• Momentum and market correlation

      Badshah, I; Kolari, JW; Liu, W; Shin, S (New Zealand Finance Colloquium, 2016)
      This paper proposes that an important source of momentum profits is market information associated with correlation to general market movements. Empirical tests for U.S. stocks in the sample period 1965 to 2013 indicate ...
    • Volatility Spillover from the Fear Index to Developed and Emerging Markets

      Badshah, I (Taylor & Francis, 2015)
      This paper examines cross-market volatility linkages among the fear index (VIX), the developed-market index (VXEFA), and the emerging-market index (VXEEM). Analysis on the first moments of volatilities reveals that the ...