Riza Demirer

Southern Illinois University Edwardsville - Department of Economics & Finance

Professor of Finance

Department of Economics & Finance

Alumni Hall 3145

Edwardsville, IL 62026-1102

United States

http://www.siue.edu/~rdemire/

Economic Research Forum (ERF)

Research Fellow

21 Al-Sad Al-Aaly St.

(P.O. Box: 12311)

Cairo, Cairo

Egypt

http://erf.org.eg/affiliates/riza-demirer-3/

SCHOLARLY PAPERS

53

DOWNLOADS
Rank 13,264

SSRN RANKINGS

Top 13,264

in Total Papers Downloads

6,939

SSRN CITATIONS
Rank 12,114

SSRN RANKINGS

Top 12,114

in Total Papers Citations

108

CROSSREF CITATIONS

21

Scholarly Papers (53)

1.

On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-Scale Indicators

Quantitative Finance, Forthcoming.
Number of pages: 18 Posted: 28 Nov 2017 Last Revised: 23 Sep 2018
Southern Illinois University Edwardsville - Department of Economics & Finance, ETH Zürich, University of Pretoria - Department of Economics and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 727 (66,572)
Citation 7

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Financial bubble indicators, LPPL method, Markov switching, Predictability, Short interest

2.

Green Investments: A Luxury Good or a Financial Necessity?

Energy Economics, Vol. 105, No. 105745, 2022
Number of pages: 25 Posted: 04 Jun 2021 Last Revised: 10 Nov 2023
Imran Yousaf, Tahir Suleman and Riza Demirer
Wenzhou-Kean University - College of Business and Public Management, Wellington Institute of Technology and Southern Illinois University Edwardsville - Department of Economics & Finance
Downloads 314 (180,252)
Citation 5

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green bonds; clean energy stocks, Islamic markets, safe havens, COVID-19 crisis

3.

Commodity Financialization and Herd Behavior in Commodity Futures Markets

International Review of Financial Analysis, Vol. 39, 2015
Number of pages: 28 Posted: 17 May 2013 Last Revised: 28 Apr 2015
Riza Demirer, Hsiang-Tai Lee and Donald D. Lien
Southern Illinois University Edwardsville - Department of Economics & Finance, National Chi Nan University - Department of Finance and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 311 (182,114)
Citation 2

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herd behavior, commodity financialization, return dispersion, Markov Switching

4.

Economic Policy Uncertainty and Institutional Investment Returns: The Case of New Zealand

Pacific-Basin Finance Journal, Vol. 74, No. 101797, 2022
Number of pages: 35 Posted: 13 Apr 2022 Last Revised: 23 Aug 2023
Sara Ali, Ihsan Badshah, Riza Demirer and Prasad Hegde
Auckland University of Technology, Auckland University of Technology, Southern Illinois University Edwardsville - Department of Economics & Finance and Auckland University of Technology
Downloads 279 (203,893)

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Economic uncertainty, New Zealand EPU, News-Based EPU index, Cross-section of fund returns, ICAPM

5.

On the Short-Term Predictability of Stock Returns: A Quantile Boosting Approach

Number of pages: 15 Posted: 17 Oct 2016
Southern Illinois University Edwardsville - Department of Economics & Finance, University of the German Federal Armed Forces - Department of Economics and University of Edinburgh Business School
Downloads 243 (233,964)

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Stock returns, Predictability, Quantile boosting

6.

Market Regimes and Herding Behavior in Chinese A and B Shares

Number of pages: 41 Posted: 22 Sep 2012
University of New Haven, Southern Illinois University Edwardsville - Department of Economics & Finance and Drexel University - Lebow College of Business
Downloads 232 (244,767)
Citation 1

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Herding Behavior, Chinese A- and B-Shares, Dispersion Shocks, Markov-Switching

7.

Forecasting Realized Stock-Market Volatility: Do Industry Returns Have Predictive Value?

Number of pages: 1 Posted: 28 Jan 2021 Last Revised: 17 May 2024
Southern Illinois University Edwardsville - Department of Economics & Finance, University of Pretoria - Department of Economics and University of the German Federal Armed Forces - Department of Economics
Downloads 202 (278,546)

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Stock market, Realized volatility, Industry returns, Market efficiency and information

8.

