Outputs (19)

Does Fed communication affect uncertainty and risk aversion? (2024)
Journal Article
Chau, F., Deesomsak, R., & Shaikh, R. (online). Does Fed communication affect uncertainty and risk aversion?. Review of Quantitative Finance and Accounting, https://doi.org/10.1007/s11156-024-01318-9

This paper examines whether the Federal Reserve (Fed) communication has significant impact on the level of uncertainty and risk aversion in the U.S., U.K., and Eurozone equity markets. We first apply computational linguistic tools to the Federal Op... Read More about Does Fed communication affect uncertainty and risk aversion?.

Social media sentiment of hydrogen fuel cell vehicles in China: Evidence from artificial intelligence algorithms (2024)
Journal Article
Ye, T., Zhao, S., Lau, C. K. M., & Chau, F. (2024). Social media sentiment of hydrogen fuel cell vehicles in China: Evidence from artificial intelligence algorithms. Energy Economics, 133, 107564. https://doi.org/10.1016/j.eneco.2024.107564

Hydrogen energy is significant in the energy consumption, especially in Hydrogen Fuel Cell Vehicles(HFCVs) market. Social media data is critical for exploring public perceptions of HFCVs. To find hot topics and understand the public sentiment of HFCV... Read More about Social media sentiment of hydrogen fuel cell vehicles in China: Evidence from artificial intelligence algorithms.

Volatility Transmission across Commodity Futures Markets (2018)
Book Chapter
Chau, F., & Deesomsak, R. (2018). Volatility Transmission across Commodity Futures Markets. In H. K. Baker, G. Filbeck, & J. H. Harris (Eds.), Commodities : markets, performance, and strategies (331-350). Oxford University Press. https://doi.org/10.1093/oso/9780190656010.003.0018

Sharp movements in crude oil prices and their impact on other commodities have renewed interest in the assessment of dynamic interactions between commodity futures markets. This chapter examines this topic by investigating the intensity and direction... Read More about Volatility Transmission across Commodity Futures Markets.

Dynamics and Determinants of Credit Risk Discovery: Evidence from CDS and Stock Markets (2017)
Journal Article
Chau, F., Han, C., & Shi, S. (2018). Dynamics and Determinants of Credit Risk Discovery: Evidence from CDS and Stock Markets. International Review of Financial Analysis, 55, 156-169. https://doi.org/10.1016/j.irfa.2017.11.004

This paper investigates the dynamics and drivers of credit risk discovery between stock and CDS markets in the US. Our research is distinguished from the existing literature in three aspects: 1) we employ an improved method to measure the information... Read More about Dynamics and Determinants of Credit Risk Discovery: Evidence from CDS and Stock Markets.

Does investor sentiment really matter? (2016)
Journal Article
Chau, F., Deesomsak, R., & Koutmos, D. (2016). Does investor sentiment really matter?. International Review of Financial Analysis, 48, 221-232. https://doi.org/10.1016/j.irfa.2016.10.003

We examine the role sentiment plays and its manifestation in the trading behavior of investors in the U.S. stock market. Our findings support the notion that sentiment-induced buying and selling is an important determinant of stock price variation. W... Read More about Does investor sentiment really matter?.

Arbitrage opportunities and feedback trading in emissions and energy markets (2015)
Journal Article
Chau, F., Kuo, J., & Shi, Y. (2015). Arbitrage opportunities and feedback trading in emissions and energy markets. Journal of International Financial Markets, Institutions and Money, 36, 130-147. https://doi.org/10.1016/j.intfin.2015.02.002

This paper extends Sentana and Wadhwani (SW 1992) model to study the presence of feedback trading in emissions and energy markets and the extent to which such behaviour is linked to the level of arbitrage opportunities. Applying our augmented models... Read More about Arbitrage opportunities and feedback trading in emissions and energy markets.

Business cycle variation in positive feedback trading : evidence from the G-7 economies (2014)
Journal Article
Chau, F., & Deesomsak, R. (2015). Business cycle variation in positive feedback trading : evidence from the G-7 economies. Journal of International Financial Markets, Institutions and Money, 35, 147-159. https://doi.org/10.1016/j.intfin.2014.12.003

Using the business cycle indicators and the aggregate stock market data, this paper examines the degree of positive feedback trading in the G-7 economies and the extent to which such behaviour varies across business cycle. The evidence suggests that... Read More about Business cycle variation in positive feedback trading : evidence from the G-7 economies.

Premiums, Discounts and Feedback Trading: Evidence from Emerging Markets’ ETFs (2014)
Journal Article
Charteris, A., Chau, F., Gavriilidis, K., & Kallinterakis, V. (2014). Premiums, Discounts and Feedback Trading: Evidence from Emerging Markets’ ETFs. International Review of Financial Analysis, 35, 80-89. https://doi.org/10.1016/j.irfa.2014.07.010

This study investigates the extent to which ETFs’ premiums and discounts motivate feedback trading in emerging markets’ ETFs. Using a sample of the first-ever launched broad-index ETFs from four emerging markets (Brazil, India, South Africa and South... Read More about Premiums, Discounts and Feedback Trading: Evidence from Emerging Markets’ ETFs.

Does Linkage Fuel the Fire? The Transmission of Financial Stress across the Markets (2014)
Journal Article
Chau, F., & Deesomsak, R. (2014). Does Linkage Fuel the Fire? The Transmission of Financial Stress across the Markets. International Review of Financial Analysis, 36, 57-70. https://doi.org/10.1016/j.irfa.2014.02.005

This paper develops an indicator of financial stress transmission, called Financial Stress Spillover Index (FSSI), to monitor the condition of financial system and to identify periods of excessive spillover that may lead to financial instability. Spe... Read More about Does Linkage Fuel the Fire? The Transmission of Financial Stress across the Markets.

Commodity Futures and Strategic Asset Allocation. (2013)
Book Chapter
Chau, F., Lau, M., & Su, Y. (2013). Commodity Futures and Strategic Asset Allocation. In Alternative Investments: Instruments, Performance, Benchmarks, and Strategies (399-418.). John Wiley and Sons