Flight to Lottery Ahead of FOMC Announcements: Institutional Investors or Retail Investors? (2023)
Journal Article
Guo, H., Hung, C. D., Kontonikas, A., & Zeng, Y. (in press). Flight to Lottery Ahead of FOMC Announcements: Institutional Investors or Retail Investors?. British Journal of Management, https://doi.org/10.1111/1467-8551.12755

This paper studies the pre-Federal Open Market Committee (FOMC) announcement drift at the stock level. We hypothesize that investors have a higher propensity to speculate before the monetary policy announcements by the FOMC, due to the resolution of... Read More about Flight to Lottery Ahead of FOMC Announcements: Institutional Investors or Retail Investors?.

Bitcoin Under the Microscope (2023)
Journal Article
Jahanshahloo, H., Irresberger, F., & Urquhart, A. (in press). Bitcoin Under the Microscope. The British Accounting Review,

This paper explores and describes historical on-chain transaction data recorded on the Bitcoin blockchain, constructs a panel of all individual Bitcoin users, and computes their balances in the cross-section and over time. We run clustering algorithm... Read More about Bitcoin Under the Microscope.

Determinants of financial stability and risk transmission in dual financial system: Evidence from the COVID pandemic (2023)
Journal Article
Elsayed, A. H., Ahmed, H., & Husam Helmi, M. (2023). Determinants of financial stability and risk transmission in dual financial system: Evidence from the COVID pandemic. Journal of International Financial Markets, Institutions and Money, 85, https://doi.org/10.1016/j.intfin.2023.101784

Existing literature on spillovers and connectedness between Islamic and conventional financial markets overlooked the fundamental role played by money markets in volatility spillovers and risk transmission across markets. That being so, this paper ai... Read More about Determinants of financial stability and risk transmission in dual financial system: Evidence from the COVID pandemic.

Asymmetric relationship between green bonds and Sukuk markets: The role of global risk factors (2023)
Journal Article
Billah, M., Elsayed, A. H., & Hadhri, S. (2023). Asymmetric relationship between green bonds and Sukuk markets: The role of global risk factors. Journal of International Financial Markets, Institutions and Money, 83, Article 101728. https://doi.org/10.1016/j.intfin.2022.101728

This study investigates the asymmetric connectedness and spillover effects between two ethical fixed-income assets (Sukuk and green bonds) with regard to global risk factors using a sample of 15 Sukuk markets and green bond indices. This complex netw... Read More about Asymmetric relationship between green bonds and Sukuk markets: The role of global risk factors.

Intraday Momentum Trading and Liquidity Crises (2023)
Working Paper
Bogoev, D., & Karam, A. Intraday Momentum Trading and Liquidity Crises

Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis (2022)
Journal Article
Balcilar, M., Elsayed, A. H., & Hammoudeh, S. (2023). Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis. Journal of International Financial Markets, Institutions and Money, 82, https://doi.org/10.1016/j.intfin.2022.101656

This study examines the financial connectedness and risk transmission among MENA economies by accounting for financial connectedness in the short and long run as well dependency under extreme market conditions and network graph analysis. To this end,... Read More about Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis.

Central Bank digital currencies: An Agenda for future research (2022)
Journal Article
Elsayed, A. H., & Ali Nasir, M. (2022). Central Bank digital currencies: An Agenda for future research. Research in International Business and Finance, 62, Article 101736. https://doi.org/10.1016/j.ribaf.2022.101736

Central bank digital currencies are engendering concern. As understanding of CBDCs is very limited, further research is warranted which will focus not only on the economic rationale of CBDCs but also on how they will impact monetary policy transmissi... Read More about Central Bank digital currencies: An Agenda for future research.

Cross-country Disparities in Skill Premium and Skill Acquisition (2022)
Journal Article
Banerjee, A., Basu, P., & Keller, E. (2023). Cross-country Disparities in Skill Premium and Skill Acquisition. Economic Inquiry, 61(1), 179-198. https://doi.org/10.1111/ecin.13107

Skilled individuals are rewarded more in poor than in rich countries. Why aren’t more individuals acquiring skills in poor countries? We document that the unemployment rate of the skilled net of that of the unskilled decreases with a country’s level... Read More about Cross-country Disparities in Skill Premium and Skill Acquisition.