Impact of Global Shocks and Volatility on Herd Behavior in an Emerging Market: Evidence from Borsa Istanbul

Emerging Markets Finance and Trade, Vol. 51, 2015
Number of pages: 34 Posted: 07 Nov 2013 Last Revised: 28 Apr 2015
Mehmet Balcilar and Riza Demirer
University of New Haven and Southern Illinois University Edwardsville - Department of Economics & Finance
Downloads 193 (290,330)
Citation 4

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Herd behavior, Emerging markets, Markov-switching, Time-varying probabilities, Multivariate synchronization

9.

Oil Price Shocks, Global Financial Markets and Their Connectedness

Energy Economics, Forthcoming
Number of pages: 37 Posted: 21 Feb 2020 Last Revised: 20 Apr 2020
Southern Illinois University Edwardsville - Department of Economics & Finance, Faculty of Economics. University of Valencia and Montpellier Business School
Downloads 190 (294,426)
Citation 19

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Crude oil, Stock market, Government bond market, oil price shocks, connectedness

10.

Herding and Flash Events: Evidence From the 2010 Flash Crash

Finance Research Letters, 2019
Number of pages: 9 Posted: 02 Nov 2018 Last Revised: 28 Dec 2018
Riza Demirer, Karyl Leggio and Donald D. Lien
Southern Illinois University Edwardsville - Department of Economics & Finance, Loyola University Maryland and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 176 (315,080)
Citation 2

Abstract:

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Herding, Flash Crash

11.

Risk and Return in the Chinese Stock Market: Does Equity Return Dispersion Proxy Risk?

Pacific-Basin Finance Journal, Vol. 33, 2015
Number of pages: 34 Posted: 28 Apr 2015
Lamar University, Southern Illinois University Edwardsville - Department of Economics & Finance and SIUE
Downloads 169 (326,345)

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Equity return dispersion, Asset pricing, Chinese stock market

12.

Investor Herds and Regime-Switching: Evidence from Gulf Arab Stock Markets

Number of pages: 40 Posted: 18 Sep 2012
University of New Haven, Southern Illinois University Edwardsville - Department of Economics & Finance and Drexel University - Lebow College of Business
Downloads 169 (326,345)
Citation 14

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herding, GCC stock markets, dispersion shocks, Markov-Switching

13.

Time-Varying Risk Aversion and Currency Excess Returns

Number of pages: 32 Posted: 06 Apr 2021
Southern Illinois University Edwardsville - Department of Economics & Finance, Isik University and Isik University-Department of Management
Downloads 168 (328,077)
Citation 1

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Exchange rate, Time-varying risk aversion, Risk premium

14.

The Effect of Economic Policy Uncertainty on Stock-Commodity Correlations and its Implications on Optimal Hedging

Number of pages: 24 Posted: 11 Sep 2018
Ihsan Badshah, Riza Demirer and Tahir Suleman
Auckland University of Technology, Southern Illinois University Edwardsville - Department of Economics & Finance and Wellington Institute of Technology
Downloads 166 (331,462)
Citation 9

Abstract:

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Commodity market, Policy uncertainty, Conditional correlation

15.

Oil Price Risk Exposure and the Cross-Section of Stock Returns: The Case of Net Exporting Countries

Energy Economics, Vol. 49, 2015
Number of pages: 37 Posted: 28 Apr 2015
Southern Illinois University Edwardsville - Department of Economics & Finance, SIUE and King Fahd University of Petroleum & Minerals (KFUPM)
Downloads 164 (334,925)
Citation 9

Abstract:

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Oil price risk, Financial market risk, Asset pricing, Equity returns

16.

Oil Beta Uncertainty and Global Stock Returns

Number of pages: 39 Posted: 28 Feb 2022
Chun-Da Chen and Riza Demirer
Lamar University and Southern Illinois University Edwardsville - Department of Economics & Finance
Downloads 163 (336,669)
Citation 1

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Oil price risk, Parameter uncertainty, Asset pricing, Equity returns

17.

Do Global Shocks Drive Investor Herds in Oil-Rich Frontier Markets?

