This paper provides a novel perspective on the predictive ability of credit rating announcements over stock market returns and volatility using a novel methodology that formally distinguishes between different market states ...
This paper examines the effect of cross-border capital flows on financial markets by focusing on the composition of flows, viz. equity and debt flows, and its relative effect on emerging stock market returns and volatility. ...
This paper provides a novel perspective in determining the Granger causality of sentiment across the US, Latin America, Eurozone, Japan and Asia (excluding Japan), based on monthly data covering the period of January ...
This paper provides a novel perspective in determining the Granger causality of sentiment across the US, Latin America, Eurozone, Japan and Asia (excluding Japan), based on monthly data covering the period of January ...
This paper provides a long-term perspective on the causal linkages between currency dynamics and macroeconomic conditions. We utilise a long-span data set for the United Kingdom that extends back to 1856, and a time-varying ...
