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On Cryptocurrencies as an Independent Asset Class: Long-Horizon and COVID-19 Pandemic Era Decoupling from Global Sentiments
In: Finance Research Letters, Forthcoming
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DAO Disruption Across Industries
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Testing for a common Phillips curve in common monetary area of Southern Africa
In: Journal of economic studies, Band 47, Heft 6, S. 1401-1436
ISSN: 1758-7387
PurposeThis paper sets out to investigate whether the four members of the common monetary area (CMA) regime experience similar inflation-unemployment dynamics as explained by the Phillips Curve phenomenon.Design/methodology/approachThis study uses a combination of seemingly unrelated regression (SUR) and Copula based marginal regression techniques to investigate existence of a common Phillips curve (PC) between members of the CMA. Model estimation was done using country specific annual time series data for inflation, unemployment and imports spanning from 1980 to 2014.FindingsWe find evidence of contemporaneous correlation between the residuals of individual CMA PC equations and a statistically significant trade-off between inflation and unemployment for all CMA countries. Wald test results of cross-equation restrictions reveal a 9.94% chance of a common unemployment coefficient for CMA countries.Originality/valueTogether, the results of the SUR and Gaussian Copula techniques provide mixed and inconclusive evidence to support the existence of a common PC among CMA member states. This study is the first of its kind in examining this phenomenon for currency board regimes like CMA, and one of the very few among emerging market economies.
Ex-post effects of circuit breakers in crisis and calm markets: Long horizon evidence from wide-band Malaysian price limits
In: Journal of economic studies, Band 47, Heft 2, S. 333-350
ISSN: 1758-7387
PurposeDespite regulatory claims of straitening volatility and preventing crashes, evidences on circuit breakers' ability to achieve so are nonconclusive. While previous scholars studies general performances of circuit breakers, the authors examine whether Malaysian price limits aggravate volatility, impede price discovery, and interfere with trading activities in both tranquil and stressful periods.Design/methodology/approachThe study uses a combination of parametric and nonparametric techniques consistent with Kim and Rhee (1997) to examine the major ex-post hypotheses in circuit breaker research.FindingsFor calm markets, the authors find significant success of upper limits in tempering volatility with low trading interference. Lower limits show mixed results. Conversely, in crisis markets limits fare poorly in nearly all aspects, particularly for lower limits.Practical implicationsRamifications of the paper's findings are discussed through highlighting the asymmetric nature of price limits' ex-post effects. The paper also contributes to regulatory debate surrounding the quest for an optimal price limit.Originality/valueThe paper is the first of its kind in documenting long-horizon evidence of ex-post effects of a wide-band price limit. Moreover, the paper is unique in its approach in bifurcating circuit breaker performance along the line of market stability periods.
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Suspicious Trading in Nonfungible Tokens (Nfts): Evidence from Wash Trading
In: EL54362
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Marital Status and CEO Dismissal
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