Published in DANUBE: Law, Economics and Social Issues Review
Since Bitcoin introduction in 2008, the cryptocurrency market has grown into hundreds-of-billion-dollar market. The cryptocurrency market is well known as very volatile, mainly for the fact that the cryptocurrencies have not the price to fall back upon and that anybody can join the trading (no license or approval is required). Since empirical liter...
Published in Advances in Food Security and Sustainability
Public investment in agricultural research and development (R&D) is important for global food security and environmental sustainability. Although public agricultural R&D projects are associated with high economic returns, they are characterized by long time horizons and temporal lags. The inherent lag, between when R&D investment takes place and wh...
Published in The Quarterly Review of Economics and Finance
This paper analyses the directional spillover effects and connectedness for both return and volatility of nine US dollar exchange rates of globally most traded currencies under the influence of trade policy uncertainty. We find two interesting results over the study period ranging from December 1993 to July 2019. First, there exists asymmetric spil...
Published in The Asian Journal of Shipping and Logistics
It is widely accepted that the highly volatile capesize market has many peculiarities. Its importance has been recently highlighted by an increase in contribution of the Baltic Capesize Index (BCI) to the Baltic Dry Index (BDI), affecting the progress of the BDI more than any other dry bulk index. This paper investigates the behavior of the capesiz...
Published in Journal of Public Economics
We consider several economic uncertainty indicators for the US and UK before and during the COVID-19 pandemic: implied stock market volatility, newspaper-based policy uncertainty, Twitter chatter about economic uncertainty, subjective uncertainty about business growth, forecaster disagreement about future GDP growth, and a model-based measure of ma...
Published in Journal of behavioral and experimental finance
The novel Coronavirus disease (COVID-19) has quickly evolved from a provincial health scare to a global meltdown. While it has brought nearly half the world to a standstill it has affected the financial markets in unseen ways by eroding a quarter of wealth in nearly a month. This paper investigates the reaction of financial markets globally in term...
Published in Economic Modelling
• The usual liquidity resilience measure based on liquidity levels has limitations. • We propose a new approach to analyze resilience based on liquidity volatility. • To this end, we study the link between returns volatility and liquidity volatility. • We fit a CC-GARCH model for US 10-year bonds returns and five liquidity indicators. • Our finding...
Published in Finance research letters
This study investigates the impact of COVID-19 pandemic on the microstructure of US equity markets. In particular, we explain the liquidity and volatility dynamics via indexes that capture multiple dimensions of the pandemic. Our results suggest that increases in confirmed cases and deaths due to coronavirus are associated with a significant increa...
In an excerpt from the fictional work “Waterland” (Swift, 1992), the narrator labels water as “Nothing,” implying land and humans as “Something.” This was more of a philosophical expression that can alternatively be inferred from the real-world processes like land reclamation. Land was always associated with value, stability, certainty and utility ...
Published in Finance research letters
This paper analyzes the evolution of CDS spread and CDS volatility around European sovereign rating announcements over the period 2008-13. We show that the effect of the announcement differs depending on the credit quality of the issuer (Investment Grade versus Speculative). The downgrading and negative credit watch of an investment grade country s...
