Showing papers in "Finance Research Letters in 2017"

TL;DR: This paper used a dynamic conditional correlation model to examine whether Bitcoin can act as a hedge and safe haven for major world stock indices, bonds, oil, gold, the general commodity index and the US dollar index.

TL;DR: In this article, the authors examine whether Bitcoin can hedge global uncertainty, measured by the first principal component of the VIXs of 14 developed and developing equity markets, by decomposing Bitcoin returns into various frequencies, i.e., investment horizons, and given evidence of heavy-tails.

TL;DR: This paper examined the existence and dates of pricing bubbles in Bitcoin and Ethereum, two popular cryptocurrencies using the (Phillips et al., 2011) methodology and concluded that Bitcoin is almost certainly in a bubble phase.

TL;DR: In this article, Dyhrberg et al. analyzed the relationship between Bitcoin, gold and the US dollar and showed that Bitcoin exhibits distinctively different return, volatility and correlation characteristics compared to other assets including gold and US dollar.

TL;DR: In this paper, the impact of financial inclusion on income inequality, poverty, and financial stability in eight MENA countries over the period 2002-2015 is investigated. And the empirical evidence indicates that while financial integration is a contributing factor to financial instability in MENA, financial inclusion contributes positively to financial stability.

TL;DR: This study attempts to investigate the time-varying long-term memory in the Bitcoin market through a rolling window approach and by employing a new efficiency index, and some interesting findings emerge.

TL;DR: Using a long historical perspective on whether the time-varying stock covariance, their returns and their variances are affected by geopolitical risk, as encapsulated and quantified by a recently developed index, this paper found that geopolitical risk triggers a negative effect on oil returns and volatility, and to a smaller degree on the covariance between the two markets.

TL;DR: In this article, the authors examined the transaction costs of Bitcoin in international transactions and found that the transaction cost of Bitcoin is lower than that of retail foreign exchange markets and that Bitcoin's simpler infrastructure is a source of the cost advantage.

TL;DR: In this paper, the authors investigated the impact of oil price shocks and oil price volatility shocks on the Chinese stock market index and five sector returns and found that the OVX shocks have significant and negative effects on Chinese stock markets.

TL;DR: In this paper, the authors apply the method of rolling sample test and the GARCH model to investigate the day-of-the-week anomalies in stock returns of 28 markets from 25 countries over the world.

TL;DR: In this article, the dependence structure between economic policy uncertainty and stock market returns in G7 and BRIC was examined using quantile regression techniques, and it was shown that eight out of ten stock markets reveal asymmetric dependence with EPU, with the exception of France and the UK.

TL;DR: In this paper, the impact of institutional quality on FDI inflows in the Arab region was empirically examined by employing system GMM estimation in panel data comprising 16 Arab countries over the period 1984-2012.

TL;DR: In this paper, the volatility spillover and connectedness among global and regional stock markets and those of Greece, Ireland, Portugal, Spain, and Italy (GIPSI) were investigated.

TL;DR: In this article, a multiscale correlation contagion statistic was proposed to test for stock market contagion during the global financial crisis (GFC) from the US to the other six G7 and BRIC countries.

TL;DR: In this article, a flexible modification of the DCC model that accounts for asymmetry and long memory in variance is proposed, which is applied on precious metals and indexes of developed countries to revisit the flight-to-quality phenomenon.

TL;DR: In this paper, the influence of corporate social responsibility (CSR) on the financial performance of low-cost (LCC) and full-service air carriers (FSC) was analyzed.

TL;DR: In this paper, the authors investigated the time-varying long-run correlation of crude oil and U.S. stock markets influenced by the economic policy uncertainty (EPU) index based on the DCC-MIDAS model.

TL;DR: Wang et al. as mentioned in this paper examined the relationship among information asymmetry, dividend policy and ownership structure for Chinese listed firms from 2003 to 2012 and found that firms with higher information asymmetric are less likely to pay dividends.

TL;DR: This paper investigates whether investor sentiment as expressed in daily happiness has predictive power for stock returns in 10 international stock markets and observes that the causal relationship from happiness sentiment to stock returns exist only in high quantiles interval.

TL;DR: In this paper, the effect of herding behavior on excessive market idiosyncratic volatility in the U.S. stock market at a sectoral level was investigated, and the cross sectional absolute deviation model was modified to include trading volume and investors sentiment as herding triggers.

TL;DR: In this paper, the authors investigated the relationship between capital structure and shareholder value in Vietnam and found that only low leveraged firms are likely to create value for shareholders, indicating a proportionately greater cost to debt financing than benefit for Vietnamese firms.

TL;DR: In this paper, the impact of oil price shocks on stock returns of four oil and gas corporations listed on the NYSE over the period January 1974 to December 2015 was examined, and the novelty evidence supported a significant positive impact on stock performance in the short run.

TL;DR: In this article, the authors investigate whether corporate social responsibility (CSR) is valued by acquirers in mergers and acquisitions (M&A) and find that CSR is positively associated with bid premiums.

TL;DR: The authors performed an event study analysis to determine short-term abnormal stock returns following the Brexit referendum and examined whether firm-level internationalization helps explaining abnormal returns, finding that stocks with higher proportions of domestic sales realized more negative abnormal returns than stocks of firms with more sales abroad.

TL;DR: In this article, the causal effects of anti-corruption on firm performance based on a quasi-natural experiment was investigated, and the authors provided critical insights and a serious challenge for regulators in China.

TL;DR: In this paper, the authors use implied volatility indices and examine short-term and long-term causality dynamics between gold and the Chinese and Indian stock markets from March 2011 to March 2017.

TL;DR: In this article, the safe haven properties of gold relative to US stock market sector indices using the bivariate crossquantilogram of Han et al. (2016) were analyzed.

TL;DR: In this article, the authors compare risk measures regarding performance of optimal portfolio strategies and propose a formulation that generates from any loss measure, a deviation based on the dispersion of results worse than it, which leads to very interesting risk measures.

TL;DR: In this article, the authors examined the relationship between investor sentiment and stock returns using the data from Indian stock market and found a strong effect of sentiment on return both in the short-and long-run by employing decomposed returns and sentiment proxies at different time-scale frequencies.

TL;DR: In this paper, the authors examined the relationship among China's fuel oil spot, fuel oil futures and energy stock markets over the period from August 26, 2004 to January 21, 2016 using the dynamic condition correlation (DCC) multivariate GARCH model.