We compare the time-varying weak-form efficiency of Credit Default Swap (CDS) markets of 15 emerging countries by using permutation entropy approach. We find that CDS markets have different degrees of time-varying efficiency. ...

Previous studies support the hypothesis that institutional ownership leads to an enhanced systematic liquidity risk by increasing the commonality in liquidity. By using a proprietary database of all incoming orders and ...

We decompose the cost of trading into buy-side and sell-side using the limit order book. By using various position sizes to trade, we look for commonality in liquidity on different sides and also at the different levels ...

We compare the time-varying weak-form efficiency of Bitcoin prices in terms of US dollars (BTCUSD) and euro (BTCEUR) at a high-frequency level by using permutation entropy. We find that BTCUSD and BTCEUR markets have become ...

This study examines high-frequency asymmetric multifractality, long memory, and weak-form efficiency for two major cryptocurrencies, namely, Bitcoin (BTC) and Ethereum (ETH), using the asymmetric multifractal detrended ...

In this paper, we propose a novel concept of correlation-based stable networks to empirically investigate the dynamic integration and network structure of the European Monetary Union (EMU) sovereign bond markets. The ...

We analyse various technical trading rules in the form of the moving average-oscillator and trading range break-out strategies to specifically test resistance and support levels and their trading performance using ...

This study examines the asymmetric volatility connectedness between Bitcoin and major precious metals markets (gold, silver, palladium, and platinum). We use high-frequency data with methodologies introduced by Diebold and ...

We analyze dynamic return and risk spillovers between commodity futures (energy & precious metals) and the Gulf Cooperation Council (GCC) stock markets. Utilizing dynamic equicorrelation (DECO) models and the spillover ...

This special issue on financial networks seeks to bring novel methods and discussions to improve our understanding of financial markets. The bulk of the literature studies, interbank markets, or stock markets networks. ...