Do Geopolitical Events Transmit Opportunity or Threat to Green Markets? Decomposed Measures of Geopolitical Risks (2022)
Journal Article
Sohag, K., Hammoudeh, S., Elsayed, A., Mariev, O., & Safonova, Y. (2022). Do Geopolitical Events Transmit Opportunity or Threat to Green Markets? Decomposed Measures of Geopolitical Risks. Energy Economics, 111, Article 106068. https://doi.org/10.1016/j.eneco.2022.106068

The growth of clean energies and technologies requires a sound financial market, while equity and bond markets are exposed to geopolitical risks. We investigate the response of green equity and green bonds to newly develop decomposed measures of geop... Read More about Do Geopolitical Events Transmit Opportunity or Threat to Green Markets? Decomposed Measures of Geopolitical Risks.

International Monetary Policy and Cryptocurrency Markets: Dynamic and Spillover Effects (2022)
Journal Article
Elsayed, A. H., & Sousa, R. M. (in press). International Monetary Policy and Cryptocurrency Markets: Dynamic and Spillover Effects. European Journal of Finance, https://doi.org/10.1080/1351847x.2022.2068375

Using daily data over the period August 5, 2013 - September 27, 2019, this study investigates the dynamic spillovers between international monetary policies across four major economies (i.e. Eurozone, Japan, UK and US) and three key cryptocurrencies... Read More about International Monetary Policy and Cryptocurrency Markets: Dynamic and Spillover Effects.

Financial Stability and Monetary Policy Reaction: Evidence from the GCC Countries (2022)
Journal Article
Elsayed, A. H., Naifar, N., & Nasreen, S. (2023). Financial Stability and Monetary Policy Reaction: Evidence from the GCC Countries. The Quarterly Review of Economics and Finance, 87, 396-405. https://doi.org/10.1016/j.qref.2022.03.003

This paper investigates the interaction between monetary policy and financial stability in the Gulf Cooperation Council (hereafter GCC) countries by introducing a new composite financial stability index to monitor the financial vulnerabilities and cr... Read More about Financial Stability and Monetary Policy Reaction: Evidence from the GCC Countries.

Volatility and Return Connectedness of Cryptocurrency, Gold, and Uncertainty: Evidence from the Cryptocurrency Uncertainty Indices (2022)
Journal Article
Elsayed, A. H., Gozgor, G., & Yarovaya, L. (2022). Volatility and Return Connectedness of Cryptocurrency, Gold, and Uncertainty: Evidence from the Cryptocurrency Uncertainty Indices. Finance Research Letters, 47(Part B), Article 102732. https://doi.org/10.1016/j.frl.2022.102732

This paper examines the dynamic connectedness of return- and volatility spillovers among cryptocurrency index (CRIX), Gold, and uncertainty measures. Apart from traditional uncertainty measures, we also consider two novel uncertainty measures: Crypto... Read More about Volatility and Return Connectedness of Cryptocurrency, Gold, and Uncertainty: Evidence from the Cryptocurrency Uncertainty Indices.

Risk Transmissions between Bitcoin and Traditional Financial Assets during the COVID-19 Era: The Role of Global Uncertainties   (2022)
Journal Article
Elsayed, A., Gozgor, G., & Lau, C. (2022). Risk Transmissions between Bitcoin and Traditional Financial Assets during the COVID-19 Era: The Role of Global Uncertainties  . International Review of Financial Analysis, 81, Article 102069. https://doi.org/10.1016/j.irfa.2022.102069

This paper examines return and volatility connectedness between Bitcoin, traditional financial assets (Crude Oil, Gold, Stocks, Bonds, and the United States Dollar-USD), and major global uncertainty measures (the Economic Policy Uncertainty-EPU, the... Read More about Risk Transmissions between Bitcoin and Traditional Financial Assets during the COVID-19 Era: The Role of Global Uncertainties  .

