Information Spillover, Volatility and the Currency Markets for the Binary Choice Model [PDF]
We use an impulse response methodology to analyse the effects of U.S. macroeconomic news announcements on the volatilities of three major exchange rates (Euro, Pound Sterling and Yen). Our data consist of 5 minute returns on exchange rates as well as the
Walid Ben Omrane, Christian M. Hafner
core
Board Ethnic Diversity and the Value Relevance of Antibribery and Corruption Disclosure
Business Strategy and the Environment, EarlyView.ABSTRACT Antibribery and corruption disclosure (ABCD) has traditionally been conceptualised as a compliance‐oriented reporting practice. However, whether and under what conditions such disclosure contributes to strategic value creation remains insufficiently understood.
Ali Meftah Gerged +1 more
wiley +1 more source
Asymmetric International Transmission in the Conditional Mean and Volatility to the Japanese Market from the U.S.:EGARCH vs. SV Models [PDF]
This paper investigates whether the upturns and downturns of the U.S. market exert asymmetric influence on the conditional mean and volatility of the Japanese market using the daily returns on stock price indices.
Tatsuyoshi Miyakoshi +2 more
core
Global and regional range-based volatility spillover effects
, 2017 This study extends the univariate Weibull conditional autoregressive range (CARR) model to establish a bivariate Weibull CARR (BWCARR) model to investigate the range-based volatility spillover effect.
Lee, Yen-Hsien
core +1 more source
Heterogeneity in the volatility spillover of cryptocurrencies and exchanges
Financial InnovationThis study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies. Using the high-frequency trading data of exchanges, the heterogeneity of exchanges in terms of volatility spillover can be examined ...
Meiyu Wu, Li Wang, Haijun Yang
doaj +1 more source
The Time-Varying Connectedness Between China's Crude Oil Futures and International Oil Markets: A Return and Volatility Spillover Analysis. [PDF]
Lett Spat Resour Sci, 2022 Fu J, Qiao H.
europepmc +1 more source
Business Strategy and the Environment, EarlyView.ABSTRACT In an era of rising geopolitical tensions and environmental instability, corporate political activities have become increasingly intertwined with ethical challenges and sustainability requirements. This study investigates the influence of environmental dynamics and corporate ethical responsibility on interorganizational conflict and ...
David Yulong Liu +4 more
wiley +1 more source
Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis. [PDF]
Financ Innov, 2022 Özdemir O.
europepmc +1 more source
Decarbonization in Financial Turbulent Times: Global Value Chains and Regulatory Framework
Business Strategy and the Environment, EarlyView.ABSTRACT This study examines how participation in global value chains (GVCs) influences carbon emissions amid financial turbulence, with attention to cross‐country heterogeneity and distributional dynamics. Although existing research has explored trade–environment linkages, limited attention has been given to how GVC integration interacts with ...
Xiaoyong Xu +4 more
wiley +1 more source