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Kannan Thuraisamy

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan, 2015. "Can governance quality predict stock market returns? New global evidence," Working Papers fe_2015_04, Deakin University, Department of Economics.

    Cited by:

    1. Yang, Lu & Cai, Xiao Jing & Li, Mengling & Hamori, Shigeyuki, 2015. "Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas," Economic Modelling, Elsevier, vol. 51(C), pages 308-314.
    2. Diallo, Boubacar, 2017. "Corporate governance, bank concentration and economic growth," Emerging Markets Review, Elsevier, vol. 32(C), pages 28-37.
    3. Narayan, Paresh Kumar & Liu, Ruipeng & Westerlund, Joakim, 2016. "A GARCH model for testing market efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 121-138.
    4. Dinh Hoang Bach Phan & Thi Thao Nguyen Nguyen & Dat Thanh Nguyen, 2019. "A Study Of Indonesia’S Stock Market: How Predictable Is It?," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 21(12th BMEB), pages 465-476, January.
    5. Westerlund, Joakim & Narayan, Paresh Kumar & Zheng, Xinwei, 2015. "Testing for stock return predictability in a large Chinese panel," Emerging Markets Review, Elsevier, vol. 24(C), pages 81-100.
    6. Long, Huaigang & Chiah, Mardy & Zaremba, Adam & Umar, Zaghum, 2024. "Changes in shares outstanding and country stock returns around the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
    7. Narayan, Paresh Kumar, 2019. "Can stale oil price news predict stock returns?," Energy Economics, Elsevier, vol. 83(C), pages 430-444.
    8. Han, Liyan & Lv, Qiuna & Yin, Libo, 2017. "Can investor attention predict oil prices?," Energy Economics, Elsevier, vol. 66(C), pages 547-558.
    9. Sharma, Susan Sunila & Phan, Dinh Hoang Bach & Iyke, Bernard, 2019. "Do oil prices predict Indonesian macroeconomy?," Economic Modelling, Elsevier, vol. 82(C), pages 2-12.
    10. Zeqiraj, Veton & Sohag, Kazi & Hammoudeh, Shawkat, 2022. "Financial inclusion in developing countries: Do quality institutions matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    11. Chiu, Yi-Bin & Lee, Chien-Chiang, 2020. "Effects of financial development on energy consumption: The role of country risks," Energy Economics, Elsevier, vol. 90(C).
    12. Sharma, Susan Sunila, 2016. "Can consumer price index predict gold price returns?," Economic Modelling, Elsevier, vol. 55(C), pages 269-278.
    13. Long, Huaigang & Zaremba, Adam & Zhou, Wenyu & Bouri, Elie, 2022. "Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns," Journal of Financial Markets, Elsevier, vol. 61(C).
    14. Gannon, Gerard L. & Thuraisamy, Kannan S., 2017. "Sovereign risk and the impact of crisis: Evidence from Latin AmericaAuthor-Name: Batten, Jonathan A," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 328-350.
    15. Slesman, Ly & Baharumshah, Ahmad Zubaidi & Ra'ees, Wahabuddin, 2015. "Institutional infrastructure and economic growth in member countries of the Organization of Islamic Cooperation (OIC)," Economic Modelling, Elsevier, vol. 51(C), pages 214-226.
    16. Dang, Dong Quang & Wu, Weiou & Korkos, Ioannis, 2024. "Stock market and inequality distributions – Evidence from the BRICS and G7 countries," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1172-1190.
    17. Chen-Yin Kuo, 2018. "Are the forecast errors of stock prices related to the degree of accounting conservatism?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(6), pages 1-9.
    18. Canh P. Nguyen & Christophe Schinckus & Thanh D. Su & Felicia H. L. Chong, 2022. "Determinants of stock market returns in emerging markets: The linkage between institutional quality and macro liquidity," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4472-4486, October.
    19. Laopodis, Nikiforos T., 2016. "Industry returns, market returns and economic fundamentals: Evidence for the United States," Economic Modelling, Elsevier, vol. 53(C), pages 89-106.
    20. Danilo Trupkin & Raul Ibarra, 2011. "The Relationship between Inflation and Growth:A Panel Smooth Transition Regression Approach for Developed and Developing Countries," Documentos de Trabajo/Working Papers 1107, Facultad de Ciencias Empresariales y Economia. Universidad de Montevideo..
    21. Halit Gonenc & Silviu Ursu, 2018. "The Asset Growth Effect and Investor Protection in Emerging Markets: The Role of the Global Financial Crisis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(3), pages 491-507, February.
    22. Dimitrios Vortelinos & Konstantinos Gkillas (Gillas) & Costas Syriopoulos & Argyro Svingou, 2017. "Asymmetric and nonlinear inter-relations of US stock indices," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 14(1), pages 78-129, December.
    23. Balachandran, Balasingham & Faff, Robert, 2015. "Corporate governance, firm value and risk: Past, present, and future," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 1-12.
    24. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Tran, Vuong Thao, 2018. "Can economic policy uncertainty predict stock returns? Global evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 134-150.
    25. Marshall, Ben R. & Nguyen, Hung T. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2021. "Country governance and international equity returns," Journal of Banking & Finance, Elsevier, vol. 122(C).
    26. Nedumparambil, Elizabeth & Bhandari, Anup Kumar, 2020. "Credit risk – Return puzzle: Evidence from India," Economic Modelling, Elsevier, vol. 92(C), pages 195-206.
    27. Changqing, Luo & Chi, Xie & Cong, Yu & Yan, Xu, 2015. "Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets," Economic Modelling, Elsevier, vol. 51(C), pages 657-671.
    28. Solikin M. Juhro & Dinh Hoang Bach Phan, 2018. "Can Economic Policy Uncertainty Predict Exchange Rate And Its Volatility? Evidence From Asean Countries," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 21(2), pages 251-268, October.
    29. Narayan, Paresh Kumar & Bannigidadmath, Deepa, 2017. "Does Financial News Predict Stock Returns? New Evidence from Islamic and Non-Islamic Stocks," Pacific-Basin Finance Journal, Elsevier, vol. 42(C), pages 24-45.

  2. Narayan, Paresh Kumar & Mishra, Sagarika & Thuraisamy, Kannan, 2015. "Is exchange rate trading profitable?," Working Papers fe_2015_09, Deakin University, Department of Economics.

