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Browsing Research Articles (Economics) by Author "Demirer, Riza"
Now showing items 1-20 of 51
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Karmakar, Sayar; Demirer, Riza; Gupta, Rangan (Elsevier, 2021-12)Utilizing a measure of the Bitcoin network’s daily electricity load, we document a significant volatility effect of Bitcoin mining activity in three prominent electricity markets in the U.S. The volatility effect is found ...
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Nasr, Adnen Ben; Cunado, Juncal; Demirer, Riza; Gupta, Rangan (MDPI, 2018-09-10)This study examines the linkages between Brazil, Russia, India, and China (BRICS) stock market returns, country risk ratings, and international factors via Non-linear Auto Regressive Distributed Lags models (NARDL) that ...
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Bouri, Elie; Demirer, Riza; Gupta, Rangan; Nel, Jacobus (MPDI, 2021-09)The aim of this study is to understand the effect of the recent novel coronavirus pandemic on investor herding behavior in global stock markets. Utilizing a daily newspaper-based index of financial uncertainty associated ...
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Balcilar, Mehmet; Bathia, Deven; Demirer, Riza; Gupta, Rangan (Elsevier, 2021-02)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 ...
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Bathia, Deven; Bouras, Christos; Demirer, Riza; Gupta, Rangan (Elsevier, 2020-12)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. ...
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Balcilar, Mehmet; Demirer, Riza; Gupta, Rangan; Wohar, Mark E. (Springer, 2018-04)This paper examines whether the differences of opinion across active money managers relates to stock market volatility via the recently proposed nonparametric causality-in-quantiles test. Using the dispersion in equity ...
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Balcilar, Mehmet; Demirer, Riza; Gupta, Rangan (MDPI Publishing, 2017-10-04)This paper explores the potential diversification benefits of socially responsible investments for conventional stock portfolios by examining the risk spillovers and dynamic correlations between conventional and ...
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Twala, Zinhle; Demirer, Riza; Gupta, Rangan (International Foundation for Research and Development, 2018-04)The time-variation in asset correlations have broad implications in asset pricing, portfolio management and hedging. Numerous studies in the literature have found that the change in correlations is mainly related to the ...
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Cakan, Esin; Demirer, Riza; Gupta, Rangan; Uwilingiye, Josine (Asia University, Taiwan, 2019-03)This paper examines the link between economic policy uncertainty and herding behaviour in financial markets with an application to the South African housing market. Building on the evidence in the literature that herding ...
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Balcilar, Mehmet; Demirer, Riza; Gupta, Rangan; Wohar, Mark E. (Elsevier, 2020-09)This paper examines the fundamental linkages between stock markets and safe haven assets by developing a two-factor, regime-based volatility spillover model with global and regional stock market shocks as risk factors. The ...
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Das, Sonali; Demirer, Riza; Gupta, Rangan (Elsevier, 2019-09)This paper presents a novel, mixed-frequency based regression approach, derived from functional data analysis (FDA), to analyze the effect of global crises on stock market correlations, using a long span of data, dating ...
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Akinsomi, Omokolade; Balcilar, Mehmet; Demirer, Riza; Gupta, Rangan (Springer, 2017-10)This study provides novel insight to the evolution of herd behavior during crisis periods by relating the time-variation in investor herding to speculation in gold, an asset traditionally considered a safe haven during ...
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Demirer, Riza; Gupta, Rangan; Nel, Jacobus; Pierdzioch, Christian (Springer, 2022-01)We extend the literature on the effect of rare disaster risks on commodities by examining the effect of the El Niño-Southern Oscillation (ENSO) on crude oil via the recently developed kth order nonparametric causality-in-quantile ...
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Demirer, Riza; Gupta, Rangan; Lv, Zhihui; Wong, Wing-Keung (MDPI, 2019-01)We employ bivariate and multivariate nonlinear causality tests to document causality from equity return dispersion to stock market volatility and excess returns, even after controlling for the state of the economy. ...
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Bouri, Elie; Demirer, Riza; Gabauer, David; Gupta, Rangan (Elsevier, 2022-01)We examine the relationship between investor sentiment and connectedness patterns across global stock markets within a quantile-on-quantile framework. Our findings show that investor happiness has a significant effect on ...
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Salisu, Afees A.; Demirer, Riza; Gupta, Rangan (Elsevier, 2022-05)This paper adds a novel perspective to the literature by exploring the predictive performance of two relatively unexplored indicators of financial conditions, i.e. financial turbulence and systemic risk, over stock market ...
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Demirer, Riza; Gupta, Rangan; Salisu, Afees A.; Van Eyden, Renee (Elsevier, 2023-04)In this paper, we analyze the predictive role of firm-level business expectations and uncertainties derived from a panel survey of U.S. 1750 business executives from 50 states for the realized variance (sum of daily squared ...
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Aye, Goodness Chioma; Balcilar, Mehmet; Demirer, Riza; Gupta, Rangan (Elsevier, 2018-11)This paper examines whether proxies of political risk exposure at the firm-level can predict the aggregate stock market volatility. Utilizing a nonparametric causality-in-quantiles test which not only guards against ...
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Luo, Jiawen; Demirer, Riza; Gupta, Rangan; Ji, Qiang (Elsevier, 2022-01)This paper contributes to the literature on forecasting the realized volatility of oil and gold by (i) utilizing the Infinite Hidden Markov (IHM) switching model within the Heterogeneous Autoregressive (HAR) framework to ...
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Hassani, Hossein; Yeganegi, Mohammad Reza; Gupta, Rangan; Demirer, Riza (Wiley, 2022-04)In this paper, we analyze the potential role of growth in inequality for forecasting realized volatility of the stock market of the UK. In our forecasting exercise, we use linear and nonlinear models as well as measures ...
Now showing items 1-20 of 51