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The aim of this study was to determine if there are asymmetries in the pass-through of West Texas Intermediate (WTI) crude oil prices to its derivatives (diesel and gasoline) in the Brazilian market.

Initially, the future WTI oil price series was analyzed using the self-exciting threshold autoregressive (SETAR) and logistic smooth transition autoregressive (LSTAR) non-linear models. Subsequently, the threshold autoregressive error-correction model (TAR-ECM) and Markov-switching model were used.

The findings indicated high prices throughout 2008 due to the subprime crisis. The findings indicated high prices throughout 2008 due to the subprime crisis. The results indicated that there is long-term pass-through of oil prices in both methods, suggesting an equilibrium adjustment in the prices of diesel and gasoline in the analyzed period. Regarding the short term, the variations in contemporary crude oil prices have positive effects on the variations in fuel prices. Lastly, this behavior can partly be explained by the internal price management structure adopted during almost all of the analyzed period.

This paper contributes to the literature at some points. The first contribution is the modeling of the oil price series through non-linear models, further enriching the literature on the recent behavior of this time series. The second is the simultaneous use of the TAR-ECM and Markov-switching model to capture possible short- and long-term asymmetries in the pass-through of prices, as few studies have applied these methods to the future price of oil. The third and main contribution is the investigation of whether there are asymmetries in the transfer of oil prices to the price of derivatives in Brazil. So far, no work has investigated this issue, which is very relevant to the country.

The main purpose of this paper is to investigate the dynamic effects of the oil price shocks on Iran’s inflation in the period 1993:2–2018:2

The main purpose of this paper is to investigate the dynamic effects of the oil price shocks on Iran’s inflation in the period 1993:2–2018:2 using the time-varying parameter vector autoregressive (TVP-VAR) model. The dynamics of the results enable us to study the amount and severity of the impact of the oil price shocks on inflation with the distinction of the sanctioned and non-sanctioned periods. The volume of oil export is used to identify the effective oil sanctions. The period is divided into sanctioned and non-sanctioned periods by Markov switching model.

The results show that the pass-through of oil price shocks into Iran’s inflation are time-varying, and there are significant differences at sanction period from other time horizons. An increase in oil price has a positive effect on inflation and its effects are stronger during the sanctions period. It is also observed that the producer price index is more sensitive to changes in the oil price than the consumer price index. The necessity of the government’s earnest efforts to improve international relations to lift the sanctions, along with diversification of exports, and making the economy of Iran independent of oil revenues is obvious.

In addition to the exogenous oil price shocks, Iran’s economy faces numerous restrictions for its oil exports due to the sanctions. The main purpose of this paper is to investigate the dynamics effects of the oil price shocks on Iran’s inflation in the period 1993:2–2018:2 using the time-varying parameter vector autoregressive (TVP-VAR) model. The dynamics of the results enable us to study the amount and severity of the impact of the oil price shocks on inflation with the distinction of the sanctioned and non-sanctioned periods. The volume of oil export is used to identify the effective oil sanctions.

The purpose of this paper is to bridge the gap between the existing theoretical and empirical studies by examining the asymmetric return–volume relationship. Indeed, the authors aim to shed light on the return–volume linkages for French-listed small and medium-sized enterprises (SMEs) compared to blue chips across different market regimes.

This study includes both large capitalizations included in the CAC 40 index and listed SMEs included in the Euronext Growth All Share index. The Markov-switching (MS) approach is applied to understand the asymmetric relationship between trading volume and stock returns. The study investigates also the causal impact between stock returns and trading volume using regime-dependent Granger causality tests.

Asymmetric contemporaneous and lagged relationships between stock returns and trading volume are found for both large capitalizations and listed SMEs. However, the causality investigation reveals some differences between large capitalizations and SMEs. Indeed, causal relationships depend on market conditions and the size of the market.

This paper explains the asymmetric return–volume relationship for both large capitalizations and listed SMEs by incorporating several psychological biases, such as the disposition effect, investor overconfidence and self-attribution bias. Future research needs to deepen the analysis especially for SMEs as most of the literature focuses on large capitalizations.

This empirical study has fundamental implications for portfolio management. The findings provide a deeper understanding of how trading activity impact current returns and vice versa. The authors’ results constitute an important input to build and control trading strategies.