Number of pages: 40 Posted: 10 Jan 2013
University of New Haven, Southern Illinois University Edwardsville - Department of Economics & Finance, Drexel University - Lebow College of Business and King Fahd University of Petroleum & Minerals (KFUPM)
Downloads 161 (340,307)
Citation 9

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Herding, Gulf Arab Stock Markets, Dispersion Shocks, Markov-Switching

18.

Is There a Role for Islamic Bonds in Global Diversification Strategies? An Empirical Analysis of Risk Transmissions and Dynamic Correlations

Number of pages: 36 Posted: 28 Apr 2015
Mehmet Balcilar, Gözde Çerçi and Riza Demirer
University of New Haven, Çukurova University and Southern Illinois University Edwardsville - Department of Economics & Finance
Downloads 159 (343,822)
Citation 1

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Volatility spillover, Islamic bonds, Dynamic correlations, International Diversification

19.

Anti-Herding by Hedge Funds, Idiosyncratic Volatility and Expected Returns

Number of pages: 33 Posted: 04 Mar 2022
Sara Ali, Ihsan Badshah and Riza Demirer
Auckland University of Technology, Auckland University of Technology and Southern Illinois University Edwardsville - Department of Economics & Finance
Downloads 154 (353,235)
Citation 1

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Hedge Funds, Herding Behavior, Fundamental Information, Idiosyncratic Volatility

20.

Does Economic Policy Uncertainty Connect Financial Markets? Evidence from Oil and Commodity Currencies

Number of pages: 39 Posted: 09 Jan 2019
Management Department, Politehnica University of Timisoara, Southern Illinois University Edwardsville - Department of Economics & Finance, University of Kent - Department of Economics and Indian Institute of Management Bodh Gaya
Downloads 154 (353,235)
Citation 10

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economic policy uncertainty, oil-currency nexus, nonlinear causality, frequency domain, volatility spillover

21.

Investor Sentiment and Crash Risk in Safe Havens

Number of pages: 19 Posted: 14 Feb 2018
Laboratoire BESTMOD, University of Johannesburg - Department of Economics and Econometrics, Southern Illinois University Edwardsville - Department of Economics & Finance and University of Pretoria - Department of Economics
Downloads 146 (368,942)
Citation 1

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Investor Sentiment, Safe Haven Assets, Intraday Returns, Crash Risk

22.

Oil and Stock Market Momentum

Energy Economics 68, 151-159 (2017).
Number of pages: 33 Posted: 11 Oct 2017 Last Revised: 23 Sep 2018
Chun-Da Chen, Chiao-Ming Cheng and Riza Demirer
Lamar University, ​ZhiDao Investment Management and Southern Illinois University Edwardsville - Department of Economics & Finance
Downloads 137 (387,742)

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Industry momentum, Crude oil, Market efficiency, Chinese stock market

23.

Does Speculation in the Oil Market Drive Investor Herding in Net Exporting Nations?

Number of pages: 34 Posted: 06 Apr 2016
Mehmet Balcilar, Riza Demirer and Talat Ulussever
University of New Haven, Southern Illinois University Edwardsville - Department of Economics & Finance and King Fahd University of Petroleum & Minerals (KFUPM) - Department of Finance & Economics (FINEC)
Downloads 136 (390,018)
Citation 1

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Herd behavior, Equity return dispersion, Crude Oil, Speculative ratio, Markov-switching

24.

The Conditional Relation between Dispersion and Return

Review of Financial Economics, Forthcoming
Number of pages: 37 Posted: 19 Apr 2013
Riza Demirer and Shrikant P. Jategaonkar
Southern Illinois University Edwardsville - Department of Economics & Finance and SIUE
Downloads 136 (390,018)

Abstract:

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Return dispersion, Conditional pricing effect, Asymmetric risk, Asset pricing

25.

Commodity-Currencies or Currency-Commodities: Evidence from Causality Tests

Resources Policy, 2019
Number of pages: 20 Posted: 04 Mar 2018 Last Revised: 28 Dec 2018
Ariel R. Belasen and Riza Demirer
Southern Illinois University - Department of Economics and Southern Illinois University Edwardsville - Department of Economics & Finance
Downloads 130 (404,064)
Citation 6

Abstract:

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Commodity-currency, exchange rates, volatility transmission, causality tests

26.

