Riza Demirer

Southern Illinois University Edwardsville - Department of Economics & Finance

Professor of Finance

Department of Economics & Finance

Alumni Hall 3144

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

32

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CITATIONS
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31

Scholarly Papers (32)

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 Zurich, University of Pretoria - Department of Economics and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 258 (117,469)

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

2.

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 206 (146,625)
Citation 1

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herd behavior, commodity financialization, return dispersion, Markov Switching

3.

Market Regimes and Herding Behavior in Chinese A and B Shares

Number of pages: 41 Posted: 22 Sep 2012
Eastern Mediterranean University, Southern Illinois University Edwardsville - Department of Economics & Finance and Montpellier Business School
Downloads 160 (183,936)
Citation 1

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

4.

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
Eastern Mediterranean University and Southern Illinois University Edwardsville - Department of Economics & Finance
Downloads 119 (233,005)

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

5.

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

Number of pages: 40 Posted: 18 Sep 2012
Eastern Mediterranean University, Southern Illinois University Edwardsville - Department of Economics & Finance and Montpellier Business School
Downloads 118 (234,507)
Citation 1

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

6.

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 Southern Illinois University at Edwardsville - Department of Economics
Downloads 115 (238,923)

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Equity return dispersion, Asset pricing, Chinese stock market

7.

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, Southern Illinois University at Edwardsville - Department of Economics and King Fahd University of Petroleum & Minerals (KFUPM)
Downloads 102 (259,940)

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

8.

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
Eastern Mediterranean University, Çukurova University and Southern Illinois University Edwardsville - Department of Economics & Finance
Downloads 97 (268,682)
Citation 1

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Volatility spillover, Islamic bonds, Dynamic correlations, International Diversification

9.

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 Southern Illinois University at Edwardsville - Department of Economics
Downloads 96 (270,476)

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

10.

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

Number of pages: 40 Posted: 10 Jan 2013
Eastern Mediterranean University, Southern Illinois University Edwardsville - Department of Economics & Finance, Montpellier Business School and King Fahd University of Petroleum & Minerals (KFUPM)
Downloads 94 (274,245)
Citation 2

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

11.

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 Southwestern University of Finance and Economics - Institute of Financial Studies
Downloads 86 (290,182)

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Stock returns, Predictability, Quantile boosting

12.

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 64 (343,133)

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

13.

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 62 (348,709)

Abstract:

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Herding, Flash Crash

14.

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 at Edwardsville - Department of Economics and Southern Illinois University Edwardsville - Department of Economics & Finance
Downloads 61 (351,557)

Abstract:

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

15.

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
Eastern Mediterranean University, Southern Illinois University Edwardsville - Department of Economics & Finance and King Fahd University of Petroleum & Minerals (KFUPM) - Department of Finance & Economics (FINEC)
Downloads 58 (360,340)
Citation 1

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

16.

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 55 (369,705)

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

17.

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 Co., Ltd. and Southern Illinois University Edwardsville - Department of Economics & Finance
Downloads 50 (385,852)

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

18.

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 42 (414,156)
Citation 1

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Commodity market, Policy uncertainty, Conditional correlation

19.

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

Number of pages: 45 Posted: 28 May 2014
Eastern Mediterranean University, Southern Illinois University Edwardsville - Department of Economics & Finance and Montpellier Business School
Downloads 40 (421,750)

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

20.

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

Number of pages: 39 Posted: 09 Jan 2019
Politehnica University of Timisoara, Southern Illinois University Edwardsville - Department of Economics & Finance, University of Kent - Department of Economics and IFHE University (ICFAI) - Faculty of Management
Downloads 37 (433,927)

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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 34 (446,303)
Citation 1

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

22.

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 31 (459,746)

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Herding, Institutional investors, Causality, Technology stocks

23.

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 27 (479,385)

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Herding, State-Space Model, Return Dispersion

24.

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 21 (512,834)

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Reversals, Emerging Markets, Oil Price, Borsa Istanbul

25.

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 20 (518,598)

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

26.

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 12 (565,995)

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

27.

The Predictive Power of Industrial Electricity Usage Revisited: Evidence from Non‐Parametric Causality Tests

OPEC Energy Review, Vol. 42, Issue 2, pp. 93-106, 2018
Number of pages: 14 Posted: 18 Sep 2018
Matteo Bonato, Riza Demirer and Rangan Gupta
University of Johannesburg - Department of Economics and Econometrics, Southern Illinois University Edwardsville - Department of Economics & Finance and University of Pretoria - Department of Economics
Downloads 1 (647,983)
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28.

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

29.

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 Southwestern University of Finance and Economics - Institute of Financial Studies

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Anomalies, Industry herding, Asset pricing

30.

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

31.

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

32.

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

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