The past two decades have seen a significant shift from active to passive investment
strategies. We examined how this shift affects financial stability through its impacts on (1) …

This paper seeks to explore the factors contributing to the return co-movement dynamics in
the international commodity markets. We first adopt a minimum spanning tree (MST) …

This paper examines the role of interconnectivity in global stock markets during the Global
Financial Crisis (GFC) using a comprehensive dataset of 8,827 firms traded in developed …

Since more and more investors are affected by the Internet finance, this paper focuses on
examining whether the systematic trading among investors would lead to stock return …

In a given country, a higher R 2 suggests that stocks move more synchronously with other
stocks. This study explores whether five dimensions of national culture are related to stock …

Most of the existing studies measure the risk dependence between corporations based on
quantitative market data, which is susceptible to interference from market speculative …

This study explores the determinants of common ownership. Drawing on two explanatory
lenses, we suggest an information-based perspective and a competition-based perspective …

This study decomposes the overall return comovement into intraday and overnight
comovement based on a model-free framework. It shows that intraday return comovement …

One of the main contributions of the Capital Assets Pricing Model (CAPM) to portfolio theory
was to explain the correlation between assets through its relationship with the market index …

Financial networks are constructed from asset price comovements. There is a large literature
that takes these networks as given, for example, for portfolio optimization. But what exactly is …