Climate Uncertainty and Investor Learning in Sustainable Funds

Number of pages: 47 Posted: 01 May 2023 Last Revised: 03 May 2023
Auckland University of Technology, Auckland University of Technology, Southern Illinois University Edwardsville - Department of Economics & Finance, Auckland University of Technology and University of Edinburgh Business School
Downloads 122 (423,814)

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Climate risk, Physical and transition risk, Investor learning, Fund flow-performance sensitivity

27.

Climate Uncertainty and Information Transmissions Across the Conventional and ESG Assets

Number of pages: 34 Posted: 01 Sep 2022
Copenhagen Business School, Southern Illinois University Edwardsville - Department of Economics & Finance, University of Central Oklahoma - Department of Economics and University of Edinburgh Business School
Downloads 120 (429,122)
Citation 2

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Climate risk, ESG investments, Dynamic connectedness, Hedging

28.

Do Industries Predict Stock Market Volatility? A High Frequency Perspective Based on a Machine Learning Approach

Number of pages: 1 Posted: 07 Apr 2023 Last Revised: 21 Jun 2023
Central South University, Southern Illinois University Edwardsville - Department of Economics & Finance, Department of Accounting and Finance, University of Otago, Central South University and Central South University
Downloads 117 (437,430)
Citation 1

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Gradual information diffusion, Industry and market volatility, Realized volatility, HAR model, Machine learning

29.

Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach

Number of pages: 32 Posted: 15 Jun 2016
University of Johannesburg - Department of Economics and Econometrics, Southern Illinois University Edwardsville - Department of Economics & Finance, University of Pretoria - Department of Economics and University of the German Federal Armed Forces - Department of Economics
Downloads 117 (437,430)

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Gold futures returns, Realized volatility, Realized skewness, Forecasting, Quantile

30.

Oil Price Shocks and Cost of Capital: Does Market Liquidity Play a Role?

Number of pages: 39 Posted: 29 Jun 2022
Tina Prodromou and Riza Demirer
The University of Wollongong and Southern Illinois University Edwardsville - Department of Economics & Finance
Downloads 109 (460,942)
Citation 1

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Crude oil, Stock market, Cost of capital, Oil price shocks, Liquidity

31.

Cross-Border Capital Flows and Information Spillovers across the Equity and Currency Markets in Emerging Economies

Number of pages: 37 Posted: 10 May 2021
Queen Mary University of London, Southern Illinois University Edwardsville - Department of Economics & Finance, Faculty of Economics. University of Valencia and University of Ibadan - Department of Economics
Downloads 102 (483,234)
Citation 1

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Capital flows, Emerging markets, Connectedness, Quantile causality

32.

Bitcoin mining activity and volatility dynamics in the power market

Number of pages: 11 Posted: 05 Oct 2021
Sayar Karmakar, Riza Demirer and Rangan Gupta
University of Florida, Southern Illinois University Edwardsville - Department of Economics & Finance and University of Pretoria - Department of Economics
Downloads 101 (486,472)
Citation 3

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Time-varying, GARCH, Bitcoin, Electricity returns

33.

Monetary Policy and Speculative Spillovers in Financial Markets

Number of pages: 21 Posted: 12 May 2020
Riza Demirer, David Gabauer and Rangan Gupta
Southern Illinois University Edwardsville - Department of Economics & Finance, Johannes Kepler University and University of Pretoria - Department of Economics
Downloads 98 (496,361)

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Monetary Policy, Speculation, TVP-VAR, Dynamic Connectedness, Quantiles

34.

Can Advanced Markets Help Diversify Risks in Frontier Stock Markets? Evidence from Gulf Arab Stock Markets

Research in International Business and Finance, Forthcoming
Number of pages: 37 Posted: 22 Sep 2012 Last Revised: 11 Apr 2013
Riza Demirer
Southern Illinois University Edwardsville - Department of Economics & Finance
Downloads 96 (503,136)
Citation 1

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Portfolio Diversification, Downside risk, Return dispersion, Correlation index, GCC

35.