Dependence structure and dynamic connectedness between green bonds and financial markets: fresh insights from time-frequency analysis before and during COVID-19 pandemic (2022)
Journal Article
Elsayed, A., Naifar, N., Saudi Arabia, R., & Tiwari, A. (2022). Dependence structure and dynamic connectedness between green bonds and financial markets: fresh insights from time-frequency analysis before and during COVID-19 pandemic. Energy Economics, 107, Article 105842. https://doi.org/10.1016/j.eneco.2022.105842

This paper examines the interdependence between green bonds and financial markets in the timefrequency domain by utilizing the multivariate wavelet approach and dynamic connectedness through combining Ensemble Empirical Mode Decomposition (EEMD) with... Read More about Dependence structure and dynamic connectedness between green bonds and financial markets: fresh insights from time-frequency analysis before and during COVID-19 pandemic.

Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation? (2021)
Journal Article
Chowdhury, M., Damianov, D., & Elsayed, A. (2022). Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation?. Finance Research Letters, 46(Part B), Article 102494. https://doi.org/10.1016/j.frl.2021.102494

Using a quantile vector autoregressive model to capture return dynamics in extreme market conditions, we find that the cryptocurrency market exhibits a high level of market connectedness. Bitcoin is a net transmitter of return spillovers during busts... Read More about Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation?.

Forward Guidance and Corporate Lending (2021)
Journal Article
Delis, M., Hong, S., Paltalidis, N., & Philip, D. (2022). Forward Guidance and Corporate Lending. Review of Finance, 26(4), 899-935. https://doi.org/10.1093/rof/rfab027

We suggest that forward guidance, via publicly committing the central bank to future actions and creating associated expectations, fundamentally affects bank lending decisions independently of other forms of monetary policy. To test this hypothesis,... Read More about Forward Guidance and Corporate Lending.

Two-period duopolies with forward markets (2021)
Journal Article
Cox, C., Karam, A., & Pelster, M. (2022). Two-period duopolies with forward markets. Review of Industrial Organization, 60(1), 29-62. https://doi.org/10.1007/s11151-021-09839-6

We experimentally consider a dynamic multi-period Cournot duopoly with a simultaneous option to manage financial risk and a real option to delay supply. The first option allows players to manage risk before uncertainty is realized, while the second a... Read More about Two-period duopolies with forward markets.

When It Rains It Drains: Psychological Distress and Household Net Worth (2021)
Journal Article
Balloch, A., Engels, C., & Philip, D. (2022). When It Rains It Drains: Psychological Distress and Household Net Worth. Journal of Banking and Finance, 143, https://doi.org/10.1016/j.jbankfin.2022.106620

This paper establishes a sizeable negative effect of poor mental health on individuals’ net worth. In a representative panel of U.S. households, we find that a one standard deviation (or four unit) increase in Kessler’s K6 psychological distress leve... Read More about When It Rains It Drains: Psychological Distress and Household Net Worth.

Inflation synchronization among the G7 and China: The important role of oil inflation (2021)
Journal Article
Elsayed, A., Hammoudeh, S., & Sousa, R. (2021). Inflation synchronization among the G7 and China: The important role of oil inflation. Energy Economics, 100, Article 105332. https://doi.org/10.1016/j.eneco.2021.105332

We investigate the interconnectedness and spillovers between oil price inflation and CPI inflation in the G7 countries and China over the available period 1987M6-2020M6. To this end, we employ the multivariate DECO-GARCH model and both time-domain an... Read More about Inflation synchronization among the G7 and China: The important role of oil inflation.

Volatility transmission and spillover dynamics across financial markets: The role of geopolitical risk (2021)
Journal Article
Elsayed, A., & Helmi, M. (2021). Volatility transmission and spillover dynamics across financial markets: The role of geopolitical risk. Annals of Operations Research, 305, 1-22. https://doi.org/10.1007/s10479-021-04081-5

This paper examines the effect of geopolitical risk (GPR) on return and volatility dynamics in Middle East and North African (MENA) countries by using an ADCC-GARCH model and a spillover approach. Unlike previous studies, we include the GPR index to... Read More about Volatility transmission and spillover dynamics across financial markets: The role of geopolitical risk.