While the relationship between oil prices and stock markets is of great interest to economists,
previous studies do not differentiate oil-exporting countries from oil-importing countries …

This paper investigates the different effects of political connections on the firm performance
of state-owned enterprises (SOEs) and privately owned enterprises. Using data on Chinese …

In this paper, we forecast energy market volatility using both univariate and multivariate
GARCH-class models. First, we forecast volatilities of individual assets and find that multivariate …

This paper investigates out-of-sample performance of the naïve hedging strategy relative to
that of the minimum variance hedging strategy, in which the covariance parameters are …

We show that increases in oil prices, rather than changes in oil prices, can predict stock returns.
The revealed stock return predictability is both statistically and economically significant. …

In this study, we forecast the realized volatility of the S&P 500 index using the heterogeneous
autoregressive model for realized volatility (HAR-RV) and its various extensions. Our …

Research has found that political connectedness can have both positive and negative effects
on firm value. To resolve these mixed findings, we investigate the impact of political ties …

We introduce a regime switching GARCH-MIDAS model to investigate the relationships
between oil price volatility and its macroeconomic fundamentals. Our model takes into account …

This paper investigates the effect of financial deepening on the relationship between trade
credit and cash holdings among Chinese listed firms. We first document an asymmetric effect …

In this paper, we investigate the efficiency and multifractality of a gold market based on
multifractal detrended fluctuation analysis. Our evidence shows that the gold return series are …