Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework.

Financial risk is spread and amplified through the interconnectedness among financial institutions. We apply a time-varying parameter vector autoregression model to analyze the dynamic spillover effects in the Chinese financial system. We find that the 2017 house price control policies have significantly increased the risk of China's financial system.

Do Multi-Market Institutions and Renewable Energy Matter for Sustainable Development: A Panel Data Investigation.

This paper measures the impact of multi-market institutions, renewable energy consumption, and infrastructure on sustainable development in 76 selected countries over the period 2000-2015. To this end, we applied a dynamic Ordinary Least Square method with fixed effects, which has the advantage of further addressing cross-section heterogeneity in the sample. Our findings contribute two significant findings to the literature.

Testing the animal spirits theory for ethical investments: further evidence from aggregated and disaggregated data.

This study aims to test the animal spirits theory by Akerlof and Shiller (Animal spirits - how human psychology drives the economy, and why it matters for global capitalism? Princeton University Press) for ethical stock markets using Islamic and sustainable stock indexes during calm and crisis periods. This question helps determine whether ethical finance is driven more by its specific rules or determined by animal spirits. We used data covering January 1996-September 2021, which includes both calm periods and crisis periods (dot-com bubble of 2000, subprime crisis of 2007, global financial crisis of 2008-2009, and COVID-19 recession).

COVID-19 news and the US equity market interactions: An inspection through econometric and machine learning lens.

This study investigates the impact of COVID-19 on the US equity market during the first wave of Coronavirus using a wide range of econometric and machine learning approaches. To this end, we use both daily data related to the US equity market sectors and data about the COVID-19 news over January 1, 2020-March 20, 2020. Accordingly, we show that at an early stage of the outbreak, global COVID-19s fears have impacted the US equity market even differently across sectors.

Does the Real Business Cycle Help Forecast the Financial Cycle?

This study investigates the relationship between the financial market and the real business cycle in the US from February 1987 to March 2016. Using different monthly time-series as proxies for the financial and macroeconomic cycles, we first specify the determinants and then build two indicators to measure the financial and real business cycles based on principal component analysis. We identify not only the main different cycles for each indicator but also measure the duration of the phases for each indicator.

Computing the Time-Varying Effects of Investor Attention in Islamic Stock Returns.

This paper investigates the relationship between investor attention and the Islamic stock market. In particular, we investigate whether investor attention-measured by Google searches-could help to improve the forecasting of Islamic stock returns. To this end, we used quantile regressions to examine the relationship over the period 2004-2016 in order to capture its evolution during calm and turbulent times.