Browsing Research Articles (Economics) by Author "Demirer, Riza"

Browsing Research Articles (Economics) by Author "Demirer, Riza"

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  • Geopolitical risks and movements in Islamic bond and equity markets : a note 
    Bouri, Elie; Demirer, Riza; Gupta, Rangan; Marfatia, Hardik A. (Routledge, 2019)
    This study applies a non-parametric causality-in-quantiles test to examine the causal effect of geopolitical risks on return and volatility dynamics of Islamic equity and bond markets. Geopolitical risks are generally found ...
  • Geopolitical risks and stock market dynamics of the BRICS 
    Balcilar, Mehmet; Bonato, Matteo; Demirer, Riza; Gupta, Rangan (Elsevier, 2018-06)
    This paper examines the effect of geopolitical uncertainty on return and volatility dynamics in the BRICS stock markets via nonparametric causality-in-quantiles tests. The effect of geopolitical risks (GPRs) is found to ...
  • Global risk exposures and industry diversification with Shariah-compliant equity sectors 
    Balcilar, Mehmet; Demirer, Riza; Hammoudeh, Shawkat (Elsevier, 2015-11)
    This paper examines the risk exposures of ten major Islamic sector indexeswith respect to shocks in global conventional markets. Utilizing a dynamic three-regime, three-factor risk spillover model, we generally observe ...
  • Gold futures returns and realized moments : a forecasting experiment using a quantile-boosting approach 
    Bonato, Matteo; Demirer, Riza; Gupta, Rangan; Pierdzioch, Christian (Elsevier, 2018-08)
    This paper proposes an iterative model-building approach known as quantile boosting to trace out the predictive value of realized volatility and skewness for gold futures returns. Controlling for several widely studied ...
  • Gold, platinum and the predictability of bond risk premia 
    Bouri, Elie; Demirer, Riza; Gupta, Rangan; Wohar, Mark E. (Elsevier, 2021-01)
    We show that the ratio of gold to platinum prices (GP) contains significant predictive information for excess U.S. government bond returns, even after controlling for a large number of financial and macro factors. Including ...
  • Gold, platinum and the predictability of bubbles in global stock markets 
    Demirer, Riza; Gabauer, David; Gupta, Rangan; Nielsen, Joshua (Elsevier, 2024-03)
    This paper examines the predictability of bubbles across global stock markets and whether or not synchronicity in bubble formation can be predicted via metrics of market risk that are readily available. Utilizing the gold ...
  • The impact of US policy uncertainty on the monetary effectiveness in the Euro area 
    Balcilar, Mehmet; Demirer, Riza; Gupta, Rangan; Van Eyden, Renee (Elsevier, 2017-11)
    This paper examines the role of U.S. economic policy uncertainty on the effectiveness of monetary policy in the Euro area. Using a structural Interacted Vector Autoregressive (IVAR) model conditional on high and low levels ...
  • Infectious diseases, market uncertainty and oil market volatility 
    Bouri, Elie; Demirer, Riza; Gupta, Rangan; Pierdzioch, Christian (MDPI, 2020-08)
    We examine the predictive power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for oil-market volatility. Using the heterogeneous autoregressive realized volatility (HAR-RV) ...
  • Interest rate uncertainty and the predictability of bank revenues 
    Cepni, Oguzhan; Demirer, Riza; Gupta, Rangan; Sensoy, Ahmet (Wiley, 2022-12)
    This paper examines the predictive power of interest rate uncertainty over pre-provision net revenues (PPNR) in a large panel of bank holding companies (BHC). Utilizing a linear dynamic panel model based on Bayes predictor, ...
  • Investor sentiment and crash risk in safe havens 
    Nasr, Adnen Ben; Bonato, Matteo; Demirer, Riza; Gupta, Rangan (International Foundation for Research and Development, 2018)
    This study examines the relationship between investor sentiment and intraday return dynamics for safe haven assets, with a particular focus on crash risk in these assets. Examining intraday returns for a wide range of safe ...
