Access Statistics for Riza Demirer

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Note on Oil Price Shocks and the Forecastability of Gold Realized Volatility 0 0 16 16 1 4 47 47
A Note on Uncertainty due to Infectious Diseases and Output Growth of the United States: A Mixed-Frequency Forecasting Experiment 0 3 13 13 0 8 29 29
A Note on the Technology Herd: Evidence from Large Institutional Investors 0 0 0 6 0 3 12 53
COVID-19 Pandemic and Investor Herding in International Stock Markets 6 16 16 16 17 36 36 36
Commodity Financialization and Herd Behavior in Commodity Futures Markets 0 0 2 7 0 2 19 35
Country Risk Ratings and Stock Market Returns in BRICS Countries: A Nonlinear Dynamic Approach 0 0 0 0 1 1 20 109
Credit Ratings and Predictability of Stock Returns and Volatility of the BRICS and the PIIGS: Evidence from a Nonparametric Causality-in-Quantiles Approach 0 0 0 46 1 4 19 124
Cross-Border Capital Flows and Return Dynamics in Emerging Stock Markets: Relative Roles of Equity and Debt Flows 0 0 0 4 1 6 29 52
Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach 0 0 0 20 0 1 11 73
Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets 0 0 0 55 2 4 15 95
Do Global Shocks Drive Investor Herds in Oil-Rich Frontier Markets? 0 0 2 3 1 2 10 24
Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations 0 0 0 15 0 4 10 80
Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from Stocks, Bonds and Commodities 0 0 0 9 1 7 37 136
Does speculation in the oil market drive investor herding in net exporting nations? 0 0 1 32 1 6 19 121
Economic Policy Uncertainty and Herding Behavior: Evidence from the South African Housing Market 0 0 0 0 1 7 40 104
Effect of Rare Disaster Risks on Crude Oil: Evidence from El Nino from Over 140 Years of Data 6 8 8 8 4 7 7 7
Effectiveness of Monetary Policy in the Euro Area: The Role of US Economic Policy Uncertainty 0 0 0 91 0 3 23 177
Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests 0 0 0 30 2 5 19 70
Firm-Level Political Risk and Asymmetric Volatility 0 0 0 10 2 3 8 38
Forecasting Realized Stock-Market Volatility: Do Industry Returns have Predictive Value? 0 0 0 0 2 2 2 2
Forecasting Stock Market (Realized) Volatility in the United Kingdom: Is There a Role for Economic Inequality? 0 0 0 26 0 1 14 48
Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note 0 0 1 9 1 1 5 59
Geopolitical Risks and Stock Market Dynamics of the BRICS 0 0 4 31 0 4 24 218
Geopolitical Risks and the Predictability of Regional Oil Returns and Volatility 0 0 0 15 1 3 15 80
Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach 0 0 0 27 0 2 9 71
Gold, Platinum and the Predictability of Bond Risk Premia 0 0 0 35 2 8 31 57
Interest Rate Uncertainty and the Predictability of Bank Revenues 0 0 4 4 4 6 17 17
Investor Sentiment and (Anti-)Herding in the Currency Market: Evidence from Twitter Feed Data 0 3 12 12 5 15 32 32
Investor Sentiment and Crash Risk in Safe Havens 0 0 0 21 2 3 17 110
Monetary Policy and Speculative Spillovers in Financial Markets 0 0 15 15 4 6 25 25
Oil Price Risk Exposure and the Cross-section of Stock Returns: The Case of Net Exporting Countries 0 0 0 2 0 0 3 19
Oil Returns and Volatility: The Role of Mergers and Acquisitions 0 0 0 4 1 2 8 72
Oil Speculation and Herding Behavior in Emerging Stock Markets 0 0 3 57 0 0 7 99
Oil-Shocks and Directional Predictability of Macroeconomic Uncertainties of Developed Economies: Evidence from High-Frequency Data 0 0 23 23 1 3 36 36
On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators 0 0 0 40 2 6 28 253
Predicting Firm-Level Volatility in the United States: The Role of Monetary Policy Uncertainty 0 0 0 0 2 6 39 39
Presidential Cycles and Time-Varying Bond-Stock Correlations: Evidence from More than Two Centuries of Data 0 0 0 9 0 2 7 50
Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets 0 2 6 41 1 13 48 116
Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests 0 0 6 26 2 8 34 41
Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk 0 0 3 31 2 4 50 190
Sentiment and Financial Market Connectedness: The Role of Investor Happiness 1 3 20 20 3 11 58 58
The Effect of Global Crises on Stock Market Correlations: Evidence from Scalar Regressions via Functional Data Analysis 0 0 0 73 4 5 37 128
The Effect of Gold Market Speculation on REIT Returns in South Africa: A Behavioral Perspective 0 0 0 5 0 2 7 128
The Effect of Investor Sentiment on Gold Market Dynamics 0 0 0 31 1 4 5 142
The Predictability of Stock Market Volatility in Emerging Economies: Relative Roles of Local, Regional and Global Business Cycles 0 0 0 20 1 6 29 67
The Predictive Power of Industrial Electricity Usage Revisited: Evidence from Nonparametric Causality Tests 0 0 0 17 0 0 5 57
The Predictive Power of Oil Price Shocks on Realized Volatility of Oil: A Note 0 0 0 0 0 3 22 22
