North American Journal of Economics and Finance

This file contains the (daily) data for the paper "Time-varying risk aversion and realized gold volatility" by Riza Demirer, Konstantinos Gkillas, Rangan Gupta, and Christian Pierdzioch. The file contains a brief description of the data and links to internet pages where data on risk aversion and economic policy uncertainty can be downloaded.

The data sets are estimation results of GARCH-BEKK model. And through the Wald Test results, we can measure the volatility spillover relationship between any stocks.

The data is centered around 35 emerging market economies, from 1990 to 2016, on a monthly basis. The data can be divided in three areas. First, the data to construct the currency crisis dummy variables. I specify the sources of the raw data and transformations. I include the spreadsheet with all operations, including macro’s to replicate and extend the country base. The spreadsheet contains a brief description in the first sheet. The original, raw data is not included due to publication restrictions. Second, the narrative contains a detailed description around events that are considered currency crises in other studies or that the six definitions employed identify as a currency crisis. The narrative is very useful to distinguish currency crises from other type of events. For each potential crisis date, we review academic papers and articles from Bloomberg, Economist, BBC News and similar sources, and where possible use more than one source per event. Third, a list of alternative currency crisis definitions. I have included the definitions of more than 70 papers on currency crises. Although not complete, the overview is comprehensive and can be helpful to anyone interested in the different definitions that are being used in the literature.

Database Paper Titled: The Oil Price, Stock Market and Exchange Rate Relationship: Evidence from Mexico

This study collected 1975Q1-2016Q1 quarterly data from 16 OECD countries, including Australia, Austria, Canada, Denmark, Finland, Germany, Italy, Japan, the Netherlands, New Zealand, Norway, Spain, Sweden, Switzerland, the UK, and the US. All data were derived from IMF-IFS and the OECD Statistical Compendium. For details, please refer to the Manustript.

This is the cleaned data, which lots of computation have been done for it. This data has been used to format the portfolios.

STATA FILES for "The impact of China’s One Belt One Road initiative on international trade in the ASEAN region"

Implied volatility data from 2004-2019

Returns and volatility of Brent and WTI, and OPEC announcement data.

This study examined whether CEOs’ narcissistic tendencies prompt them to manipulate earnings to achieve the earnings threshold. On the basis of existing literature (Marquez-Illescas et al., 2018; Olsen et al., 2013), this study used a four-item index to construct the rating system for CEO narcissism ( ): (a) the prominence of the CEO’s photograph in annual reports, (b) the prominence of the CEO’s photograph in corporate social responsibility (CSR) reports, (c) the CEO’s cash compensation, and (d) the noncash compensation of the CEO relative to other top executives at the same company. Our rating system incorporated CEOs that appear in photographs in annual and CSR reports. CSR reports follow widely adopted global guidelines set by the Global Reporting Initiative for the transparent disclosure of corporate values and performances, whereby the CSR report constitutes voluntary information disclosure (Krishnamurti et al., 2018).