We examine the dynamics of liquidity connectedness in the cryptocurrency market. We use
the connectedness models of Diebold and Yilmaz (Int J Forecast 28 (1): 57–66, 2012) and …

The aim of this paper is to examine the explanatory power of realized volatility on the
illiquidity in Saudi stock market during the COVID-19 outbreak. To achieve this objective, we …

Stock and housing assets are the most important forms of wealth held by households and
firms and so how to reduce their portfolio risk is a major concern. However, modern financial …

This paper examines the influence of global economic policy uncertainty on the stability of
cryptocurrency returns and the moderating role of liquidity volatility. Findings reveal that the …

A highly significant feature of the stock market is its efficiency, which is associated with
information efficiency. However, the liquidity of stock on the market is its essential …

Aim/purpose–The purpose of the research is to verify the Capital Asset Pricing Model
(CAPM) in the Polish capital market based on a conventional and downside risk approach …

Purpose The cross-quantilogram analysis is employed. The latter can assess the temporal
association between two stationary time series at different parts of their joint distribution …

This paper aims to compare the mutual information shared by various liquidity and volatility
estimators within each group separately. Our sample covers forty one blue-chip companies …

This paper examines the effects of fear of coronavirus on returns and volatility of five major
cryptocurrencies during the COVID-19 outbreak. Adopting Google search volume on a …

The volume-volatility relationship usually ignores possible effects of stock shares. This
article proposes a two-phase flow model assuming that capital and stock flows determine …