Financial Markets and Investment Strategies

Market greenness predicts liquidity shocks tied to ESG investor preferences, and ESG-related liquidity better explains stock returns than standard measures during 2015-2019.

Analysis of liquidity spillover in corporate bond markets following rating downgrades, showing contagion through information learning across related securities.

Study reveals geopolitical risk impacts stock returns asymmetrically: negatively in bullish markets, positively in downturns. Emerging markets may hedge geopolitical shocks.

Asymptotic theory for integrated autoregressive conditional duration models reveals infinite-mean trading intervals in cryptocurrency ETFs, requiring new inference methods.

Analysis of speculative bubbles in DeFi and NFT markets using GSADF testing reveals bubble presence in eight of nine examined blockchain assets.

STORM combines dual vector quantized autoencoders to extract temporal and spatial stock features, creating diverse factor embeddings for improved asset pricing and portfolio management.

Quantile VAR analysis reveals how sports tokens transmit and receive systemic shocks, with implications for portfolio construction and downside risk mitigation during market stress.

Study analyzes geopolitical risk's negative impact on stock returns in Vietnam's emerging market, finding that firms sensitive to political uncertainty demand higher expected returns.

Catastrophe bond pricing framework combining distortion operator theory with recurrent neural networks, capturing discontinuous repricing and tail-risk compensation.

Study of gender lens equity funds reveals inconsistent methodologies, limited portfolio overlap, and mixed performance compared to benchmarks.

Event study analysis shows stock splits boost returns on Indonesian exchanges while reverse splits trigger negative reactions, reflecting divergent investor signals in emerging markets.

Study of retail investor compliance with FINRA trusted contact rule using national financial capability data, showing literacy and social trust as key determinants.

Analysis of social media sentiment regarding Brexit and its significant negative impacts on GBP exchange rates and FTSE-100 performance using time-series sentiment analysis methods.

Study examines how global and domestic crises impact UAE financial markets using STL decomposition, revealing asymmetric responses across firm characteristics and event categories.

Study reveals market capitalization as a key psychological reference point for investor regret, with stronger predictive power for stock returns than traditional return-based regret measures in.

Empirical study constructing optimal portfolios using Sharpe's Single Index Model on NIFTY 50 stocks, analyzing risk-return characteristics and optimal investment allocations.

Score-driven time-varying parameter model using spline-based densities without parametric assumptions, with applications to inflation and volatility filtering.

Examine how asset market shocks transmit across borders differently in liquidity traps versus normal times, using a heterogeneous-agent framework with financial frictions.

Critical analysis of SEBI's 2015 insider trading regulation across its first decade, examining enforcement challenges, judicial precedents, and capacity constraints.

Realized range-based multipower variation theory for jump-robust volatility estimation in sparse high-frequency asset price data with microstructure noise considerations.