Riza Demirer

Southern Illinois University Edwardsville - Department of Economics & Finance

Associate Professor

Department of Economics & Finance

Alumni Hall 3144

Edwardsville, IL 62026-1102

United States

http://www.siue.edu/business/econfin/facpages/Demirer.shtml

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 32,097

SSRN RANKINGS

Top 32,097

in Total Papers Downloads

1,046

CITATIONS

0

Scholarly Papers (17)

1.

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 Drexel University - Lebow College of Business
Downloads 106 (172,684)

Abstract:

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

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 92 (159,312)

Abstract:

herd behavior, commodity financialization, return dispersion, Markov Switching

3.

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 72 (235,765)

Abstract:

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

4.

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 Drexel University - Lebow College of Business
Downloads 66 (230,814)

Abstract:

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

5.

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, Drexel University - Lebow College of Business and King Fahd University of Petroleum & Minerals (KFUPM)
Downloads 65 (244,793)

Abstract:

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

6.

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 57 (239,353)

Abstract:

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

7.

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 Universtiy, Southern Illinois University Edwardsville - Department of Economics & Finance and Southern Illinois University at Edwardsville - Department of Economics
Downloads 45 (246,730)

Abstract:

Equity return dispersion, Asset pricing, Chinese stock market

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
Eastern Mediterranean University and Southern Illinois University Edwardsville - Department of Economics & Finance
Downloads 42 (232,428)

Abstract:

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

9.

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 38 (321,529)

Abstract:

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

10.

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 21 (268,758)

Abstract:

Volatility spillover, Islamic bonds, Dynamic correlations, International Diversification

11.

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 Drexel University - Lebow College of Business
Downloads 21 (367,171)

Abstract:

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

12.

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
Downloads 0 (321,529)

Abstract:

Stock returns, Predictability, Quantile boosting

13.

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, 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 0 (352,896)

Abstract:

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

14.

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 0 (363,456)

Abstract:

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

15.

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

Abstract:

Herd behavior, Equity return dispersion, Chinese financial markets

16.

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 Universtiy

Abstract:

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

17.

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:

Listing effect, Ethanol listing, Corn futures, Energy policy