All Outputs (2)

Shock Resistors or Transmitters? Contagion across Industries and Countries during the COVID-19 Pandemic and the Global Financial Crisis (2024)
Journal Article
Harb, H., & Umutlu, M. (2024). Shock Resistors or Transmitters? Contagion across Industries and Countries during the COVID-19 Pandemic and the Global Financial Crisis. Economics Letters, Article 112026. https://doi.org/10.1016/j.econlet.2024.112026

We examine how global shocks from various sources propagate across industries and countries. Financial contagion is measured using residual-based and volatility-adjusted correlation. Specific industries and countries were resilient during both global... Read More about Shock Resistors or Transmitters? Contagion across Industries and Countries during the COVID-19 Pandemic and the Global Financial Crisis.

Interaction Effects in the Cross-Section of Country and Industry Returns (2024)
Journal Article
Umar, Z., Zaremba, A., Umutlu, M., & Mercik, A. (2024). Interaction Effects in the Cross-Section of Country and Industry Returns. Journal of Banking and Finance, 165, Article 107200. https://doi.org/10.1016/j.jbankfin.2024.107200

We comprehensively examine the interaction effects in the cross-sectional predictability of country and industry returns. Using nearly five decades of data from 68 countries, we construct all possible double-sorted portfolios based on 44 portfolio ch... Read More about Interaction Effects in the Cross-Section of Country and Industry Returns.