Aman Saggu

Personal Details

First Name:	Aman
Middle Name:
Last Name:	Saggu
Suffix:
RePEc Short-ID:	psa795
	[This author has chosen not to make the email address public]
	https://linktr.ee/amansaggu26
Terminal Degree:	2013 Department of Economics; Adam Smith Business School; University of Glasgow (from RePEc Genealogy)

Affiliation

วิทยาลัยนานาชาติ ม.มหิดล

http://www.muic.mahidol.ac.th/eng/
Thailand, Bangkok
73170
+66 (0) 2441 5090

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Kontonikas, Alexandros & MacDonald, Ronald & Saggu, Aman, 2012. "Stock Market Reaction to Fed Funds Rate Surprises: State Dependence and the Financial Crisis," SIRE Discussion Papers 2012-72, Scottish Institute for Research in Economics (SIRE).
   • Kontonikas, Alexandros & MacDonald, Ronald & Saggu, Aman, 2013. "Stock market reaction to fed funds rate surprises: State dependence and the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4025-4037.
   • Alexandros Kontonikas & Ronald MacDonald & Aman Saggu, 2012. "Stock market reaction to fed funds rate surprises: state dependence and the financial crisis," Working Papers 2012_11, Business School - Economics, University of Glasgow.

   Cited by:

   1. Bo Wang & Zehui Wang & Jun Wen & Xiaotian Tina Zhang, 2021. "Executive Gender and Firm Environmental Management: Evidence from CFO Transitions," Sustainability, MDPI, vol. 13(7), pages 1-14, March.
   2. Gu, Chen & Kurov, Alexander & Wolfe, Marketa Halova, 2018. "Relief Rallies after FOMC Announcements as a Resolution of Uncertainty," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 1-18.
   3. Eksi, Ozan & Tas, Bedri Kamil Onur, 2017. "Unconventional monetary policy and the stock market’s reaction to Federal Reserve policy actions," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 136-147.
   4. Jayech, Selma, 2016. "The contagion channels of July–August-2011 stock market crash: A DAG-copula based approach," European Journal of Operational Research, Elsevier, vol. 249(2), pages 631-646.
   5. Baumöhl, Eduard & Lyócsa, Štefan, 2017. "Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis," Finance Research Letters, Elsevier, vol. 23(C), pages 152-164.
      • Baumöhl, Eduard & Lyócsa, Štefan, 2017. "Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis," MPRA Paper 76915, University Library of Munich, Germany.
   6. Oguzhan Cepni & Rangan Gupta, 2020. "Time-Varying Impact of Monetary Policy Shocks on U.S. Stock Returns: The Role of Investor Sentiment," Working Papers 202039, University of Pretoria, Department of Economics.
      • Cepni, Oguzhan & Gupta, Rangan, 2021. "Time-varying impact of monetary policy shocks on US stock returns: The role of investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
   7. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2015. "The Impact of Monetary Policy on Corporate Bonds under Regime Shifts," Working Papers 562, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
      • Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela, 2017. "The impact of monetary policy on corporate bonds under regime shifts," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 176-202.
   8. Brana, Sophie & Prat, Stéphanie, 2016. "The effects of global excess liquidity on emerging stock market returns: Evidence from a panel threshold model," Economic Modelling, Elsevier, vol. 52(PA), pages 26-34.
      • Sophie Brana & Stephanie Prat, 2016. "The effects of global excess liquidity on emerging stock market returns: Evidence from a panel threshold model," Post-Print hal-03894886, HAL.
   9. Valizadeh, Pourya & Karali, Berna & Ferreira, Susana, 2017. "Ripple effects of the 2011 Japan earthquake on international stock markets," Research in International Business and Finance, Elsevier, vol. 41(C), pages 556-576.
   10. Monaco, Eleonora & Murgia, Lucia Milena, 2023. "Retail attention and the FOMC equity premium," Finance Research Letters, Elsevier, vol. 53(C).
   11. Kurov, Alexander & Olson, Eric & Zaynutdinova, Gulnara R., 2022. "When does the fed care about stock prices?," Journal of Banking & Finance, Elsevier, vol. 142(C).
   12. Harkin, Sean M. & Mare, Davide S. & Crook, Jonathan N., 2017. "Average Pay in Banks: Do Agency Problems and Bank Performance Matter?," MPRA Paper 81249, University Library of Munich, Germany.
       • Sean M. Harkin & Davide S. Mare & Jonathan N. Crook, 2019. "Average pay in banks: do agency problems and bank performance matter?," Review of Quantitative Finance and Accounting, Springer, vol. 53(1), pages 101-122, July.
   13. Miyakoshi, Tatsuyoshi & Shimada, Junji & Li, Kui-Wai, 2017. "The dynamic effects of quantitative easing on stock price: Evidence from Asian emerging markets, 2001–2016," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 548-567.
   14. Benchimol, Jonathan & Saadon, Yossi & Segev, Nimrod, 2023. "Stock market reactions to monetary policy surprises under uncertainty," International Review of Financial Analysis, Elsevier, vol. 89(C).
   15. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Fed’s unconventional monetary policy and risk spillover in the US financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 42-52.
       • Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir & Mark E. Wohar, 2019. "Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets," Working Papers 15-47, Eastern Mediterranean University, Department of Economics.
   16. Alexandros Kontonikas & Paulo Maio & Zivile Zekaite, 2016. "Monetary Policy and Corporate Bond Returns," Working Papers 2016_05, Business School - Economics, University of Glasgow.
       • Kontonikas, A & Maio, P & Zekaite, Z, 2017. "Monetary Policy and Corporate Bond Returns," Essex Finance Centre Working Papers 20571, University of Essex, Essex Business School.
   17. Florackis, Chris & Kontonikas, Alexandros & Kostakis, Alexandros, 2013. "Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from the 2007-2009 Financial Crisis," SIRE Discussion Papers 2013-58, Scottish Institute for Research in Economics (SIRE).
       • Florackis, Chris & Kontonikas, Alexandros & Kostakis, Alexandros, 2014. "Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 97-117.
       • Chris Florackis & Alexandros Kontonikas & Alexandros Kostakis‌, "undated". "Stock market liquidity and macro-liquidity shocks: Evidence from the 2007-2009 financial crisis," Working Papers 2013_13, Business School - Economics, University of Glasgow.
   18. Liu, Zhenhua & Zhang, Huiying & Ding, Zhihua & Lv, Tao & Wang, Xu & Wang, Deqing, 2022. "When are the effects of economic policy uncertainty on oil–stock correlations larger? Evidence from a regime-switching analysis," Economic Modelling, Elsevier, vol. 114(C).
   19. Muhammad Ali Nasir & Min Du, 2018. "Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 363-388, June.
   20. Muhammad Ali Nasir & Alaa M. Soliman & Muhammad Shahbaz, 2021. "Operational aspect of the policy coordination for financial stability: role of Jeffreys–Lindley’s paradox in operations research," Annals of Operations Research, Springer, vol. 306(1), pages 57-81, November.
   21. Virginie Coudert & Cyriac Guillaumin & Hélene Raymond, 2014. "Looking at the Other Side of Carry Trades: Are there any Safe Haven Currencies?," Working Papers 2014-03, CEPII research center.
       • Virginie Coudert & Cyriac Guillaumin & Hélène Raymond, 2014. "Looking at the other side of carry trades: Are there any safe haven currencies?," EconomiX Working Papers 2014-13, University of Paris Nanterre, EconomiX.
       • Virginie Coudert & Cyriac Guillaumin & Hélène Raymond, 2014. "Looking at the other side of carry trades: Are there any safe haven currencies?," Working Papers hal-04141355, HAL.
   22. Niko Hauzenberger & Michael Pfarrhofer, 2021. "Bayesian State‐Space Modeling for Analyzing Heterogeneous Network Effects of US Monetary Policy," Scandinavian Journal of Economics, Wiley Blackwell, vol. 123(4), pages 1261-1291, October.
       • Pfarrhofer, Michael & Niko , Hauzenberger, 2019. "Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy," Working Papers in Economics 2019-6, University of Salzburg.
       • Niko Hauzenberger & Michael Pfarrhofer, 2019. "Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy," Papers 1911.06206, arXiv.org, revised Sep 2020.
   23. Lutz, Chandler, 2015. "The impact of conventional and unconventional monetary policy on investor sentiment," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 89-105.