This paper fills the literature gap on the asymmetric return–volume relationship across different regimes. To the best of the authors’ knowledge, the present study is the first empirical attempt to test the asymmetric return–volume relationship for listed SMEs by using an accurate MS framework.

This paper researches a bidirectional volatility transmission effect between stocks and exchange rate markets in the six East European and Eurasian countries.

Research process involves creation of transitory and permanent volatilities via optimal component generalized autoregressive heteroscedasticity (CGARCH) model, while these volatilities are subsequently embedded in Markov switching model.

This study’s results indicate that bidirectional volatility transmission exists between the markets in the selected countries, whereas the effect from exchange rate to stocks is stronger than the other way around in both short-term and long-term. In particular, the authors find that long-term spillover effect from exchange rate to stocks is stronger than the short-term counterpart in all countries, which could suggest that flow-oriented model better explains the nexus between the markets than portfolio-balance approach. On the other hand, short-term volatility transfer from stock to exchange rate is stronger than its long-term equivalent.

This suggests that portfolio-balance theory also has a role in explaining the transmission effect from stock to exchange rate market, but a decisive fact is from which direction spillover effect is observed.

This paper is the first one that analyses the volatility nexus between stocks and exchange rate in short and long term in the four East European and two Eurasian countries.

We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the early exercise privilege. Our analysis demonstrates that, under these conditions, the perpetual put option consistently commands a higher price during periods of high volatility compared to those of low volatility. Moreover, we establish that the optimal exercise boundary is lower in high-volatility regimes than in low-volatility regimes. Additionally, we develop an analytical framework to describe American puts with an Erlang-distributed random-time horizon, which allows us to propose a numerical technique for approximating the value of American puts with finite expiry. We also show that a combined approach involving randomization and Richardson extrapolation can be a robust numerical algorithm for estimating American put prices with finite expiry.

The current paper proposes a prediction model for a cryptocurrency that encompasses three properties observed in the markets for cryptocurrencies—namely high volatility, illiquidity, and regime shifts. As far as the authors’ knowledge extends, this paper is the first attempt to introduce a stochastic differential equation (SDE) for pricing cryptocurrencies while explicitly integrating the mentioned three significant stylized facts.

Cryptocurrencies are increasingly utilized by investors and financial institutions worldwide as an alternative means of exchange. To the authors’ best knowledge, there is no SDE in the literature that can be used for representing and evaluating the data-generating process for the price of a cryptocurrency.

By using Ito calculus, the authors provide a solution for the suggested SDE along with mathematical proof. Numerical simulations are performed and compared to the real data, which seems to capture the dynamics of the price path of two main cryptocurrencies in the real markets.

The stochastic differential model that is introduced and solved in this article is expected to be useful for the pricing of cryptocurrencies in situations of high volatility combined with structural changes and illiquidity. These attributes are apparent in the real markets for cryptocurrencies; therefore, accounting explicitly for these underlying characteristics is a necessary condition for accurate evaluation of cryptocurrencies.

Monetary policy has major impacts on macroeconomic indicators of the country. Accordingly, uncertainty regarding monetary policy shifts can cause challenges and risks for businesses, financial markets and investors. Thus, the purpose of this study is to investigate how real estate market volatility responds to monetary policy uncertainty.

The GARCH-MIDAS model is applied in this study to investigate the nexus between monetary policy uncertainty and real estate market volatility. This model was fundamentally instituted to accommodate low-frequency variables.

The results of this study reveal that increased monetary policy uncertainty highly affects the volatility in real estate market during the peak period of COVID-19 as compared to full sample period and COVID-19 recovery period; hence, a significant decline is evident in real estate market volatility during crisis.

This study is particularly focused on peak and recovery period of COVID-19 considering the geographical region of Greece, Japan and the USA. This study provides a complete perspective on the nexus between monetary policy uncertainty and real estate markets volatility in three distinct economic views.

Given the dearth of thorough summaries in the literature, this systematic review and bibliometric analysis attempt to take a meticulous approach meant to present knowledge on the constantly developing subject of stock market volatility during crises. In outline, this study aims to map the extant literature available on stock market volatility during crisis periods.

The present study reviews 1,283 journal articles from the Scopus database published between 1994 and 2022, using the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) 2020 flow diagram. Bibliometric analysis through software like R studio and VOSviewer has been performed, that is, annual publication trend analysis, journal analysis, citation analysis, author influence analysis, analysis of affiliations, analysis of countries and regions, keyword analysis, thematic mapping, co-occurrence analysis, bibliographic coupling, co-citation analysis, Bradford’s law and Lotka’s law, to map the existing literature and identify the gaps.