  • Monetary policy and speculative spillovers in financial markets 
    Demirer, Riza; Gabauer, David; Gupta, Rangan; Ji, Qiang (Elsevier, 2021-04)
    This paper examines the role of monetary policy (MP) as a driver of connectedness patterns in speculative activities in financial markets. Examining measures of speculation in four major markets including gold, equities, ...
  • A note on oil price shocks and the forecastability of gold realized volatility 
    Demirer, Riza; Gupta, Rangan; Pierdzioch, Christian; Shahzad, Syed Jawad Hussain (Routledge, 2021)
    We examine the predictive power of disentangled oil price shocks over gold market volatility via the heterogeneous autoregressive realized volatility (HAR-RV) model. Our in- and out-of-sample tests show that combining the ...
  • A note on the technology herd : evidence from large institutional investors 
    Uwilingiye, Josine; Cakan, Esin; Demirer, Riza; Gupta, Rangan (Emerald, 2019-08)
    PURPOSE : The purpose of this paper is to examine intentional herding among institutional investors with a particular focus on the technology sector that was the driver of the “New Economy” in the USA during the dot-com ...
  • Oil returns and volatility: The role of mergers and acquisitions 
    Bos, Martijn; Demirer, Riza; Gupta, Rangan; Tiwari, Aviral Kumar (Elsevier, 2018-03)
    This paper provides a novel perspective to the oil-stock market nexus by examining the predictive ability of mergers and acquisitions (M&A) over West Texas Intermediate (WTI) oil returns and volatility using a nonparametric ...
  • Oil speculation and herding behavior in emerging stock markets 
    Cakan, Esin; Demirer, Riza; Gupta, Rangan; Marfatia, Hardik A. (Springer, 2019-01)
    This paper explores the relationship between stock and commodity markets from a novel perspective by examining the relationship between speculation in the oil market and investor herding in stock markets. Using firm level ...
  • On the predictability of stock market bubbles : evidence from LPPLS confidence multi-scale indicators 
    Demirer, Riza; Demos, Guilherme; Gupta, Rangan; Sornette, Didier (Routledge, 2019)
    We examine the predictability of positive and negative stock market bubbles via an application of the LPPLS Confidence Multi-scale Indicators to the S&P500, FTSE and NIKKEI indexes. We find that the LPPLS framework is able ...
  • On the pricing effects of bitcoin mining in the fossil fuel market : the case of coal 
    Sibande, Xolani; Demirer, Riza; Balcilar, Mehmet; Gupta, Rangan (Elsevier, 2023-08)
    This study provides novel insight to the role of cryptocurrency mining activities on fossil fuel price dynamics with a particular focus on the coal market. Despite the global climate agenda, coal remains a key energy source ...
  • Policy uncertainty and stock market volatility revisited : the predictive role of signal quality 
    Salisu, Afees A.; Demirer, Riza; Gupta, Rangan (Wiley, 2023-12)
    This paper provides novel insight into the growing literature on the policy uncertainty-stock market volatility nexus by examining the out-of-sample predictive ability of the quality of political signals over stock market ...
  • The predictability of stock market volatility in emerging economies : relative roles of local, regional, and global business cycles 
    Bouri, Elie; Demirer, Riza; Gupta, Rangan; Sun, Xiaojin (Wiley, 2020-09)
    This paper explores the role of business cycle proxies, measured by the output gap at the global, regional, and local levels, as potential predictors of stock market volatility in the emerging BRICS nations. We observe ...
  • Predicting firm-level volatility in the United States : the role of monetary policy uncertainty 
    Clance, M.W. (Matthew); Demirer, Riza; Gupta, Rangan; Kyei, Clement Kweku (Universidad de Oviedo, 2020)
    This paper provides novel evidence for the predictive power of monetary policy uncertainty (MPU) over stock return volatility at the firm level based on a dataset constructed from 9,458 U.S. firms. Our findings show that ...