The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach 0 0 0 8 1 4 15 37
The U.S. Term Structure and Return Volatility in Global REIT Markets 0 0 0 0 0 3 6 6
The U.S. term structure and stock market volatility: Evidence from emerging stock markets 0 1 3 15 0 1 11 21
This paper provides a long-term perspective to the causal linkages between currency dynamics and macroeconomic conditions by utilising a long span data set for the United Kingdom that extends back to 1856 and a time-varying causality testing methodology that accounts for the nonlinearity and structural breaks. Using unemployment fluctuations as a proxy for macroeconomic conditions and wavelet decompositions to obtain the fundamental factor that drives excess returns for the British pound, time varying causality tests based on alternative model specifications yield significant evidence of causal linkages and information spillovers across the labour and currency markets over the majority of the sample. Causal effects seem to strengthen during the Great Depression and later following the collapse of the Bretton Woods system, highlighting the role of economic crises in the predictive linkages between the two markets. While the predictive role of currency market dynamics over unemployment fluctuations reflects the effect of exchange rate volatility on corporate investment decisions, which in turn, drives subsequent labour market dynamics (e.g. Belke & Gross (2001); Belke & Kaas (2004); Feldman (2011); among others), we argue that causality in the direction of exchange rates from unemployment possibly reflects the signals regarding monetary policy actions, which in turn, spills over to financial markets. Overall, the findings indicate significant information spillovers across the labour and currency markets in both directions with significant policy making implications 1 14 14 14 5 29 29 29
Time-Varying Rare Disaster Risks, Oil Returns and Volatility 0 0 0 33 2 3 9 81
Time-Varying Risk Aversion and Realized Gold Volatility 0 0 0 27 0 3 25 68
Time-Varying Risk Aversion and the Predictability of Bond Premia 0 0 0 28 1 1 12 43
Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram 0 0 0 11 0 3 23 28
Unemployment Fluctuations and Currency Returns in the United Kingdom: Evidence from Over One and a Half Century of Data 0 9 15 15 2 16 20 20
Total Working Papers 14 59 187 1,126 87 302 1,174 3,979


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A note on the technology herd: evidence from large institutional investors 0 0 0 0 1 1 2 4
An Investigation of the Day-of-the-Week Effect on Stock Returns in Turkey 0 0 1 23 0 2 7 77
Can advanced markets help diversify risks in frontier stock markets? Evidence from Gulf Arab stock markets 0 0 0 9 0 0 2 62
Commodity-currencies or currency-commodities: Evidence from causality tests 0 1 3 7 2 7 25 36
Comparisons of short and long hedge performance: the case of Taiwan 0 0 0 52 0 0 1 140
Correlation and return dispersion dynamics in Chinese markets 0 0 0 51 0 1 2 124
Country Risk Ratings and Stock Market Returns in Brazil, Russia, India, and China (BRICS) Countries: A Nonlinear Dynamic Approach 0 0 0 17 1 5 19 77
Cross-border capital flows and return dynamics in emerging stock markets: Relative roles of equity and debt flows 0 2 2 2 6 11 11 11
Differences of opinion and stock market volatility: evidence from a nonparametric causality-in-quantiles approach 0 0 2 4 0 1 7 32
Do ADR investors herd?: Evidence from advanced and emerging markets 0 2 2 11 0 2 12 90
Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations 0 1 5 17 0 6 30 76
Do firm characteristics matter in explaining the herding effect on returns? 0 0 0 0 0 0 1 1
Do investors herd in emerging stock markets?: Evidence from the Taiwanese market 0 1 9 76 4 5 34 280
Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from Stocks, Bonds and Commodities 0 0 0 0 1 2 5 14
Does herding behavior exist in Chinese stock markets? 1 2 5 249 3 6 18 650
Does speculation in the oil market drive investor herding in emerging stock markets? 0 0 1 7 3 9 27 71
Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies 1 2 16 16 8 19 54 54
Does the stock market drive herd behavior in commodity futures markets? 0 0 5 22 0 1 20 108
Downside risk for short and long hedgers 0 0 0 47 1 2 4 154
Economic Policy Uncertainty and Herding Behavior Evidence from the South African Housing Market 1 1 11 18 5 16 69 91
Economic Policy Uncertainty and Herding Behavior Evidence from the South African Housing Market 0 1 1 1 1 3 4 4
Effect of Global Shocks and Volatility on Herd Behavior in an Emerging Market: Evidence from Borsa Istanbul 0 0 0 0 0 0 3 11
Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests 0 1 2 5 0 2 13 29
Firm-level political risk and asymmetric volatility 0 0 2 3 1 3 13 18