    Cited by:

    1. Imane El Ouadghiri & Remzi Uctum, 2016. "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Post-Print hal-01386027, HAL.
    2. Tsuji, Chikashi, 2020. "Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management," International Review of Financial Analysis, Elsevier, vol. 70(C).
    3. Hudson, Robert & McGroarty, Frank & Urquhart, Andrew, 2017. "Sampling frequency and the performance of different types of technical trading rules," Finance Research Letters, Elsevier, vol. 22(C), pages 136-139.
    4. Khademalomoom, Siroos & Narayan, Paresh Kumar, 2020. "Intraday-of-the-week effects: What do the exchange rate data tell us?," Emerging Markets Review, Elsevier, vol. 43(C).
    5. Xiaoye Jin, 2022. "Evaluating the predictive power of intraday technical trading in China's crude oil market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1416-1432, November.
    6. Jin, Xiaoye, 2022. "Performance of intraday technical trading in China’s gold market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    7. Wang, Lu & Ma, Feng & Niu, Tianjiao & He, Chengting, 2020. "Crude oil and BRICS stock markets under extreme shocks: New evidence," Economic Modelling, Elsevier, vol. 86(C), pages 54-68.
    8. Urquhart, Andrew & Zhang, Hanxiong, 2019. "The performance of technical trading rules in Socially Responsible Investments," International Review of Economics & Finance, Elsevier, vol. 63(C), pages 397-411.
    9. Batten, Jonathan A. & Lucey, Brian M. & McGroarty, Frank & Peat, Maurice & Urquhart, Andrew, 2018. "Does intraday technical trading have predictive power in precious metal markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 102-113.
    10. Kilic, Erdem, 2017. "Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets," Economic Modelling, Elsevier, vol. 62(C), pages 51-67.
    11. Dockery, Everton & Todorov, Ivan, 2023. "Further evidence on the returns to technical trading rules: Insights from fourteen currencies," Journal of Multinational Financial Management, Elsevier, vol. 69(C).

  3. Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan, 2014. "An analysis of price discovery from panel data models of CDS and equity returns," Working Papers fe_2014_08, Deakin University, Department of Economics.

    Cited by:

