Skip to main content

Research Repository

Advanced Search

All Outputs (5)

When bitcoin is high: cryptocurrency value, illicit markets and US marijuana bills. (2024)
Journal Article
SHANAEV, S., JOHNSON, E., VASENIN, M., PANTA, H. and GHIMIRE, B. 2024. When bitcoin is high: cryptocurrency value, illicit markets and US marijuana bills. Journal of financial regulation and compliance [online], 32(4), pages 501-515. Available from: https://doi.org/10.1108/JFRC-09-2023-0146

The purpose of this paper is to estimate the implications of illicit market use for the value of Bitcoin in an event studies framework. This study uses a data set of 58 state-level marijuana decriminalisation and legalisation bills and referenda in t... Read More about When bitcoin is high: cryptocurrency value, illicit markets and US marijuana bills..

Analyst herding-whether, why, and when? Two new tests for herding detection in target forecast prices. (2023)
Journal Article
REVELEY, C., SHANAEV, S., BIN, Y., PANTA, H. and GHIMIRE, B. 2023. Analyst herding-whether, why, and when? Two new tests for herding detection in target forecast prices. Economics and business review [online], 9(4), pages 25-55. Available from: https://doi.org/10.18559/ebr.2023.4.892

This study proposes two novel tests for security analyst herding based on binomial correlation and forecast error volatility scaling and applies it to investigate herding patterns in analyst target prices in 2008-2020 in the UK. Analysts robustly her... Read More about Analyst herding-whether, why, and when? Two new tests for herding detection in target forecast prices..

A generalised seasonality test and applications for cryptocurrency and stock market seasonality. (2022)
Journal Article
SHANAEV, S. and GHIMIRE, B. 2022. A generalised seasonality test and applications for cryptocurrency and stock market seasonality. Quarterly review of economics and finance [online], 86, pages 172-185. Available from: https://doi.org/10.1016/j.qref.2022.07.002

This study develops a novel generalised seasonality test that utilises sequential dummy variable regressions for seasonality periodicity equal to prime numbers. It allows to test for existence of any seasonal patterns against the broad null hypothesi... Read More about A generalised seasonality test and applications for cryptocurrency and stock market seasonality..

When ESG meets AAA: the effect of ESG rating changes on stock returns. (2021)
Journal Article
SHANAEV, S. and GHIMIRE, B. 2022. When ESG meets AAA: the effect of ESG rating changes on stock returns. Finance research letters [online], 46(A), article number 102302. Available from: https://doi.org/10.1016/j.frl.2021.102302

This study is the first to employ calendar-time portfolio methodology to investigate the impact of 748 ESG rating changes on stock returns of US firms over 2016–2021. While ESG rating upgrades lead to positive yet inconsistently significant abnormal... Read More about When ESG meets AAA: the effect of ESG rating changes on stock returns..

Effects of official versus online review ratings. (2021)
Journal Article
GHIMIRE, B., SHANAEV, S. and LIN, Z. 2022. Effects of official versus online review ratings. Annals of tourism research [online], 92, article number 103247. Available from: https://doi.org/10.1016/j.annals.2021.103247

The rating systems of tourism and hospitality services are instrumental for both businesses and consumers. Businesses use them to determine their promotion and pricing strategies, while consumers rely on them to make an informed decision. These syste... Read More about Effects of official versus online review ratings..