Shaen Corbet

• Full Professor of Finance at Dublin City University

This research investigates the reaction of financial markets to biodiversity‐related corporate events, utilising an EGARCH model to assess the implications on stock returns and volatility. Results reveal that markets significantly respond to these events, demonstrating heightened sensitivity and volatility that underscore the financial relevance of...

The introduction of regulated CME futures contracts on Bitcoin in 2017 raised an expectation that cryptocurrencies would become part of mainstream financial markets. This also heightened links between traditional markets and Bitcoin, implying that the cryptocurrency would be subject to systematic spillovers. This paper uses high‐frequency data to e...

This study examines the impact of Brexit on investor reactions to Environmental, Social and Governance (ESG) events in UK companies. Post‐Brexit, investors show reduced sensitivity to ESG incidents, suggesting relaxed corporate accountability for ESG disasters. We observe varied investor responses to different ESG events, with most having less fina...

Changing patterns of risk aversion may follow a non-linear counter-cyclical process. However, the evidence so far has not considered developing cryptocurrency markets. Given some unique features of cryptocurrencies, it is interesting to distinguish how these assets differ from traditional products. This paper investigates the time effects of period...

Can technology protect investors from extreme losses? This paper investigates the short- and long-run hedging and safe haven properties of Bitcoin for the US dollar over the period 2010–2023, incorporating the COVID-19-related market turmoil. Our findings reveal that (i) Bitcoin acts as a strong hedge for all US dollar currency pairs examined, (ii)...

To counter the escalating threat of direct conflict with rogue nations, the use of sanctions packages has become a preferred tactical response. However, although targeted, there are significantly elevated spillover effects that can generate sectoral damage. While the literature on sanctions has focused on analyzing the effectiveness and the impact...

Purpose The rapid growth of Fintech presents a growing challenge for banking institutions, particularly those with more traditional, service backgrounds. This paper aims to examine the relationship between Fintech innovation and bank performance by exploiting novel Chinese market data. Design/methodology/approach Guided by the work of Dietrich and...

Using estimated sentiment indices based on CBDC-related social media posts, and testing for the effects of regulatory-related announcements upon blockchain and cryptocurrency-related funds, this research presents two key findings: first, the continued evolution of the pricing structures of digital finance products to respond to such perceived threa...

We evidence that cryptocurrencies have a higher probability of crashes than equity indices, although such crashes are of shorter duration. Commonality of crash risk between cryptocurrency and equity markets occur in approximately 80% of the periods examined. Further, recently evolved cryptocurrency uncertainty indices are more relevant for predicti...

In this article we investigate the influence that information asymmetry may have on future volatility, liquidity, market toxicity, and returns within cryptocurrency markets. We use the adverse‐selection component of the effective spread as a proxy for overall information asymmetry. Using order and trade data from the Bitfinex exchange, we first doc...

We test for the existence of bubbles in conventional and DeFi-focused cryptocurrencies, seeking to identify key driving forces that distinguish DeFi tokens from conventional cryptocurrencies. Utilising Generalized Supremum Augmented Dickey-Fuller tests, we identify the presence of significant bubbles across multiple markets, with relatively more st...

Using 19 emerging economies from 1990 to 2018, we find a positive effect of geopolitical risk on mergers and acquisition (M&A) deal frequency driven mainly by an increase in domestic M&A. We, however, find a negative effect of geopolitical risk on the M&A deal size, highlighting the deadweight cost created by the geopolitical risk. The quality of n...

This paper investigates the non-linear causal nexus at lower, medium, and upper quantiles that cryptocurrencies can generate as a hedging mechanism for international benchmark indices, as represented by the MSCI World index and its sectoral sub-indices. Significant causality-in-mean between each of the assets examined is detected at lower quantiles...

Green investment funds continue to interest as a sustainable non-conventional asset class. We examine their interconnectedness, using network and wavelet analyses, with both traditional and non-traditional financial assets. Results indicate that global stock market performance, along with the returns of emerging markets, commodity markets, and FinT...

The engendering of systemic risk through contagion from stressed firms continues to be of great scholarly interest. While the contribution to systemic risk of enforcement actions against firms in the financial industry, for instance, has received much recent attention, the systemic risk to economies of attacks to firms in energy industries has been...

This research investigates the effects of several measures of Twitter-based sentiment on cryptocurrencies during the COVID-19 pandemic. Innovative economic, as well as market uncertainty measures based on Tweets, along the lines of Baker et al. (2021), are employed in an attempt to measure how investor sentiment influences the returns and volatilit...

Chinese oil futures products were created in 2018, and have since presented an alternative, regional exchange through which to invest. This research tests for evidence of developing market maturity during the time since the market was established, specifically focusing on static and time-varying spillovers of higher moments between Chinese oil futu...

The COVID-19 pandemic presented a dynamic black-swan event to which governments implemented support programmes to reduce sectoral probability of default. This research analyses investor response to such assistance, designed to mitigate the effects of the pandemic upon international aviation and tourism. Investor confidence in such support schemes i...

This research investigates and tests for the presence of time-of-the-day effects on the Bitcoin network. Results indicate that NYSE trading sessions lead Bitcoin trading activity, both on the blockchain and centralised exchanges. Effects are found to have strengthened over time, however, simultaneously diminished at the weekend indicating significa...

We comparatively assess drivers of DeFi token prices, testing the impact and connectedness between Bitcoin (as a cryptocurrency asset-class leader), Ethereum (as a platform for DeFi), and Google Trends (as a signal of investor attention). While we evidence varying causal linkages between Bitcoin or Ethereum and Defi tokens, these linkages are restr...

The ownership structures of European banks are today quite different relative to those before the Global Financial Crisis (GFC), particularly due to new takeovers, government guarantees, bailouts, and other defensive market responses post-GFC. These new ownership structures raise questions as to how these banks have performed, particularly during t...