    1. Paresh K. Narayan & Rangan Gupta, 2014. "Has Oil Pirce Predicted Stock Returns for Over a Century?," Working Papers 201446, University of Pretoria, Department of Economics.
    2. Narayan, Paresh Kumar, 2015. "An analysis of sectoral equity and CDS spreads," Working Papers fe_2015_02, Deakin University, Department of Economics.
    3. Balcilar, Mehmet & Hammoudeh, Shawkat & Toparli, Elif Akay, 2018. "On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach," Energy Economics, Elsevier, vol. 74(C), pages 813-827.
    4. Kumar, Dilip, 2015. "Sudden changes in extreme value volatility estimator: Modeling and forecasting with economic significance analysis," Economic Modelling, Elsevier, vol. 49(C), pages 354-371.
    5. Sharma, Susan Sunila & Narayan, Paresh Kumar & Thuraisamy, Kannan & Laila, Nisful, 2019. "Is Indonesia's stock market different when it comes to predictability?," Emerging Markets Review, Elsevier, vol. 40(C), pages 1-1.
    6. Ozturk, Huseyin & Namli, Ersin & Erdal, Halil Ibrahim, 2016. "Modelling sovereign credit ratings: The accuracy of models in a heterogeneous sample," Economic Modelling, Elsevier, vol. 54(C), pages 469-478.
    7. Sakaki, Hamid, 2019. "Oil price shocks and the equity market: Evidence for the S&P 500 sectoral indices," Research in International Business and Finance, Elsevier, vol. 49(C), pages 137-155.
    8. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Kumar, Ronald Ravinesh & Mensi, Walid, 2017. "Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 310-324.
    9. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2018. "An analysis of time-varying commodity market price discovery," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 122-133.
    10. Rizvi, Syed Aun R. & Arshad, Shaista, 2018. "Understanding time-varying systematic risks in Islamic and conventional sectoral indices," Economic Modelling, Elsevier, vol. 70(C), pages 561-570.
    11. Siroos Khademalomoom & Paresh Kumar Narayan & Susan Sunila Sharma, 2019. "Higher Moments and Exchange Rate Behavior," The Financial Review, Eastern Finance Association, vol. 54(1), pages 201-229, February.
    12. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Ferrer, Roman & Hammoudeh, Shawkat, 2017. "Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach," Economic Modelling, Elsevier, vol. 60(C), pages 211-230.
    13. Narayan, Paresh Kumar & Bannigidadmath, Deepa, 2021. "Financial news and CDS spreads," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    14. Imad Moosa & Kelly Burns, 2016. "The random walk as a forecasting benchmark: drift or no drift?," Applied Economics, Taylor & Francis Journals, vol. 48(43), pages 4131-4142, September.
    15. Griffin, Paul A. & Lont, David H., 2018. "Game changer? The impact of the VW emission-cheating scandal on the interrelation between large automakers’ equity and credit markets," Journal of Contemporary Accounting and Economics, Elsevier, vol. 14(2), pages 179-196.
    16. Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan Sivananthan & Westerlund, Joakim, 2018. "Some preliminary evidence of price discovery in Islamic banks," Pacific-Basin Finance Journal, Elsevier, vol. 52(C), pages 107-122.
    17. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2016. "Stock return predictability and determinants of predictability and profits," Emerging Markets Review, Elsevier, vol. 26(C), pages 153-173.
    18. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Hammoudeh, Shawkat & Shahbaz, Muhammad, 2016. "Directional and bidirectional causality between U.S. industry credit and stock markets and their determinants," MPRA Paper 74705, University Library of Munich, Germany, revised 20 Oct 2016.
    19. Pham, Huy Nguyen Anh & Ramiah, Vikash & Moosa, Nisreen & Huynh, Tam & Pham, Nhi, 2018. "The financial effects of Trumpism," Economic Modelling, Elsevier, vol. 74(C), pages 264-274.
    20. Asandului, Mircea & Lupu, Dan & Mursa, Gabriel Claudiu & Muşetescu, Radu, 2015. "Dynamic relations between CDS and stock markets in Eastern European countries," MPRA Paper 95506, University Library of Munich, Germany.
    21. Gheorghe HURDUZEU & Radu Cristian MUSETESCU & Georgeta Madalina MEGHISAN, 2015. "Financial Market Reaction To Changes In The Volatilities Of Cds Returns," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 152-165, September.
    22. Alena Audzeyeva & Xu Wang, 2023. "Fundamentals, real-time uncertainty and CDS index spreads," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 1-33, July.
    23. Gehde-Trapp, Monika & Gündüz, Yalin & Nasev, Julia, 2015. "The liquidity premium in CDS transaction prices: Do frictions matter?," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 184-205.
    24. Kryzanowski, Lawrence & Perrakis, Stylianos & Zhong, Rui, 2017. "Price discovery in equity and CDS markets," Journal of Financial Markets, Elsevier, vol. 35(C), pages 21-46.
    25. Shahzad, Syed Jawad Hussain & Mensi, Walid & Hammoudeh, Shawkat & Balcilar, Mehmet & Shahbaz, Muhammad, 2018. "Distribution specific dependence and causality between industry-level U.S. credit and stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 114-133.
    26. Procasky, William J. & Yin, Anwen, 2023. "The impact of COVID-19 on the relative market efficiency and forecasting ability of credit derivative and equity markets," International Review of Financial Analysis, Elsevier, vol. 90(C).
    27. Sharma, Susan Sunila & Thuraisamy, Kannan & Madyan, Muhammad & Laila, Nisful, 2019. "Evidence of price discovery on the Indonesian stock exchange," Economic Modelling, Elsevier, vol. 83(C), pages 2-7.
    28. Laura Ballester & Ana González-Urteaga, 2020. "Is There a Connection between Sovereign CDS Spreads and the Stock Market? Evidence for European and US Returns and Volatilities," Mathematics, MDPI, vol. 8(10), pages 1-34, September.
    29. Narayan, Seema & Smyth, Russell, 2015. "The financial econometrics of price discovery and predictability," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 380-393.
    30. Ilyes Abid & Abderrazak Dhaoui & Stéphane Goutte & Khaled Guesmi, 2019. "Contagion and bond pricing: The case of the ASEAN region," Post-Print halshs-02148928, HAL.
    31. Procasky, William J., 2021. "Price discovery in CDS and equity markets: Default risk-based heterogeneity in the systematic investment grade and high yield sectors," Journal of Financial Markets, Elsevier, vol. 54(C).
    32. Brasel, Kelsey R. & Hill, Mary S. & Taylor, Gary K., 2022. "The relevance of GAAP vs. non-GAAP net assets to creditors: An examination of the credit default swap market," Advances in accounting, Elsevier, vol. 56(C).
    33. Hayette Gatfaoui, 2017. "Equity market information and credit risk signaling: A quantile cointegrating regression approach," Post-Print hal-01745285, HAL.
    34. Syed Jawad Hussain Shahzad & Safwan Mohd Nor & Nur Azura Sanusi & Ronald Ravinesh Kumar, 2018. "The Determinants of Credit Risk: Analysis of US Industry-level Indices," Global Business Review, International Management Institute, vol. 19(5), pages 1152-1165, October.
    35. Christian Manicaro, 2023. "Sectoral and Regional Volatility Connectedness: The Case of CDS Spreads and Equities," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 15(4), pages 1-8, April.
    36. Ahmad, Wasim & Sharma, Sumit Kumar, 2018. "Testing output gap and economic uncertainty as an explicator of stock market returns," Research in International Business and Finance, Elsevier, vol. 45(C), pages 293-306.
    37. Shi, Yukun & Stasinakis, Charalampos & Xu, Yaofei & Yan, Cheng, 2022. "Market co-movement between credit default swap curves and option volatility surfaces," International Review of Financial Analysis, Elsevier, vol. 82(C).
    38. Paulo Pereira da Silva, 2016. "Did Investors Seeking Short Exposure Move to the CDS Market after the 2011 Short-Sale Bans in European Financial Stocks?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 322-353, August.
    39. Ni, Zhong-Xin & Wang, Da-Zhong & Xue, Wen-Jun, 2015. "Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model," Economic Modelling, Elsevier, vol. 50(C), pages 266-274.
    40. Narayan, Paresh Kumar & Westerlund, Joakim, 2015. "Does cash flow predict returns?," Working Papers fe_2015_03, Deakin University, Department of Economics.
    41. Kannan S. Thuraisamy, 2019. "The Credit Risk Dynamics Of International Bonds: The Indonesian Case," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 21(12th BMEB), pages 531-550, January.
    42. Madhusudan Karmakar & Sarveshwar Inani, 2019. "Information share and its predictability in the Indian stock market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1322-1343, October.
    43. Tian Yuan & Rakesh Gupta & Robert J. Bianchi, 2015. "The Pre-Holiday Effect in China: Abnormal Returns or Compensation for Risk?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-28.
    44. Rahmi Erdem Aktug, 2015. "Empirical dynamics of emerging financial markets during the global mortgage crisis," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 15(1), pages 17-36, March.
    45. Chau, Frankie & Han, Chulwoo & Shi, Shimeng, 2018. "Dynamics and determinants of credit risk discovery: Evidence from CDS and stock markets," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 156-169.
    46. Theodoros Bratis & Nikiforos T. Laopodis & Georgios P. Kouretas, 2023. "CDS and equity markets’ volatility linkages: lessons from the EMU crisis," Review of Quantitative Finance and Accounting, Springer, vol. 60(3), pages 1259-1281, April.
    47. Arif P. Sulistiono & Miki Ishida, 2019. "Finding The Driver: A Case Study Of Indonesian Government Bond Market," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(03), pages 543-574, June.
    48. Nasiri, Maryam Akbari & Narayan, Paresh Kumar & Mishra, Sagarika, 2019. "Reaction of the credit default swap market to the release of periodic financial reports," International Review of Financial Analysis, Elsevier, vol. 65(C).
    49. Sinan Esen & Feyyaz Zeren & Halil Şimdi, 2015. "CDS and Stock Market: Panel Evidence Under Cross-Section Dependency," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 13(1), pages 31-46.
    50. Mary S. Hill & Gary K. Taylor, 2023. "Default risk and earnings expectations: The role of contract maturity in the credit default swap market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(4), pages 4275-4298, December.
    51. Westerlund, Joakim & Thuraisamy, Kannan, 2016. "Panel multi-predictor test procedures with an application to emerging market sovereign risk," Emerging Markets Review, Elsevier, vol. 28(C), pages 44-60.
    52. Narayan, Paresh Kumar & Narayan, Seema & Westerlund, Joakim, 2015. "Do order imbalances predict Chinese stock returns? New evidence from intraday data," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 136-151.
    53. Sarveshwar Kumar Inani, 2017. "Price discovery in Indian stock index futures market: new evidence based on intraday data," International Journal of Indian Culture and Business Management, Inderscience Enterprises Ltd, vol. 14(1), pages 23-43.
    54. Changqing, Luo & Chi, Xie & Cong, Yu & Yan, Xu, 2015. "Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets," Economic Modelling, Elsevier, vol. 51(C), pages 657-671.
    55. Boubaker, Heni & Sghaier, Nadia, 2015. "Semiparametric generalized long-memory modeling of some mena stock market returns: A wavelet approach," Economic Modelling, Elsevier, vol. 50(C), pages 254-265.
    56. Burns, Kelly & Moosa, Imad A., 2015. "Enhancing the forecasting power of exchange rate models by introducing nonlinearity: Does it work?," Economic Modelling, Elsevier, vol. 50(C), pages 27-39.
    57. Zimmermann, Paul, 2021. "The role of the leverage effect in the price discovery process of credit markets," Journal of Economic Dynamics and Control, Elsevier, vol. 122(C).
    58. Samaniego-Medina, Reyes & Trujillo-Ponce, Antonio & Parrado-Martínez, Purificación & di Pietro, Filippo, 2016. "Determinants of bank CDS spreads in Europe," Journal of Economics and Business, Elsevier, vol. 86(C), pages 1-15.
    59. Paresh Kumar Narayan, 2019. "Understanding Indonesia’S City-Level Consumer Price Formation: Implications For Price Stability," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 22(4), pages 405-422, December.
    60. Veronika Kajurova & Jana Hvozdenska, 2016. "Linkages between CDS, bond and stock markets: Evidence from Europe," MENDELU Working Papers in Business and Economics 2016-63, Mendel University in Brno, Faculty of Business and Economics.
    61. Yhlas Sovbetov & Hami Saka, 2018. "Does it take two to tango: Interaction between Credit Default Swaps and National Stock Indices," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 2(1), pages 129-149.
    62. Gau, Yin-Feng & Wu, Zhen-Xing, 2017. "Macroeconomic announcements and price discovery in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 232-254.
    63. Mili, Medhi & Sahut, Jean-Michel & Teulon, Frédéric, 2018. "Modeling recovery rates of corporate defaulted bonds in developed and developing countries," Emerging Markets Review, Elsevier, vol. 36(C), pages 28-44.
    64. Procasky, William J. & Yin, Anwen, 2023. "Identifying the true nature of price discovery and cross-market informational flow in the investment grade CDS and equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    65. William J. Procasky & Anwen Yin, 2022. "Forecasting high‐yield equity and CDS index returns: Does observed cross‐market informational flow have predictive power?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1466-1490, August.