The Profitability of Herding: Evidence from Taiwan

Managerial Finance, Forthcoming
Number of pages: 24 Posted: 27 Nov 2017
Chun-Da Chen and Riza Demirer
Lamar University and Southern Illinois University Edwardsville - Department of Economics & Finance
Downloads 95 (506,607)
Citation 2

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Herding, State-Space Model, Return Dispersion

36.

A Note on the Technology Herd: Evidence from Large Institutional Investors

Review of Behavioral Finance, Forthcoming
Number of pages: 17 Posted: 20 Mar 2018
University of New Haven - Economics, Southern Illinois University Edwardsville - Department of Economics & Finance, University of Pretoria - Department of Economics and University of Johannesburg
Downloads 85 (543,003)

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Herding, Institutional investors, Causality, Technology stocks

37.

Economic Policy Uncertainty and Fund Flow Performance Sensitivity: Evidence from New Zealand

Number of pages: 12 Posted: 27 Jun 2022
Sara Ali, Ihsan Badshah, Riza Demirer and Prasad Hegde
Auckland University of Technology, Auckland University of Technology, Southern Illinois University Edwardsville - Department of Economics & Finance and Auckland University of Technology
Downloads 79 (567,301)

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Economic policy uncertainty, New Zealand EPU, investor learning, fund flow performance sensitivity

38.

The U.S. Term Structure and Return Volatility in Emerging Stock Markets

Number of pages: 32 Posted: 01 Apr 2019
Southern Illinois University Edwardsville - Department of Economics & Finance, Isik University and Isik University-Department of Management
Downloads 76 (580,147)
Citation 1

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Term structure of interest rates, Stock market volatility, Expectations factor, Maturity premium

39.

Regional and Global Spillovers and Diversification Opportunities in the GCC-Wide Equity Sectors Across Market Regimes

Number of pages: 45 Posted: 28 May 2014
University of New Haven, Southern Illinois University Edwardsville - Department of Economics & Finance and Drexel University - Lebow College of Business
Downloads 75 (584,524)
Citation 1

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GCC-wide equity sectors, Multivariate regime-switching, Time-varying correlations, Financial integration, International portfolio diversification

40.

Presidential Cycles and Time-Varying Bond-Stock Market Correlations: Evidence from More than Two Centuries of Data

Economics Letters 167, 36-39, 2018.
Number of pages: 11 Posted: 15 Mar 2018 Last Revised: 23 Sep 2018
Riza Demirer and Rangan Gupta
Southern Illinois University Edwardsville - Department of Economics & Finance and University of Pretoria - Department of Economics
Downloads 73 (593,301)

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Conditional correlation, GARCH, Bond and Stock Returns Comovement, US Presidential Cycles

41.

Unemployment Fluctuations and Currency Returns in the United Kingdom: Evidence from Over One and a Half Century of Data

Number of pages: 22 Posted: 28 Jan 2021
Queen Mary University of London, Southern Illinois University Edwardsville - Department of Economics & Finance, University of Pretoria - Department of Economics and University of Cape Town (UCT), Faculty of Commerce, Graduate School of Business, Students
Downloads 61 (651,715)

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Time-varying Granger Causality, GARCH, DCC-MGARCH, Unemployment, Exchange rates

42.

U.S. Monetary Policy and the Predictability of Global Economic Synchronization Patterns

Number of pages: 31 Posted: 13 May 2020 Last Revised: 18 May 2020
Mehmet Balcilar and Riza Demirer
University of New Haven and Southern Illinois University Edwardsville - Department of Economics & Finance
Downloads 59 (662,415)
Citation 2

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Output gap, Business cycles, Quantile causality, Predictability

43.

Are Reversals Predictable in Emerging Stock Markets? The Role of Market States and Global Factors

Research in International Business and Finance vol. 42, 2017.
Number of pages: 29 Posted: 11 Oct 2017
Southern Illinois University Edwardsville - Department of Economics & Finance, Isik University and Isik University-Department of Management
Downloads 59 (662,415)

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Reversals, Emerging Markets, Oil Price, Borsa Istanbul

44.

Technological Shocks and Stock Market Volatility Over a Century

Number of pages: 36 Posted: 09 Jun 2023
Afees Salisu, Riza Demirer and Rangan Gupta
Centre for Econometrics and Applied Research, Southern Illinois University Edwardsville - Department of Economics & Finance and University of Pretoria
Downloads 46 (740,203)
Citation 1

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Patents, Technology shocks, Stock market volatility, Forecasting

45.

