Using an event study method, we examine how stock markets respond to the policies of the
European Central Bank during 1999–2015. We use market prices of futures (government …

Increasing levels of digitisation make firms more susceptible to cyberattacks and privacy
violations. In this paper, we quantify the impact of cybercrime on company stock returns …

The propagation of tail risks poses a significant threat to global financial stability. Although a
growing body of literature studies tail connectedness across global stock markets, little …

This article investigates how uncertainty impacts the effect of monetary policy surprises on
stock returns. Using high-frequency US data, we demonstrate that stock markets respond …

We address the safe haven properties of gold relative to US stock market sector indices
using the bivariate cross-quantilogram of Han et al.(2016). Splitting our sample into pre-and …

This paper examines the impact of ECB monetary policy surprises on German excess stock
returns and the possible reasons for such a response. First, we conduct an event study to …

This paper examines the relationship between monetary policy and investor sentiment
across conventional and unconventional monetary policy regimes. During conventional …

Economic policy uncertainty (EPU) is an important driver of the correlation in the oil–stock
nexus. However, whether the effect of EPU on oil–stock correlations across different market …

We examine volatility dynamics in the Korean market using heterogeneous autoregressive
models with exogenous covariates. The COVID-19 pandemic and the Russia–Ukraine War …

Purpose This paper aims to examine the impact of the daily growth rate of COVID-19 cases
in the USA (COVIDg), the Federal Fund Rate (FFR) and the trade-weighted US dollar index …