  4. Thuraisamy, Kannan & Sharma, Susan S. & Ahmed, Huson Ali, 2012. "The relationship between Asian equity and commodity futures markets," Working Papers fe_2012_07, Deakin University, Department of Economics.

    Cited by:

    1. Jacinta Chan Phooi M’ng & Ham Yi Jer, 2021. "Do economic statistics contain information to predict stock indexes futures prices and returns? Evidence from Asian equity futures markets," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 1033-1060, October.
    2. Hoang, Thi-Hong-Van & Wong, Wing-Keung & Zhu, Zhenzhen, 2015. "Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange," Economic Modelling, Elsevier, vol. 50(C), pages 200-211.
    3. Omura, Akihiro & Todorova, Neda & Li, Bin & Chung, Richard, 2016. "Steel scrap and equity market in Japan," Resources Policy, Elsevier, vol. 47(C), pages 115-124.
    4. Shahani, Rakesh & Paliwal, Riya, 2020. "An empirical analysis of the Co-movement of Crude, Gold, Rupee-Dollar Exchange rate and Nifty 50 Stock Index during Sub-prime and Coronavirus crisis periods," MPRA Paper 103568, University Library of Munich, Germany.
    5. Li, Lei & Yin, Libo & Zhou, Yimin, 2016. "Exogenous shocks and the spillover effects between uncertainty and oil price," Energy Economics, Elsevier, vol. 54(C), pages 224-234.
    6. Elie Bouri & David Roubaud & Rania Jammazi & Ata Assaf, 2017. "Uncovering frequency domain causality between gold and the stock markets of China and India: Evidence from implied volatility indices," Post-Print hal-02000698, HAL.
    7. Ruobing Liu & Jianhui Yang & Chuan-Yang Ruan, 2019. "The Impact of Macroeconomic News on Chinese Futures," IJFS, MDPI, vol. 7(4), pages 1-14, October.
    8. Qadan, Mahmoud & Idilbi-Bayaa, Yasmeen, 2020. "Risk appetite and oil prices," Energy Economics, Elsevier, vol. 85(C).
    9. Leung, Henry & Furfaro, Frank, 2020. "Comovement of dairy product futures and firm value: returns and volatility," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 64(3), July.
    10. Souček, Michael & Todorova, Neda, 2014. "Realized volatility transmission: The role of jumps and leverage effects," Economics Letters, Elsevier, vol. 122(2), pages 111-115.
    11. Mo, Di & Gupta, Rakesh & Li, Bin & Singh, Tarlok, 2018. "The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets," Economic Modelling, Elsevier, vol. 70(C), pages 543-560.
    12. Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2017. "Tail dependence between gold and sectorial stocks in China: Perspectives for portfolio diversication," Chemnitz Economic Papers 012, Department of Economics, Chemnitz University of Technology, revised Jul 2017.
    13. Ipsita Saishree & Puja Padhi, 2022. "Exploring the dynamics of the equity–commodity nexus: A study of base metal futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1573-1596, August.
    14. Bouri, Elie & Gupta, Rangan & Hosseini, Seyedmehdi & Lau, Chi Keung Marco, 2018. "Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model," Emerging Markets Review, Elsevier, vol. 34(C), pages 124-142.
    15. Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers 2014-325, Department of Research, Ipag Business School.
    16. Asep Risman & Ubud Salim & Sumiati Sumiati & Nur Khusniyah Indrawati, 2017. "Commodity Prices, Exchange Rates and Investment on Firm's Value Mediated by Business Risk: A Case from Indonesian Stock Exchange," European Research Studies Journal, European Research Studies Journal, vol. 0(3A), pages 511-524.
    17. Priti Dubey & Rishika Shankar, 2020. "Determinants of the Commodity Futures Market Performance: An Indian Perspective," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 21(2), pages 239-257, September.
    18. Gülin Vardar & Yener Coşkun & Tezer Yelkenci, 2018. "Shock transmission and volatility spillover in stock and commodity markets: evidence from advanced and emerging markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 8(2), pages 231-288, August.
    19. Powell, Robert J. & Vo, Duc H. & Pham, Thach N. & Singh, Abhay K., 2017. "The long and short of commodity tails and their relationship to Asian equity markets," Journal of Asian Economics, Elsevier, vol. 52(C), pages 32-44.
    20. Zeng, Ting & Yang, Mengying & Shen, Yifan, 2020. "Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks," Economic Modelling, Elsevier, vol. 90(C), pages 209-220.
    21. Neda Todorova & Michael Soucek & Eduardo Roca, 2015. "Volatility spillovers from international commodity markets to the Australian equity market," Discussion Papers in Finance finance:201505, Griffith University, Department of Accounting, Finance and Economics.
    22. Souček, Michael & Todorova, Neda, 2013. "Realized volatility transmission between crude oil and equity futures markets: A multivariate HAR approach," Energy Economics, Elsevier, vol. 40(C), pages 586-597.
    23. Shehzad, Khurram & Bilgili, Faik & Zaman, Umer & Kocak, Emrah & Kuskaya, Sevda, 2021. "Is gold favourable than bitcoin during the COVID-19 outbreak? Comparative analysis through wavelet approach," Resources Policy, Elsevier, vol. 73(C).
    24. Ashfaq, Saleha & Tang, Yong & Maqbool, Rashid, 2023. "Insights of energy and its trade networking impacts on sustainable economic development," Energy, Elsevier, vol. 265(C).
    25. Maria Ghani & Feng Ma & Dengshi Huang, 2024. "Forecasting the Asian stock market volatility: Evidence from WTI and INE oil futures," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1496-1512, April.
    26. Memon, Bilal Ahmed & Yao, Hongxing & Naveed, Hafiz Muhammad, 2022. "Examining the efficiency and herding behavior of commodity markets using multifractal detrended fluctuation analysis. Empirical evidence from energy, agriculture, and metal markets," Resources Policy, Elsevier, vol. 77(C).
    27. David Roubaud & Bouri Elie & Qiang Ji, 2018. "Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities," Post-Print hal-02081506, HAL.
    28. Elie Bouri & Rangan Gupta & Seyedmehdi Hosseini & Chi Keung Marco Lau, 2017. "Does Global Fear Predict Fear in BRICS Stock Markets? Evidence from a Bayesian Graphical VAR Model," Working Papers 201704, University of Pretoria, Department of Economics.
    29. Konstantinos Tsiaras, 2020. "Contagion in Futures Metal Markets during the Recent Global Financial Crisis: Evidence from Gold, Silver, Copper, Zinc and Aluminium," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 70(3-4), pages 42-55, July-Dece.
    30. Borg, Elin & Kits, Ilya & Junttila, Juha & Uddin, Gazi Salah, 2022. "Dependence between renewable energy related critical metal futures and producer equity markets across varying market conditions," Renewable Energy, Elsevier, vol. 190(C), pages 879-892.
    31. Kang, Sang Hoon & Uddin, Gazi Salah & Troster, Victor & Yoon, Seong-Min, 2019. "Directional spillover effects between ASEAN and world stock markets," Journal of Multinational Financial Management, Elsevier, vol. 52.
    32. Koichiro Moriya & Akihiko Noda, 2023. "On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices," Papers 2305.05998, arXiv.org, revised Mar 2024.
    33. Kang, Sang Hoon & McIver, Ron & Yoon, Seong-Min, 2017. "Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets," Energy Economics, Elsevier, vol. 62(C), pages 19-32.

