacBeth two-step panel regression procedure: asymptotic properties, finite-sample adjustment, and performance pp. 347-360

Kyuseok Lee

Time series momentum trading in green stocks pp. 361-389

Gagari Chakrabarti and Chitrakalpa Sen

Impact of financial liquidity and solvency on cost efficiency: evidence from US banking system pp. 391-410

Kekoura Sakouvogui and Saleem Shaik

Volume 37, issue 1, 2019

The interbank payment network and financial system stability pp. 1-17

Imaduddin Sahabat, Tumpak Silalahi, Ratih Indrastuti and Marizsa Herlina

Excess liquidity premia of single-name CDS vs iTraxx/CDX spreads: 2007-2017 pp. 18-27

Mariya Gubareva

Stock market performance and cross-border mergers and acquisitions in South Africa pp. 28-49

Kasyoka Magdalene Wilson and Désiré Vencatachellum

Modelling industry interdependency dynamics in a network context pp. 50-70

Ya Qian, Wolfgang Härdle and Cathy Yi-Hsuan Chen

Financial technology: a review of extant literature pp. 71-88

Vikas Sangwan, Harshita, Puneet Prakash and Shveta Singh

A tale of two coffees? Analysing interaction and futures market efficiency pp. 89-109

Mark Holmes and Jesus Otero

Monotonicity, linearity and symmetry in the price volatility–volume relationship pp. 110-133

Panos Fousekis and Dimitra Tzaferi

Interest rate option hedging portfolios without bank account pp. 134-142

Alberto Bueno-Guerrero

Leverage, investment, and recovery from a financial crisis: the role of debt overhang pp. 143-159

Andreas Kuchler

How did regulation and market discipline influence banking distress in Europe? pp. 160-198

Vitor Branco Oliveira and Clara Raposo

Volume 36, issue 4, 2019

Understanding the Flash Crash – state of the art pp. 465-491

Gianluca Piero Maria Virgilio

Asset management with TEV and VaR constraints: the constrained efficient frontiers pp. 492-516

Giulio Palomba and Luca Riccetti

The monitoring role of institutional investors pp. 517-546

Xiaoqiong Wang and Siqi Wei

High-frequency trading and the weekly natural gas storage report pp. 547-566

Matt Brigida and William R. Pratt

NFL betting market efficiency, divisional rivals, and profitable strategies pp. 567-580

Corey A. Shank

Constructing cointegrated cryptocurrency portfolios for statistical arbitrage pp. 581-599

Tim Leung and Hung Nguyen

A nonparametric Bayesian approach to term structure fitting pp. 600-615

Victor Lapshin

European emission allowance and equity markets: evidence from further trading phases pp. 616-636

Murad Harasheh and Andrea Amaduzzi

The evolution of herd behavior: Will herding disappear over time? pp. 637-661

Kalugala Vidanalage Aruna Shantha

Mutual fund alpha and daily market-timing ability pp. 662-681

Qiang Bu

Can energy commodities affect energy blockchain-based cryptos? pp. 682-699

Ikhlaas Gurrib

Volume 36, issue 3, 2019

The impact of major life events on household asset portfolio rebalancing pp. 334-347

Tracey West and Andrew Worthington

Stock market, banking sector and economic growth pp. 348-364

Soumya Guha Deb, Sibanjan Mishra and Pradip Banerjee

Bank-based and market-based development and economic growth: an international investigation pp. 365-394

Isaac Boadi, Daniel Osarfo and Perpetual Boadi

Hedging performance and the heterogeneity among market participants pp. 395-407

Yihao Lai, Wei-Shih Chung and Jiaming Chen

Price formation in call auctions with insider information pp. 408-426

Tobias Brünner

Are hedge fund returns affected by media coverage of macroeconomic news? pp. 427-439

Sandip Dutta and James Thorson

Portfolio optimization based on modified expected shortfall pp. 440-463

Deepak Jadhav and T.V. Ramanathan

Volume 36, issue 2, 2019

Sensitivity of economic policy uncertainty to investor sentiment pp. 114-129

Mobeen Ur Rehman and Nicholas Apergis

Corporate social responsibility and bankruptcy pp. 130-153

Elizabeth Cooper and Hatice Uzun

Testing derivatives pricing models under higher-order moment swaps pp. 154-167

Ako Doffou

Crude oil price and implied volatility pp. 168-182

Panos Fousekis

How well can investors diversify with commodities? Evidence from a flexible copula approach pp. 183-206

Panos Fousekis and Vasilis Grigoriadis

Availability of private credit – does culture matter? pp. 207-223

Bree Dority, Frank Tenkorang and Nacasius U. Ujah

Test for volatility spillover effects in Japan’s oil futures markets by a realized variance approach pp. 224-239

Tadahiro Nakajima

Do mergers and acquisitions create value? pp. 240-264

Krishna Reddy, Muhammad Qamar and Noel Yahanpath

Liquidity hedging with futures and forward contracts pp. 265-290

Yong Jae Shin and Unyong Pyo

Further insights into the oil and equity market relationship pp. 291-310

Olfa Belhassine and Amira Ben Bouzid

Acquirer size, political connections and mergers and acquisitions performance pp. 311-332

Xi Zhao, Huanyu Ma and Ting Hao

Volume 36, issue 1, 2019

Fair premium rate of the deposit insurance system based on banks’ creditworthiness pp. 8-31

Naoyuki Yoshino, Farhad Taghizadeh-Hesary and Farhad Nili

Investment performance and emotions: an international study pp. 32-50

Guy Kaplanski and Haim Levy

Stock market stress from the central counterparty’s perspective pp. 51-62

Barbara Dömötör and Kata Váradi

Relative efficiency, industry concentration and average stock returns pp. 63-82

Giao X. Nguyen, Wikrom Prombutr, Chanwit Phengpis and Peggy E. Swanson

New methods of modeling and estimating preferences pp. 83-88

Moawia Alghalith

Analyzing precious metals returns using a Kalman smoother approach pp. 89-111

Marco Erling