The literature on the effects of crises on volatility in financial markets has grown in recent years. It was discovered that volatility intensified during crises. This increased volatility can be linked to COVID-19 and the global financial crisis of 2008, as both had massive effects on the world economy. Moreover, we identify specific patterns and factors contributing to increased volatility, providing valuable insights for further research and decision-making.

The present study is confined to the areas of economics, econometrics and finance, business, management and accounting and social sciences. Future studies could be conducted considering a broader perspective.

Most of the available literature has focused on the impact of some particular crises on the volatility of financial markets. The present study is not limited to some specific crises, and the suggested research directions will serve as a guide for future research.

The article aims to establish whether the degree of aversion to inflation and the responsiveness to deviations from potential output have changed over time.

This paper assesses time variation in monetary policy rules by applying a time-varying parameter generalised methods of moments (TVP-GMM) framework.

Using monthly data until December 2022 for five inflation targeting countries (the UK, Canada, Australia, New Zealand, Sweden) and five countries with alternative monetary regimes (the US, Japan, Denmark, the Euro Area, Switzerland), we find that monetary policy has become more averse to inflation and more responsive to the output gap in both sets of countries over time. In particular, there has been a clear shift in inflation targeting countries towards a more hawkish stance on inflation since the adoption of this regime and a greater response to both inflation and the output gap in most countries after the global financial crisis, which indicates a stronger reliance on monetary rules to stabilise the economy in recent years. It also appears that inflation targeting countries pay greater attention to the exchange rate pass-through channel when setting interest rates. Finally, monetary surprises do not seem to be an important determinant of the evolution over time of the Taylor rule parameters, which suggests a high degree of monetary policy transparency in the countries under examination.

It provides new evidence on changes over time in monetary policy rules.

This paper deeply investigates the herd behavior of the Egyptian mutual funds under changing and different conditions of the market pre- and post-events and compares the impact of asymmetric risk conditions on the herding behavior of the Egyptian mutual funds in both up and down markets.

We test for the existence of herding for the whole period from 2003 to 2022, as well as for the pre-and post-different Egyptian uprising periods. We employ two well-known models, namely the cross-sectional standard deviation (CSSD) and cross-sectional absolute deviation (CSAD) models. Additionally, we use the quantile regression approach.

We find that the behavior of mutual funds does not change following the different political and social events. For the whole period, we find evidence of herding behavior using only the model of CSAD in down-market conditions. We generalize our finding to be evidence of the existence herding behavior in different quantiles, under only the down market in specific points’ pre, post or both given events throughout the whole series. Conversely, during the upper market, we show a full absence of herding behavior considering all different quantiles. When the market is down, managers are afraid of the condition of uncertainty, neglecting their own private information, avoid acting independently and consequently, following other mutual funds. When the market is up, managers become rational and act fully independent.

Future research should delve deeper into the drivers of herding behavior, assess its longer-term effects, develop risk management strategies and consider regulatory measures to mitigate the potential negative impact on mutual fund performance and investor outcomes.

The study reveals that the behavior of mutual funds remains consistent despite various political and social events, suggesting a degree of resilience in their investment strategies. The research uncovers evidence of herding behavior in both high and low quantiles, but exclusively in down markets. In such conditions of market decline, fund managers appear to forsake their private information, exhibiting a tendency to follow the crowd rather than acting independently.

The study reveals that the behavior of mutual funds remains consistent despite various political and social events, suggesting a degree of resilience in their investment strategies. The research uncovers evidence of herding behavior in both high and low quantiles, but exclusively in down markets. In such conditions of market decline, fund managers appear to forsake their private information, exhibiting a tendency to follow the crowd rather than acting independently. Future research should delve deeper into the drivers of herding behavior, assess its longer-term effects, develop risk management strategies and consider regulatory measures to mitigate the potential negative impact on mutual fund performance and investor outcomes.

The paper investigates the herd behavior of the Egyptian mutual funds under asymmetric risk conditions, the study follows the spectrum of the herding behavior analysis and Egyptian mutual funds, extending the research with imperial analysis of market conditions pre- and post-events including currency floating, COVID-19 and political elections. The study gives substantial recommendations for policymakers and investors in emerging markets mutual funds.