  5. Sharma, Susan & Thuraisamy, Sivananthan, 2012. "Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies," Working Papers fe_2012_02, Deakin University, Department of Economics.

    Cited by:

    1. Mikhail Stolbov, 2017. "Determinants of sovereign credit risk: the case of Russia," Post-Communist Economies, Taylor & Francis Journals, vol. 29(1), pages 51-70, January.
    2. Balcilar, Mehmet & Hammoudeh, Shawkat & Toparli, Elif Akay, 2018. "On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach," Energy Economics, Elsevier, vol. 74(C), pages 813-827.
    3. Chuffart, Thomas & Hooper, Emma, 2019. "An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela," Energy Economics, Elsevier, vol. 80(C), pages 904-916.
    4. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Ferrer, Roman & Hammoudeh, Shawkat, 2017. "Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach," Economic Modelling, Elsevier, vol. 60(C), pages 211-230.
    5. Biao Guo & Qian Han & Jufang Liang & Doojin Ryu & Jinyoung Yu, 2020. "Sovereign Credit Spread Spillovers in Asia," Sustainability, MDPI, vol. 12(4), pages 1-14, February.
    6. Emma Hooper, 2015. "Oil and Gas, which is the Belle of the Ball ? The Impact of Oil and Gas Reserves on Sovereign Risk," AMSE Working Papers 1540, Aix-Marseille School of Economics, France, revised 02 Oct 2015.
    7. Gannon, Gerard L. & Thuraisamy, Kannan S., 2017. "Sovereign risk and the impact of crisis: Evidence from Latin AmericaAuthor-Name: Batten, Jonathan A," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 328-350.
    8. Ho, Sin-Yu & Njindan Iyke, Bernard, 2017. "Consumption and Exchange Rate Uncertainty: Evidence from Selected Asian Countries," MPRA Paper 80096, University Library of Munich, Germany.
    9. Yang, Lu, 2023. "Oil price bubbles: The role of network centrality on idiosyncratic sovereign risk," Resources Policy, Elsevier, vol. 82(C).
    10. Jiang, Yong & Liu, Cenjie & Xie, Rui, 2021. "Oil price shocks and credit spread: Structural effect and dynamic spillover," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    11. Pavlova, Ivelina & de Boyrie, Maria E. & Parhizgari, Ali M., 2018. "A dynamic spillover analysis of crude oil effects on the sovereign credit risk of exporting countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 10-22.
    12. Sawsen Bouker & Faysal Mansouri, 2022. "Sovereign contagion risk measure across financial markets in the eurozone: a bivariate copulas and Markov Regime Switching ARMA based approaches," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 158(2), pages 615-711, May.
    13. Yihong Ma & Simon Cottrell & Sarath Delpachitra & Xiao Yu & Ping Jiang & Quan Tran Ha Minh, 2023. "What Drives Credit Spreads of Oil Companies? Evidence from the Upstream, Integrated and Downstream Industries," The Energy Journal, , vol. 44(5), pages 277-300, September.
    14. Zhang, Zhengyong & Shahzad, Syed Jawad Hussain & Bouri, Elie, 2022. "Tail risk transmission from commodity prices to sovereign risk of emerging economies," Resources Policy, Elsevier, vol. 78(C).
    15. Bouri, Elie & Shahzad, Syed Jawad Hussain & Raza, Naveed & Roubaud, David, 2018. "Oil volatility and sovereign risk of BRICS," Energy Economics, Elsevier, vol. 70(C), pages 258-269.
    16. Bouri, Elie & Kachacha, Imad & Roubaud, David, 2020. "Oil market conditions and sovereign risk in MENA oil exporters and importers," Energy Policy, Elsevier, vol. 137(C).
    17. Wang, Jun & Sun, Xiaolei & Li, Jianping, 2020. "How do sovereign credit default swap spreads behave under extreme oil price movements? Evidence from G7 and BRICS countries," Finance Research Letters, Elsevier, vol. 34(C).
    18. Narayan, Paresh Kumar & Ahmed, Huson Ali, 2014. "Importance of skewness in decision making: Evidence from the Indian stock exchange," Global Finance Journal, Elsevier, vol. 25(3), pages 260-269.
    19. Ehouman, Yao Axel, 2021. "Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a copula approach," International Economics, Elsevier, vol. 168(C), pages 76-97.
    20. Naifar, Nader & Shahzad, Syed Jawad Hussain & Hammoudeh, Shawkat, 2020. "Dynamic nonlinear impacts of oil price returns and financial uncertainties on credit risks of oil-exporting countries," Energy Economics, Elsevier, vol. 88(C).
    21. Kutuk, Yasin & Barokas, Lina, 2022. "Multivariate CDS risk premium prediction with SOTA RNNs on MI[N]T countries," Finance Research Letters, Elsevier, vol. 45(C).
    22. Bouri, Elie & de Boyrie, Maria E. & Pavlova, Ivelina, 2017. "Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 155-165.
    23. Nader Naifar & Syed Jawad Hussain Shahzad & Shawkat Hammoudeh, 2017. "The Impact of Major Oil, Financial and Uncertainty Factors on Sovereign CDS Spreads: Evidence from GCC, Other Oil-Exporting Countries and Regional Markets," Working Papers 1129, Economic Research Forum, revised 08 2017.
    24. Yihong Ma, Simon Cottrell, Sarath Delpachitra, Xiao Yu, Ping Jiang, and Quan Tran Ha Minh, 2023. "What Drives Credit Spreads of Oil Companies? Evidence from the Upstream, Integrated and Downstream Industries," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
    25. Sabkha, Saker & de Peretti, Christian & Hmaied, Dorra, 2019. "Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach," Research in International Business and Finance, Elsevier, vol. 50(C), pages 106-133.
    26. Emma Hooper, 2015. "Oil and Gas, which is the Belle of the Ball ? The Impact of Oil and Gas Reserves on Sovereign Risk," Working Papers halshs-01211506, HAL.
    27. Westerlund, Joakim & Thuraisamy, Kannan, 2016. "Panel multi-predictor test procedures with an application to emerging market sovereign risk," Emerging Markets Review, Elsevier, vol. 28(C), pages 44-60.
    28. Yao Axel Ehouman, 2021. "Dependence structure between oil price volatility and sovereign credit risk of oil exporters : Evidence using a Copula Approach," Post-Print hal-03348410, HAL.
    29. Bouri, Elie & Jalkh, Naji & Roubaud, David, 2019. "Commodity volatility shocks and BRIC sovereign risk: A GARCH-quantile approach," Resources Policy, Elsevier, vol. 61(C), pages 385-392.
    30. Elie Bouri, 2019. "The Effect of Jumps in the Crude Oil Market on the Sovereign Risks of Major Oil Exporters," Risks, MDPI, vol. 7(4), pages 1-15, December.
    31. Yao Axel Ehouman, 2020. "Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a Copula Approach," EconomiX Working Papers 2020-31, University of Paris Nanterre, EconomiX.
    32. Cheuathonghua, Massaporn & de Boyrie, Maria E. & Pavlova, Ivelina & Wongkantarakorn, Jutamas, 2022. "Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries: A VAR quantile analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).