   24. Serag Masoud & Murad A. Bein & Wagdi Khalifa, 2022. "Examining the relationship between unconventional monetary policy and exchange rate movements: Empirical evidence from United States quantitative easing," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3444-3458, July.
   25. Trung Hoang Bao & Cesario Mateus, 2017. "Impact of FOMC announcement on stock price index in Southeast Asian countries," China Finance Review International, Emerald Group Publishing Limited, vol. 7(3), pages 370-386, August.
   26. Dr. Enzo Rossi & Vincent Wolff, 2020. "Spillovers to exchange rates from monetary and macroeconomic communications events," Working Papers 2020-18, Swiss National Bank.
   27. Oguzhan Cepni & Rangan Gupta & Qiang Ji, 2021. "Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries," Working Papers 202126, University of Pretoria, Department of Economics.
       • Oguzhan Cepni & Rangan Gupta & Qiang Ji, 2023. "Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 24(3), pages 365-381, July.
   28. Roman Horváth & Štefan Lyócsa & Eduard Baumöhl, 2018. "Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance," The European Journal of Finance, Taylor & Francis Journals, vol. 24(5), pages 391-412, March.
       • Roman Horváth & Štefan Lyócsa & Eduard Baumöhl, 2016. "Stock Market Contagion in Central and Eastern Europe: Unexpected Volatility and Extreme Co-exceedance," Working Papers 357, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
   29. Sakshi Saini & Sanjay Sehgal & Florent Deisting, 2020. "Monetary Policy,Risk Aversion and Uncertainty in an International Context," IEG Working Papers 385, Institute of Economic Growth.
       • Sakshi Saini & Sanjay Sehgal & Florent Deisting, 2020. "Monetary Policy, Risk Aversion and Uncertainty in an International Context," Multinational Finance Journal, Multinational Finance Journal, vol. 24(3-4), pages 211-266, September.
   30. Štefan Lyócsa & Roman Horváth, 2018. "Stock Market Contagion: a New Approach," Open Economies Review, Springer, vol. 29(3), pages 547-577, July.
   31. Robert N. Killins & Haiwei Chen, 2022. "The impact of the yield curve on the equity returns of insurance companies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1134-1153, January.
   32. Alexandros Kontonikas & Charles Nolan & Zivile Zekaite, 2015. "Always and Everywhere Inflation? Treasuries Variance Decomposition and the Impact of Monetary Policy," Working Papers 2015_17, Business School - Economics, University of Glasgow.
   33. Yunus, Nafeesa, 2020. "Time-varying linkages among gold, stocks, bonds and real estate," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 165-185.
   34. Fausch, Jürg & Sigonius, Markus, 2018. "The impact of ECB monetary policy surprises on the German stock market," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 46-63.
   35. Yoshiyuki Nakazono & Satoshi Ikeda, 2016. "Stock Market Responses Under Quantitative Easing: State Dependence and Transparency in Monetary Policy," Pacific Economic Review, Wiley Blackwell, vol. 21(5), pages 560-580, December.
   36. Reinhold Heinlein & Gabriele M. Lepori, 2022. "Do financial markets respond to macroeconomic surprises? Evidence from the UK," Empirical Economics, Springer, vol. 62(5), pages 2329-2371, May.
   37. Smales, L.A. & Lucey, B.M., 2019. "The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 19-38.
   38. Damir Tokic & Dave Jackson, 2023. "When a correction turns into a bear market: What explains the depth of the stock market drawdown? A discretionary global macro approach," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 184-197, May.
   39. Md Gyasuddin Ansari & Rudra Sensarma, 2019. "US Monetary Policy, Oil and Gold Prices: Which has a greater impact on BRICS Stock Markets?," Working papers 343, Indian Institute of Management Kozhikode.
       • Ansari, Md Gyasuddin & Sensarma, Rudra, 2019. "US monetary policy, oil and gold prices: Which has a greater impact on BRICS stock markets?," Economic Analysis and Policy, Elsevier, vol. 64(C), pages 130-151.
   40. Lawal Isola ADEDOYIN & Frank AWONUSI & Martins I. OLOYE, 2015. "All share price and inflation volatility in Nigeria. An application of the EGARCH model," EuroEconomica, Danubius University of Galati, issue 1(34), pages 75-82, May.
   41. Mira Farka, 2022. "The credit channel of monetary policy before and after the zero lower bound: Evidence from the US equity market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(3), pages 633-693, September.
   42. Jian, Zhihong & Lu, Haisong & Zhu, Zhican & Xu, Huiling, 2023. "Frequency heterogeneity of tail connectedness: Evidence from global stock markets," Economic Modelling, Elsevier, vol. 125(C).
   43. Martin Hodula, 2019. "Monetary Policy and Shadow Banking: Trapped between a Rock and a Hard Place," Working Papers 2019/5, Czech National Bank.
   44. Chortareas, Georgios & Noikokyris, Emmanouil, 2017. "Federal reserve's policy, global equity markets, and the local monetary policy stance," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 317-327.
   45. Muhammad Abdullah & Hussein A. Abdou & Christopher Godfrey & Ahmed A. Elamer & Yousry Ahmed, 2023. "Assessing the Use of Gold as a Zero-Beta Asset in Empirical Asset Pricing: Application to the US Equity Market," JRFM, MDPI, vol. 16(3), pages 1-48, March.
   46. Neeraj J. Gupta & Vitaliy Strohush & Reilly White, 2019. "Investor reaction to simultaneous news releases: unemployment vs. earnings," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 735-749, October.
   47. Ponrajah, Jeremey & Ning, Cathy, 2023. "Stock–bond dependence and flight to/from quality," International Review of Financial Analysis, Elsevier, vol. 86(C).
   48. Haitsma, Reinder & Unalmis, Deren & de Haan, Jakob, 2016. "The impact of the ECB's conventional and unconventional monetary policies on stock markets," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 101-116.
   49. Guo, Haifeng & Hung, Chi-Hsiou D. & Kontonikas, Alexandros, 2022. "The Fed and the stock market: A tale of sentiment states," Journal of International Money and Finance, Elsevier, vol. 128(C).
   50. Akhtar, Shumi & Akhtar, Farida & Jahromi, Maria & John, Kose, 2017. "Impact of interest rate surprises on Islamic and conventional stocks and bonds," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 218-231.
   51. Chin, Chang-Chiang & Paphakin, Warinthorn, 2021. "The daily relationship between U.S. asset prices and stock prices of American countries," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
   52. George S. Atsalakis & Eftychios E. Protopapadakis & Kimon P. Valavanis, 2016. "Stock trend forecasting in turbulent market periods using neuro-fuzzy systems," Operational Research, Springer, vol. 16(2), pages 245-269, July.
   53. Ajay Kumar Mishra & Bhavik Parikh & Ronald W. Spahr, 2021. "Contemporaneous linkages: Funding liquidity and stock market spirals," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5912-5929, October.
   54. Corbet, Shaen & Dowling, Michael & Cummins, Mark, 2015. "Analyst recommendations and volatility in a rising, falling, and crisis equity market," Finance Research Letters, Elsevier, vol. 15(C), pages 187-194.
   55. Shirota, Toyoichiro, 2023. "State-dependent effects of the unconventional monetary policy in stock markets," Japan and the World Economy, Elsevier, vol. 67(C).

