Cannabis Stocks Returns: The Role of Liquidity and Investors’ Attention via Google Metrics

This paper studies one of the most popular investment themes over recent years, investing in the cannabis industry. In particular, it investigates relationships between investor attention, as proxied by Google Trends, and stock market activities, i.e., return, volatility, and liquidity. To this end, in the empirical analysis we study how liquidity and investors’ attention affect the return dynamics of an investment in cannabis stocks by augmenting the three-factor Fama–French model. In addition, we use a vector autoregressive approach and the impulse response function to measure shock transmission between the variables under consideration. Our empirical findings show that there is a statistically positive relationship between cannabis stock returns and liquidity. We also find that increased investors’ attention results in higher returns.

Civil Wars and Displacement

The growing number of civil wars in the post-Cold War era has been accompanied by a rising number of forcibly displaced people, who either stay within the borders of their own countries, becoming internally displaced persons (IDPs), or cross borders to become refugees. Although many studies have been conducted on the reasons of conflict-induced displacement, various questions remain of interest for the scholars of international relations, especially questions pertaining but not limited to the (a) gendered aspects of conflict, displacement, and peace processes, (b) predicting possible future displacement zones, and (c) best political and social designs for returnee communities in post-civil war contexts. Most studies still focus on the negative consequences of forced migration, undermining how refugees and IDPs can also contribute to the cultural and political environment of the receiving societies. Considering that there is a huge variation in types of conflict, motivations for violence, and the resulting patterns of displacement within the category of civil war, more research on the actors forcing displacement, their intentions, and subsequent effects on return dynamics can benefit research in this field. Similarly, research on return and reconciliation needs to treat displacement and return as a continuum. Paying attention to conflict parties in civil war bears the potential for new areas of exploration whose outcomes can also shed light on policies for post-civil war construction and intergroup reconciliation.

A network autoregressive model with GARCH effects and its applications

In this study, a network autoregressive model with GARCH effects, denoted by NAR-GARCH, is proposed to depict the return dynamics of stock market indices. A GARCH filter is employed to marginally remove the GARCH effects of each index, and the NAR model with the Granger causality test and Pearson’s correlation test with sharp price movements is used to capture the joint effects caused by other indices with the most updated market information. The NAR-GARCH model is designed to depict the joint effects of nonsynchronous multiple time series in an easy-to-implement and effective way. The returns of 20 global stock indices from 2006 to 2020 are employed for our empirical investigation. The numerical results reveal that the NAR-GARCH model has satisfactory performance in both fitting and prediction for the 20 stock indices, especially when a market index has strong upward or downward movements.

Realizing arbitrary $d$-dimensional dynamics by renormalization of $C^d$-perturbations of identity

<p style='text-indent:20px;'>Any <inline-formula><tex-math id="M3">\begin{document}$ C^d $\end{document}</tex-math></inline-formula> conservative map <inline-formula><tex-math id="M4">\begin{document}$ f $\end{document}</tex-math></inline-formula> of the <inline-formula><tex-math id="M5">\begin{document}$ d $\end{document}</tex-math></inline-formula>-dimensional unit ball <inline-formula><tex-math id="M6">\begin{document}$ {\mathbb B}^d $\end{document}</tex-math></inline-formula>, <inline-formula><tex-math id="M7">\begin{document}$ d\geq 2 $\end{document}</tex-math></inline-formula>, can be realized by renormalized iteration of a <inline-formula><tex-math id="M8">\begin{document}$ C^d $\end{document}</tex-math></inline-formula> perturbation of identity: there exists a conservative diffeomorphism of <inline-formula><tex-math id="M9">\begin{document}$ {\mathbb B}^d $\end{document}</tex-math></inline-formula>, arbitrarily close to identity in the <inline-formula><tex-math id="M10">\begin{document}$ C^d $\end{document}</tex-math></inline-formula> topology, that has a periodic disc on which the return dynamics after a <inline-formula><tex-math id="M11">\begin{document}$ C^d $\end{document}</tex-math></inline-formula> change of coordinates is exactly <inline-formula><tex-math id="M12">\begin{document}$ f $\end{document}</tex-math></inline-formula>.</p>