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This paper examines the interactions among CDS spreads across 13 European countries using spatial econometrics techniques. Our model allows for the estimation of direct and indirect transmission of sovereign risk and feedback effects across the network of these countries. The novelty of this...
This paper analyzes advantages of investing in catastrophe bonds (CATs) in terms of portfolio diversification. Indeed, the increase in environmental disasters and their economic and financial consequences are still poorly covered by insurance and reinsurance companies. As a result, there is a...
Cryptocurrencies (CCs) have become increasingly interesting for institutional investors’ strategic asset allocation and will therefore be a fixed component of professional portfolios in the future. However, this asset class differs from established assets primarily in that it has a higher...
In this paper, we provide an in-depth analysis of the herding nature in the cryptocurrency market. We use the first 200 crypto coins data ranked based on market capitalization on January 1, 2020, to show the analysis. We illustrate the crypto investors' herding nature and intensity in different...
This paper employs the DSN portfolio sorting procedure introduced by Lambert et al. (J Banking Finance 114:105811, 2020) to factor size characteristics into returns. The US size anomaly boils then down to a pure seasonal effect, fully supporting the “tax-loss-pruning” hypothesis. We build a...
The aim of this study is to investigate the effect of the coronavirus health crisis (COVID-19) on the performance of the Saudi stock market, the Tadawul. Prices of the Tadawul All-Shares Index (TASI) and all sector indices are collected from December 2019 to end of July 2020. Analysis of the...
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