Articles

1. Saggu, Aman, 2022. "The Intraday Bitcoin Response to Tether Minting and Burning Events: Asymmetry, Investor Sentiment, and “Whale Alerts” on Twitter," Finance Research Letters, Elsevier, vol. 49(C).

   Cited by:

   1. Jean Barthélémy & Paul Gardin & Benoit Nguyen, 2023. "Stablecoins and the Financing of the Real Economy," Working papers 908, Banque de France.
   2. Yosuke Kakinuma, 2023. "Hedging role of stablecoins," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 30(1), pages 19-28, January.
   3. Dorien Herremans & Kah Wee Low, 2022. "Forecasting Bitcoin volatility spikes from whale transactions and CryptoQuant data using Synthesizer Transformer models," Papers 2211.08281, arXiv.org.
   4. Yu‐Lun Chen & J. Jimmy Yang, 2024. "Time‐varying price discovery in regular and microbitcoin futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(1), pages 103-121, January.

2. Kontonikas, Alexandros & MacDonald, Ronald & Saggu, Aman, 2013. "Stock market reaction to fed funds rate surprises: State dependence and the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4025-4037.
   • Kontonikas, Alexandros & MacDonald, Ronald & Saggu, Aman, 2012. "Stock Market Reaction to Fed Funds Rate Surprises: State Dependence and the Financial Crisis," SIRE Discussion Papers 2012-72, Scottish Institute for Research in Economics (SIRE).
   • Alexandros Kontonikas & Ronald MacDonald & Aman Saggu, 2012. "Stock market reaction to fed funds rate surprises: state dependence and the financial crisis," Working Papers 2012_11, Business School - Economics, University of Glasgow.
   See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-PAY: Payment Systems and Financial Technology (2) 2023-07-10 2023-09-25
2. NEP-AIN: Artificial Intelligence (1) 2023-07-10
3. NEP-BIG: Big Data (1) 2023-07-10
4. NEP-CMP: Computational Economics (1) 2023-07-10
5. NEP-FMK: Financial Markets (1) 2012-09-16
6. NEP-MAC: Macroeconomics (1) 2023-09-25
7. NEP-MFD: Microfinance (1) 2023-07-10
8. NEP-MON: Monetary Economics (1) 2012-09-16
9. NEP-URE: Urban and Real Estate Economics (1) 2023-09-25

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