  6. Thuraisamy, Kannan & Gannon, Gerard, 2012. "Modelling the Sovereign Linkages of Key Latin American Economies," Working Papers fe_2012_03, Deakin University, Department of Economics.

    Cited by:

    1. Thuraisamy, Kannan Sivananthan, 2014. "Intra-market sovereign linkages of key Latin American markets," Economic Systems, Elsevier, vol. 38(2), pages 140-160.
    2. Gannon, Gerard L. & Thuraisamy, Kannan S., 2017. "Sovereign risk and the impact of crisis: Evidence from Latin AmericaAuthor-Name: Batten, Jonathan A," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 328-350.
    3. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic, 2017. "Sovereign default risk linkage: Implication for portfolio diversification," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 1-16.

Articles

  1. Westerlund, Joakim & Thuraisamy, Kannan & Sharma, Susan, 2015. "On the use of panel cointegration tests in energy economics," Energy Economics, Elsevier, vol. 50(C), pages 359-363.

    Cited by:

    1. Mehdi Ben Jebli & Montassar Kahia, 2020. "The interdependence between CO2 emissions, economic growth, renewable and non-renewable energies, and service development: evidence from 65 countries," Climatic Change, Springer, vol. 162(2), pages 193-212, September.
    2. Craparo, E.M. & Sprague, J.G., 2019. "Integrated supply- and demand-side energy management for expeditionary environmental control," Applied Energy, Elsevier, vol. 233, pages 352-366.
    3. Taeyoung Jin & Jinsoo Kim, 2018. "Coal Consumption and Economic Growth: Panel Cointegration and Causality Evidence from OECD and Non-OECD Countries," Sustainability, MDPI, vol. 10(3), pages 1-15, March.
    4. Zhou, Anhua & Li, Jun, 2022. "How do trade liberalization and human capital affect renewable energy consumption? Evidence from the panel threshold model," Renewable Energy, Elsevier, vol. 184(C), pages 332-342.
    5. Azreen Benazir Abdullah Ahmed & Sakib Amin & Charles Harvie & Rabindra Nepal, 2021. "The Nexus Between Energy and Trade in South Asia: A Panel Analysis," Economic Papers, The Economic Society of Australia, vol. 40(2), pages 134-151, June.
    6. Zhao, Bingyu & Yang, Wanping, 2020. "Does financial development influence CO2 emissions? A Chinese province-level study," Energy, Elsevier, vol. 200(C).
    7. Chakraborty, Saptorshee Kanto & Mazzanti, Massimiliano, 2020. "Energy intensity and green energy innovation: Checking heterogeneous country effects in the OECD," Structural Change and Economic Dynamics, Elsevier, vol. 52(C), pages 328-343.
    8. Saidi, Hichem & El Montasser, Ghassen & Ajmi, Noomen, 2018. "Renewable Energy, Quality of Institutions and Economic Growth in MENA Countries: a Panel Cointegration Approach," MPRA Paper 84055, University Library of Munich, Germany.
    9. Aslam, Naveed & Yang, Wanping & Saeed, Rabia & Ullah, Fahim, 2024. "Energy transition as a solution for energy security risk: Empirical evidence from BRI countries," Energy, Elsevier, vol. 290(C).
    10. Salim, Ruhul & Yao, Yao & Chen, George S., 2017. "Does human capital matter for energy consumption in China?," Energy Economics, Elsevier, vol. 67(C), pages 49-59.
    11. Inayatullah Jan & Shazia Farhat Durrani & Himayatullah Khan, 2021. "Does renewable energy efficiently spur economic growth? Evidence from Pakistan," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 23(1), pages 373-387, January.
    12. Jin, Taeyoung, 2022. "The evolutionary renewable energy and mitigation impact in OECD countries," Renewable Energy, Elsevier, vol. 189(C), pages 570-586.
    13. Jun Wen & Xiu-Yun Yang & Gen-Fu Feng & Bo Sui & Chun-Ping Chang, 2017. "The comovement between venture capital and innovation in China: what are the implications?," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(6), pages 2489-2506, November.

  2. Narayan, Paresh Kumar & Narayan, Seema & Thuraisamy, Kannan Sivananthan, 2014. "Can institutions and macroeconomic factors predict stock returns in emerging markets?," Emerging Markets Review, Elsevier, vol. 19(C), pages 77-95.

    Cited by:

    1. Smyth, Russell & Narayan, Paresh Kumar, 2015. "Applied econometrics and implications for energy economics research," Energy Economics, Elsevier, vol. 50(C), pages 351-358.
    2. Stephanos Papadamou & Moïse Sidiropoulos & Eleftherios Spyromitros, 2017. "Interest rate dynamic effect on stock returns and central bank transparency : Evidence from emerging markets," Post-Print hal-03692218, HAL.
    3. Yang, Lu & Cai, Xiao Jing & Li, Mengling & Hamori, Shigeyuki, 2015. "Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas," Economic Modelling, Elsevier, vol. 51(C), pages 308-314.
    4. Narayan, Paresh Kumar & Liu, Ruipeng & Westerlund, Joakim, 2016. "A GARCH model for testing market efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 121-138.
    5. Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan S., 2015. "Can governance quality predict stock market returns? New global evidence," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 367-380.
    6. Westerlund, Joakim & Narayan, Paresh Kumar & Zheng, Xinwei, 2015. "Testing for stock return predictability in a large Chinese panel," Emerging Markets Review, Elsevier, vol. 24(C), pages 81-100.
    7. Narayan, Paresh Kumar, 2019. "Can stale oil price news predict stock returns?," Energy Economics, Elsevier, vol. 83(C), pages 430-444.
    8. Ma, Feng & Liu, Jing & Wahab, M.I.M. & Zhang, Yaojie, 2018. "Forecasting the aggregate oil price volatility in a data-rich environment," Economic Modelling, Elsevier, vol. 72(C), pages 320-332.
    9. Westerlund, Joakim & Sharma, Susan Sunila, 2019. "Panel evidence on the ability of oil returns to predict stock returns in the G7 area," Energy Economics, Elsevier, vol. 77(C), pages 3-12.
    10. Sousa, Ricardo M. & Vivian, Andrew & Wohar, Mark E., 2016. "Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 122-143.
    11. Tong, Bin & Diao, Xundi & Wu, Chongfeng, 2015. "Modeling asymmetric and dynamic dependence of overnight and daytime returns: An empirical evidence from China Banking Sector," Economic Modelling, Elsevier, vol. 51(C), pages 366-382.
    12. Qureshi, Fiza & Khan, Habib Hussain & Rehman, Ijaz Ur & Ghafoor, Abdul & Qureshi, Saba, 2019. "Mutual fund flows and investors’ expectations in BRICS economies: Implications for international diversification," Economic Systems, Elsevier, vol. 43(1), pages 130-150.
    13. Chiu, Yi-Bin & Lee, Chien-Chiang, 2020. "Effects of financial development on energy consumption: The role of country risks," Energy Economics, Elsevier, vol. 90(C).
    14. Sharma, Susan Sunila, 2016. "Can consumer price index predict gold price returns?," Economic Modelling, Elsevier, vol. 55(C), pages 269-278.
    15. Slesman, Ly & Baharumshah, Ahmad Zubaidi & Ra'ees, Wahabuddin, 2015. "Institutional infrastructure and economic growth in member countries of the Organization of Islamic Cooperation (OIC)," Economic Modelling, Elsevier, vol. 51(C), pages 214-226.
    16. Sha, Yezhou & Gao, Ran, 2019. "Which is the best: A comparison of asset pricing factor models in Chinese mutual fund industry," Economic Modelling, Elsevier, vol. 83(C), pages 8-16.
    17. Tong Fang & Zhi Su & Libo Yin, 2021. "Does the green inspiration effect matter for stock returns? Evidence from the Chinese stock market," Empirical Economics, Springer, vol. 60(5), pages 2155-2176, May.
    18. Hong, Hui & Chen, Naiwei & O’Brien, Fergal & Ryan, James, 2018. "Stock return predictability and model instability: Evidence from mainland China and Hong Kong," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 132-142.
    19. Bin, Liu, 2015. "A new risk measure and its application in portfolio optimization: The SPP–CVaR approach," Economic Modelling, Elsevier, vol. 51(C), pages 383-390.
    20. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2015. "Stock return forecasting: Some new evidence," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 38-51.
    21. Muhammad Ali Nasir & Muhammad Shahbaz & Trinh Thi Mai & Moade Shubita, 2021. "Development of Vietnamese stock market: Influence of domestic macroeconomic environment and regional markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1435-1458, January.
    22. Chen-Yin Kuo, 2018. "Are the forecast errors of stock prices related to the degree of accounting conservatism?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(6), pages 1-9.
    23. Nagano, Mamoru, 2016. "The bank–firm relationship during economic transition: The impacts on bank performance in emerging economies," Emerging Markets Review, Elsevier, vol. 28(C), pages 117-139.
    24. Yildirim Beyazit Cicen, 2024. "Decoding Inflation: Role of Institutional Quality in Türkiye Using Advanced Econometric Techniques," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 73(74-1), pages 1-35, June.
    25. Danilo Trupkin & Raul Ibarra, 2011. "The Relationship between Inflation and Growth:A Panel Smooth Transition Regression Approach for Developed and Developing Countries," Documentos de Trabajo/Working Papers 1107, Facultad de Ciencias Empresariales y Economia. Universidad de Montevideo..
    26. Narayan, Paresh Kumar & Ahmed, Huson Ali, 2014. "Importance of skewness in decision making: Evidence from the Indian stock exchange," Global Finance Journal, Elsevier, vol. 25(3), pages 260-269.
    27. Dahmene, Meriam & Boughrara, Adel & Slim, Skander, 2021. "Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 676-699.
    28. Ahmad, Wasim & Sharma, Sumit Kumar, 2018. "Testing output gap and economic uncertainty as an explicator of stock market returns," Research in International Business and Finance, Elsevier, vol. 45(C), pages 293-306.
    29. Mahsa Ghorbani & Edwin K P Chong, 2020. "Stock price prediction using principal components," PLOS ONE, Public Library of Science, vol. 15(3), pages 1-20, March.
    30. Azmi, Wajahat & Mohamad, Shamsher & Shah, Mohamed Eskandar, 2020. "Ethical investments and financial performance: An international evidence," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    31. Wang, Kun Tracy & Wang, Wanbin Walter, 2017. "Competition in the stock market with asymmetric information," Economic Modelling, Elsevier, vol. 61(C), pages 40-49.
    32. Narayan, Paresh Kumar & Narayan, Seema & Westerlund, Joakim, 2015. "Do order imbalances predict Chinese stock returns? New evidence from intraday data," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 136-151.
    33. Kuo, Chen-Yin, 2016. "Does the vector error correction model perform better than others in forecasting stock price? An application of residual income valuation theory," Economic Modelling, Elsevier, vol. 52(PB), pages 772-789.
    34. Paresh Narayan & Russell Smyth, 2014. "Applied Econometrics and a Decade of Energy Economics Research," Monash Economics Working Papers 21-14, Monash University, Department of Economics.
    35. Döpke, Jörg & Müller, Karsten & Tegtmeier, Lars, 2018. "The economic value of business cycle forecasts for potential investors – Evidence from Germany," Research in International Business and Finance, Elsevier, vol. 46(C), pages 445-461.
    36. Mili, Medhi & Sahut, Jean-Michel & Teulon, Frédéric, 2018. "Modeling recovery rates of corporate defaulted bonds in developed and developing countries," Emerging Markets Review, Elsevier, vol. 36(C), pages 28-44.
    37. Danyan Wen & Mengxi He & Yaojie Zhang & Yudong Wang, 2022. "Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 230-251, March.
    38. Narayan, Paresh Kumar & Bannigidadmath, Deepa, 2017. "Does Financial News Predict Stock Returns? New Evidence from Islamic and Non-Islamic Stocks," Pacific-Basin Finance Journal, Elsevier, vol. 42(C), pages 24-45.

  3. Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan Sivananthan, 2014. "An analysis of price discovery from panel data models of CDS and equity returns," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 167-177.
    See citations under working paper version above.
  4. Thuraisamy, Kannan Sivananthan, 2014. "Intra-market sovereign linkages of key Latin American markets," Economic Systems, Elsevier, vol. 38(2), pages 140-160.

    Cited by:

    1. Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia 14112, Banco de la Republica.
    2. Kannan S. Thuraisamy, 2015. "Volatility Dynamics in the Term Structure of Latin American Sovereign International Bonds," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(5), pages 859-866, September.
    3. Jovan Njegic & Milica Stankovic & Dejan Živkov, 2019. "What Wavelet-Based Quantiles Can Suggest about the Stocks-Bond Interaction in the Emerging East Asian Economies?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 69(1), pages 95-119, February.

