Outputs (25)

The impact of COVID-19 related policy interventions on international systemic risk (2023)
Journal Article
Bevilacqua, M., Duygun, M., & Vioto, D. (2023). The impact of COVID-19 related policy interventions on international systemic risk. Journal of International Financial Markets, Institutions and Money, 89, Article 101859. https://doi.org/10.1016/j.intfin.2023.101859

We examine the relationship between systemic risk, its traditional financial and economic determinants, and the COVID-19 related policy interventions in an international framework. The COVID-19 outbreak period represents for us an ideal hub to test t... Read More about The impact of COVID-19 related policy interventions on international systemic risk.

ESG complementarities in the US economy (2022)
Journal Article
Duygun, M., Hall, S., Kenjegalieva, A., & Kenjegaliev, A. (2024). ESG complementarities in the US economy. European Journal of Finance, 30(7), 753-771. https://doi.org/10.1080/1351847x.2022.2157300

This paper investigates ESG from the perspective of changes in input elasticities of substitution and complementarity. Rather than compute these elasticities from the cost function, we compute them from the Input Distance Function (IDF). Our data are... Read More about ESG complementarities in the US economy.

Herding by corporates in the US and the Eurozone through different market conditions (2020)
Journal Article
Duygun, M., Tunaru, R., & Vioto, D. (2021). Herding by corporates in the US and the Eurozone through different market conditions. Journal of International Money and Finance, 110, Article 102311. https://doi.org/10.1016/j.jimonfin.2020.102311

In this study, we test the herding towards a market consensus in the main financial industries of the United States and the Eurozone equity markets. We find that herding is more likely to be present in high quantiles that reflects turbulent market co... Read More about Herding by corporates in the US and the Eurozone through different market conditions.

Monitoring market participants, externals and financial transactions in a global financial stability environment (2020)
Journal Article
Duygun, M., Miao, J., & Östberg, P. (2020). Monitoring market participants, externals and financial transactions in a global financial stability environment. Journal of Banking and Finance, 119, Article 105937. https://doi.org/10.1016/j.jbankfin.2020.105937

The existing economic and financial literature has documented the importance of informed trades, volatility spreads and the stock market response to key financial events that can threaten domestic and global financial stability. After the Global Fina... Read More about Monitoring market participants, externals and financial transactions in a global financial stability environment.

Quo Vadis, Raters? A frontier approach to identify overratings and underratings in sovereign credit risk (2020)
Journal Article
Öztürk, H., Tortosa-Ausina, E., Duygun, M., & Shaban, M. (2020). Quo Vadis, Raters? A frontier approach to identify overratings and underratings in sovereign credit risk. European Journal of Finance,

This study analyses overratings and underratings in sovereign credit risk. The analysis uses partial frontier methods, a technique rarely applied in this literature. By combining a robust variant of the free disposal hull (FDH) estimator, we measure... Read More about Quo Vadis, Raters? A frontier approach to identify overratings and underratings in sovereign credit risk.

Challenges to global financial stability: Interconnections, credit risk, business cycle and the role of market participants (2020)
Journal Article
Duygun, M., Ladley, D., & Shaban, M. (2020). Challenges to global financial stability: Interconnections, credit risk, business cycle and the role of market participants. Journal of Banking and Finance, 112, 105735. https://doi.org/10.1016/j.jbankfin.2020.105735

The worldwide financial crisis (WFC) of 2007-09 has shown the importance of cross-sectional dependencies of assets, credit exposures and volatility, which can threaten domestic and global financial stability through cascades in financial networks. A... Read More about Challenges to global financial stability: Interconnections, credit risk, business cycle and the role of market participants.

Bankruptcy prediction with financial systemic risk (2019)
Journal Article
Jia, Z., Shi, Y., Yan, C., & Duygun, M. (2020). Bankruptcy prediction with financial systemic risk. European Journal of Finance, 26(7-8), 666-690. https://doi.org/10.1080/1351847X.2019.1656095

Financial systemic risk-defined as the risk of collapse of an entire financial system vis-à-vis any one individual financial institution-is making inroads into academic research in the aftermath of the late 2000s Global Financial Crisis. We shed ligh... Read More about Bankruptcy prediction with financial systemic risk.

Modeling Price Volatility based on a Genetic Programming Approach (2019)
Journal Article
Ding, S., Zhang, Y., & Duygun, M. (2019). Modeling Price Volatility based on a Genetic Programming Approach. British Journal of Management, 30(2), 328-340. https://doi.org/10.1111/1467-8551.12359

Business profitability is highly dependent on risk management strategies to hedge future cash flow uncertainty. Commodity price shocks and fluctuations are key risks for companies with global supply chains. The purpose of this paper is to show how Ar... Read More about Modeling Price Volatility based on a Genetic Programming Approach.

Derivatives pricing with liquidity risk (2019)
Journal Article
Zhang, Y., Ding, S., & Duygun, M. (2019). Derivatives pricing with liquidity risk. Journal of Futures Markets, 39(11), 1471-1485. https://doi.org/10.1002/fut.22008

This paper develops a novel, general derivative pricing model which introduces a liquidity risk factor. The model variants we outline offer a sufficient degree of flexibility so as to enable the valuation of various types of derivative classes includ... Read More about Derivatives pricing with liquidity risk.

Dividend policy of Indonesian listed firms: the role of families and the state (2018)
Journal Article
Duygun, M., Guney, Y., & Moin, A. (2018). Dividend policy of Indonesian listed firms: the role of families and the state. Economic Modelling, 75, 336-354. https://doi.org/10.1016/j.econmod.2018.07.007

We investigate factors influencing the dividend policy of the listed Indonesian firms by focusing on agency costs and ownership structure. Our study finds that firms with higher conflicts of interest among managers and shareholders pay lower dividend... Read More about Dividend policy of Indonesian listed firms: the role of families and the state.