Firm-level return dispersion and correlation asymmetry: challenges for portfolio diversification 0 0 0 77 0 0 0 334
Flight to quality and the predictability of reversals: The role of market states and global factors 0 0 1 1 1 4 8 24
Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note 1 1 1 3 1 1 9 16
Geopolitical risks and stock market dynamics of the BRICS 1 3 27 47 7 22 123 215
Global risk aversion and emerging market return comovements 0 1 3 13 1 13 45 81
Global risk exposures and industry diversification with Shariah-compliant equity sectors 0 0 1 11 0 0 4 61
Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach 0 0 1 3 0 1 7 26
Herding and flash events: Evidence from the 2010 Flash Crash 1 2 4 4 1 3 11 11
Industry Herding and the Profitability of Momentum Strategies During Market Crises 1 1 1 1 2 2 2 2
Industry herding and momentum strategies 0 0 4 39 1 3 16 147
Infectious Diseases, Market Uncertainty and Oil Market Volatility 0 2 4 4 1 5 12 12
Investor Sentiment and Crash Risk in Safe Havens 0 0 2 4 1 3 22 30
Investor herds and oil prices evidence in the Gulf Cooperation Council (GCC) equity markets 1 2 2 4 1 2 11 38
Investor herds and regime-switching: Evidence from Gulf Arab stock markets 0 0 9 53 3 4 30 191
Is there a role for Islamic bonds in global diversification strategies? 0 1 6 7 3 6 20 36
Oil and stock market momentum 1 1 3 6 2 5 24 62
Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries 0 0 0 9 1 2 11 72
Oil price shocks, global financial markets and their connectedness 0 3 9 9 1 17 29 29
Oil price uncertainty, global industry returns and active investment strategies 0 0 0 0 1 2 2 2
Oil returns and volatility: The role of mergers and acquisitions 0 0 1 8 0 0 13 56
Oil speculation and herding behavior in emerging stock markets 0 0 1 2 0 2 20 45
On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators 0 0 3 3 2 3 20 47
On the short-term predictability of stock returns: A quantile boosting approach 0 1 1 4 0 4 11 37
On the volatility transmission between oil and stock markets: a comparison of emerging importers and exporters 0 0 1 27 3 9 40 110
Predicting firm-level volatility in the United States: the role of monetary policy uncertainty 0 0 0 0 0 0 0 0
Presidential cycles and time-varying bond–stock market correlations: Evidence from more than two centuries of data 0 0 0 2 0 0 7 33
Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets 0 0 3 3 0 4 20 20
Regional and global spillovers and diversification opportunities in the GCC equity sectors 0 0 1 12 1 1 5 66
Risk and return in the Chinese stock market: Does equity return dispersion proxy risk? 0 0 1 14 0 0 8 76
Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk 0 0 0 16 1 3 13 81
Sequential valuation networks for asymmetric decision problems 0 0 0 6 0 0 1 57
The Effect of Global Shocks and Volatility on Herd Behavior in Borsa Istanbul 0 0 0 27 0 3 13 102
The U.S. term structure and return volatility in emerging stock markets 0 0 0 0 1 3 3 3
The US Term Structure and Return Volatility in Global REIT Markets 0 0 2 2 1 4 9 9
The US Term Structure and Return Volatility in Global REIT Markets 0 0 6 6 0 2 11 11
The behavior of crude oil spot and futures prices around OPEC and SPR announcements: An event study perspective 1 4 16 116 2 13 51 406
The conditional relation between dispersion and return 0 0 0 15 1 1 5 73
The conditional relation between dispersion and return 0 0 0 0 1 1 2 2
The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging 1 2 14 14 2 8 34 34
The effect of ethanol listing on corn prices: Evidence from spot and futures markets 0 0 0 9 1 1 3 67
The effect of global and regional stock market shocks on safe haven assets 0 1 1 1 0 3 4 4
The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis 0 0 1 3 5 8 25 37
The effect of gold market speculation on REIT returns in South Africa: a behavioral perspective 0 0 0 2 0 3 10 33
The effect of investor sentiment on gold market return dynamics: Evidence from a nonparametric causality-in-quantiles approach 1 2 7 33 3 6 19 103
The impact of US policy uncertainty on the monetary effectiveness in the Euro area 0 0 1 14 0 3 14 75
The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles 1 2 5 5 1 4 8 8
The profitability of herding: evidence from Taiwan 0 1 1 1 0 1 3 3
Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram 0 0 1 1 0 4 23 23
Time-varying rare disaster risks, oil returns and volatility 0 0 5 8 3 4 22 50
Time-varying risk aversion and realized gold volatility 0 2 5 5 2 7 20 20
Time-varying risk aversion and the predictability of bond premia 0 0 1 1 1 2 5 5
Volatility forecasting with bivariate multifractal models 0 2 4 4 0 4 11 11
What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors 0 0 0 18 0 1 9 87
Total Journal Articles 13 48 227 1,314 96 311 1,231 5,397


Statistics updated 2021-01-03