  5. Thuraisamy, Kannan S. & Sharma, Susan Sunila & Ali Ahmed, Huson Joher, 2013. "The relationship between Asian equity and commodity futures markets," Journal of Asian Economics, Elsevier, vol. 28(C), pages 67-75.
    See citations under working paper version above.
  6. Riedel, Christoph & Thuraisamy, Kannan S. & Wagner, Niklas, 2013. "Credit cycle dependent spread determinants in emerging sovereign debt markets," Emerging Markets Review, Elsevier, vol. 17(C), pages 209-223.

    Cited by:

    1. Kinateder, Harald & Wagner, Niklas, 2017. "Quantitative easing and the pricing of EMU sovereign debt," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 1-12.
    2. Alfonso Dufour & Andrei Stancu & Simone Varotto, 2014. "The Equity-like Behaviour of Sovereign Bonds," ICMA Centre Discussion Papers in Finance icma-dp2014-16, Henley Business School, University of Reading.
    3. Gannon, Gerard L. & Thuraisamy, Kannan S., 2017. "Sovereign risk and the impact of crisis: Evidence from Latin AmericaAuthor-Name: Batten, Jonathan A," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 328-350.
    4. Kannan S. Thuraisamy, 2015. "Volatility Dynamics in the Term Structure of Latin American Sovereign International Bonds," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(5), pages 859-866, September.
    5. Fernández-Rodríguez, Fernando & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 126-145.
    6. Ratha,Dilip K. & De,Supriyo & Kurlat,Sergio Andres & Ratha,Dilip K. & De,Supriyo & Kurlat,Sergio Andres, 2016. "Does governing law affect bond spreads ?," Policy Research Working Paper Series 7863, The World Bank.
    7. Kizys, Renatas & Paltalidis, Nikos & Vergos, Konstantinos, 2016. "The quest for banking stability in the euro area: The role of government interventions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 111-133.
    8. Giacomo Bulfone & Roberto Casarin & Francesco Ravazzolo, 2021. "Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model," Working Paper series 21-09, Rimini Centre for Economic Analysis.
    9. Oscar V. De la Torre-Torres & Evaristo Galeana-Figueroa & José Álvarez-García, 2020. "Markov-Switching Stochastic Processes in an Active Trading Algorithm in the Main Latin-American Stock Markets," Mathematics, MDPI, vol. 8(6), pages 1-23, June.
    10. Kannan S. Thuraisamy, 2019. "The Credit Risk Dynamics Of International Bonds: The Indonesian Case," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 21(12th BMEB), pages 531-550, January.
    11. Oscar V. De la Torre-Torres & Dora Aguilasocho-Montoya & María de la Cruz del Río-Rama, 2020. "A Two-Regime Markov-Switching GARCH Active Trading Algorithm for Coffee, Cocoa, and Sugar Futures," Mathematics, MDPI, vol. 8(6), pages 1-19, June.
    12. Baltodano López Ovielt & Bulfone Giacomo & Casarin Roberto & Ravazzolo Francesco, 2024. "Modeling Corporate CDS Spreads Using Markov Switching Regressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 271-292, April.
    13. Batten, Jonathan A. & Jacoby, Gady & Liao, Rose C., 2014. "Corporate yield spreads and real interest rates," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 89-100.
    14. Westerlund, Joakim & Thuraisamy, Kannan, 2016. "Panel multi-predictor test procedures with an application to emerging market sovereign risk," Emerging Markets Review, Elsevier, vol. 28(C), pages 44-60.
    15. Özmen, Erdal & Doğanay Yaşar, Özge, 2016. "Emerging market sovereign bond spreads, credit ratings and global financial crisis," Economic Modelling, Elsevier, vol. 59(C), pages 93-101.

  7. Thuraisamy, Kannan & Gannon, Gerard, 2013. "Modelling the sovereign linkages of key Latin American economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 222-239.
    See citations under working paper version above.
  8. Sharma, Susan Sunila & Thuraisamy, Kannan, 2013. "Oil price uncertainty and sovereign risk: Evidence from Asian economies," Journal of Asian Economics, Elsevier, vol. 28(C), pages 51-57.
    See citations under working paper version above.
  9. Narayan, Paresh Kumar & Thuraisamy, Kannan S., 2013. "Common trends and common cycles in stock markets," Economic Modelling, Elsevier, vol. 35(C), pages 472-476.

    Cited by:

    1. Pontines, Victor, 2017. "The financial cycles in four East Asian economies," Economic Modelling, Elsevier, vol. 65(C), pages 51-66.
    2. Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan, 2014. "An analysis of price discovery from panel data models of CDS and equity returns," Working Papers fe_2014_08, Deakin University, Department of Economics.
    3. Xu, Jia & Tan, Xiujie & He, Gang & Liu, Yu, 2019. "Disentangling the drivers of carbon prices in China's ETS pilots — An EEMD approach," Technological Forecasting and Social Change, Elsevier, vol. 139(C), pages 1-9.
    4. K. Hafsal & S. Raja Sethu Durai, 2023. "Fundamental and bubble spillovers in stock markets: a common trend approach," SN Business & Economics, Springer, vol. 3(3), pages 1-17, March.
    5. Vatsa, Puneet & Basnet, Hem C., 2020. "The dynamics of energy prices and the Norwegian economy: A common trends and common cycles analysis," Resources Policy, Elsevier, vol. 68(C).
    6. Balcilar, Mehmet & Gupta, Rangan & Wohar, Mark E., 2017. "Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data," Energy Economics, Elsevier, vol. 61(C), pages 72-86.
    7. Vatsa, Puneet, 2020. "Comovement amongst the demand for New Zealand tourism," Annals of Tourism Research, Elsevier, vol. 83(C).
    8. Marczak, Martyna & Gómez, Víctor, 2012. "Cyclicality of real wages in the USA and Germany: New insights from wavelet analysis," FZID Discussion Papers 50-2012, University of Hohenheim, Center for Research on Innovation and Services (FZID).

  10. Thuraisamy, Kannan S. & Gannon, Gerard L. & Batten, Jonathan A., 2008. "The credit spread dynamics of Latin American euro issues in international bond markets," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 328-345, October.

    Cited by:

    1. Thuraisamy, Kannan Sivananthan, 2014. "Intra-market sovereign linkages of key Latin American markets," Economic Systems, Elsevier, vol. 38(2), pages 140-160.
    2. Giraldo, Carlos & Giraldo, Iader & Gomez-Gonzalez, Jose E. & Uribe, Jorge M., 2023. "An explained extreme gradient boosting approach for identifying the time-varying determinants of sovereign risk," Finance Research Letters, Elsevier, vol. 57(C).
    3. Batten, Jonathan A. & Jacoby, Gady & Liao, Rose C., 2014. "Corporate yield spreads and real interest rates," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 89-100.

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