Flexible Time‐Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold

Balcilar M, Demirer R, Bekun FV. Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold. Mathematics. 2021; 9(8):915. https://doi.org/10.3390/math9080915
Number of pages: 21 Posted: 21 Apr 2021
Mehmet Balcilar, Riza Demirer and Festus Bekun
University of New Haven, Southern Illinois University Edwardsville - Department of Economics & Finance and Istanbul Gelisim University - Faculty of Economics Administrative and Social Sciences
Downloads 40 (782,336)

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ime‐varying beta, risk premium, asset pricing, bayesian estimation, thresholds

46.

Do Oil Price Shocks Drive Risk Premia in Stock Markets? A Novel Investment Application

Number of pages: 42 Posted: 06 Mar 2024
Riza Demirer, Onur Polat and Amin Sokhanvar
Southern Illinois University Edwardsville - Department of Economics & Finance, Bilecik Seyh Edebali University and affiliation not provided to SSRN
Downloads 30 (861,616)

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Oil price shocks, Equity market, Risk premia, Factor investing.

47.

Does Economic Policy Uncertainty Weaken Investor Learning About Fund Manager Ability Across the World?

Posted: 11 May 2024
Sara Ali, Ihsan Badshah, Riza Demirer and Prasad Hegde
Auckland University of Technology, Auckland University of Technology, Southern Illinois University Edwardsville - Department of Economics & Finance and Auckland University of Technology

Abstract:

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Economic policy uncertainty; Fund flow performance sensitivity; Investor learning; Investment funds

48.

Oil and Risk Premia in Equity Markets

Studies in Economics and Finance
Posted: 14 Nov 2019 Last Revised: 26 Aug 2020
Satish Kumar, Riza Demirer and Aviral Kumar Tiwari
ICFAI Foundation for Higher Education (IFHE), Southern Illinois University Edwardsville - Department of Economics & Finance and Indian Institute of Management Bodh Gaya

Abstract:

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Quantile, Correlogram, Predictability, Oil return, Risk premia

49.

Global Risk Aversion and Emerging Market Return Comovements

Economics Letters, Forthcoming.
Posted: 23 Oct 2018
Southern Illinois University Edwardsville - Department of Economics & Finance, Cankaya University, Isik University and Isik University-Department of Management

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Time-varying correlation, Risk aversion, International equity markets

50.

Do Firm Characteristics Matter in Explaining the Herding Effect on Returns?

Review of Financial Economics, 2018
Posted: 15 Mar 2018 Last Revised: 24 Jun 2018
Riza Demirer and Huacheng Zhang
Southern Illinois University Edwardsville - Department of Economics & Finance and University of Edinburgh Business School

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Anomalies, Industry herding, Asset pricing

51.

Does Herding Behavior Exist in Chinese Stock Markets?

Int. Fin. Markets, Inst. and Money 16 (2006) 123–142
Posted: 20 Sep 2012
Riza Demirer and Ali M. Kutan
Southern Illinois University Edwardsville - Department of Economics & Finance and Southern Illinois University at Edwardsville

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Herd behavior, Equity return dispersion, Chinese financial markets

52.

The Effect of Ethanol Listing on Corn Prices: Evidence from Spot and Futures Markets

Energy Economics, Vol. 34, pp. 1400-1406, 2012
Posted: 19 Sep 2012
Riza Demirer, Ali M. Kutan and Fanglin Shen
Southern Illinois University Edwardsville - Department of Economics & Finance, Southern Illinois University at Edwardsville and Kent State University - College of Business Administration

Abstract:

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Listing effect, Ethanol listing, Corn futures, Energy policy

53.

Do Investors Herd in Emerging Stock Markets?: Evidence from the Taiwanese Market

Journal of Economic Behavior & Organization 76 (2010) 283-295
Posted: 19 Sep 2012
Riza Demirer, Ali M. Kutan and Chun-Da Chen
Southern Illinois University Edwardsville - Department of Economics & Finance, Southern Illinois University at Edwardsville and Lamar University

Abstract:

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Herd behavior, Taiwan stock exchange, Non-linear and state space models