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1 – 10 of over 3000Taicir Mezghani, Fatma Ben Hamadou and Mouna Boujelbène Abbes
The aim of this study was to investigate the dynamic network connectedness between stock markets and commodity futures and its implications on hedging strategies. Specifically…
Abstract
Purpose
The aim of this study was to investigate the dynamic network connectedness between stock markets and commodity futures and its implications on hedging strategies. Specifically, the authors studied the impact of the 2014 oil price drop and coronavirus disease 2019 (COVID-19) pandemic on risk spillovers and portfolio allocation among stock markets (United States (SP500), China (SSEC), Japan (Nikkei 225), France (CAC40) and Germany (DAX)) and commodities (oil and gold).
Design/methodology/approach
In this study, the authors used the Baba, Engle, Kraft and Kroner–generalized autoregressive conditional heteroskedasticity (BEKK–GARCH) model to estimate shock transmission among the five financial markets and the two commodities. The authors rely on Diebold and Yılmaz (2014, 2015) methodology to construct network-associated measures.
Findings
Relying on the BEKK–GARCH, the authors found that the recent health crisis of COVID-19 intensified the volatility spillovers among stock markets and commodities. Using the dynamic network connectedness, the authors showed that at the 2014 oil price drop and the COVID-19 pandemic shock, the Nikkei225 moderated the transmission of volatility to the majority of markets. During the COVID-19 pandemic, the commodity markets are a net receiver of volatility shocks from stock markets. In addition, the SP500 stock market dominates the network connectedness dynamic during the COVID-19 pandemic, while DAX index is the weakest risk transmitter. Regarding the portfolio allocation and hedging strategies, the study showed that the oil market is the most vulnerable and risky as it was heavily affected by the two crises. The results show that gold is a hedging tool during turmoil periods.
Originality/value
This study contributes to knowledge in this area by improving our understanding of the influence of fluctuations in oil prices on the dynamics of the volatility connection between stock markets and commodities during the COVID-19 pandemic shock. The study’s findings provide more implications regarding portfolio management and hedging strategies that could help investors optimize their portfolios.
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Taicir Mezghani and Mouna Boujelbène
This study aims to investigate the transmission of shock between the oil market and the Islamic and conventional stock markets of the Gulf Cooperation Council (GCC) countries…
Abstract
Purpose
This study aims to investigate the transmission of shock between the oil market and the Islamic and conventional stock markets of the Gulf Cooperation Council (GCC) countries during the oil shocks of 2008 and 2014.
Design/methodology/approach
This study uses two models. First, the dynamic conditional correlation–generalized autoregressive conditionally heteroskedastic model has been used to capture the fundamental contagion effects between the oil market and the Islamic and conventional stock markets during the tranquil and turmoil-crisis periods of 2008-2014. Second, the filter of Kalman has been used to capture the effects of pure contagion between the oil market and the GCC Islamic and conventional stock markets. The authors analyze the dynamic correlation between forecasting errors of oil returns and stock returns of GCC Islamic and GCC conventional indices.
Findings
The main findings of this investigation are: first, the estimation of the dynamic conditional correlation– generalized autoregressive conditionally heteroskedastic model for oil market and the Islamic and conventional stock markets proves that the Islamic and conventional stock markets and oil market displayed a significant increase in the dynamic correlation during the turmoil period, from mid-2008 and mid-2014. This proves the existence of contagion between the markets studied. Second, the authors analyze the dynamic correlation between forecasting errors of oil returns and stock returns of GCC Islamic and GCC conventional indices. They show a strong increase in the correlation coefficients between the oil market and the conventional GCC stock markets, and between the conventional and Islamic GCC stock markets during the oil crisis of 2014. However, there is no change in regime in the figure of the correlation coefficient between the oil market and the GCC Islamic stock markets during the 2008 financial crisis. This pure contagion is mainly attributed to the herding bias in 2014 oil crisis.
Originality/value
This study contributes to identifying the contribution of herding bias on the volatility transmission between the oil markets, and the GCC Islamic and conventional stock market, especially during two controversial shocks: the 2008 oil-price increase and the 2014 oil drop.
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Taicir Mezghani and Mouna Boujelbène-Abbes
This paper investigates the impact of financial stress on the dynamic connectedness and hedging for oil market and stock-bond markets of the Gulf Cooperation Council (GCC).
Abstract
Purpose
This paper investigates the impact of financial stress on the dynamic connectedness and hedging for oil market and stock-bond markets of the Gulf Cooperation Council (GCC).
Design/methodology/approach
This study uses the wavelet coherence model to examine the interactions between financial stress, oil and GCC stock and bond markets. Second, the authors apply the time–frequency connectedness developed by Barunik and Krehlik (2018) so as to identify the direction and scale connectedness among these markets. Third, the authors examine the optimal weights, hedge ratio and hedging effectiveness for oil and financial markets based on constant conditional correlation (CCC), dynamic conditional correlation (DCC) and Baba-Engle-Kraft-Kroner (BEKK)-GARCH models.
Findings
The authors have found that the correlation between the oil and stock-bond markets tends to be stable in nonshock periods, but it evolves during oil and financial shocks at lower frequencies. Moreover, the authors find that the oil market and financial stress are the main transmitters of risks. The connectedness is mainly driven by the long term, demonstrating that the markets rapidly process the financial stress spillover effect, and the shock is transmitted over the long run. Optimal weights show different patterns for each negative and positive case of the financial stress index. In the negative (positive) financial stress case, investors should have more oil (stocks) than stocks (oil) in their portfolio in order to minimize risk.
Originality/value
This study has gone some way toward enhancing one’s understanding of the time–frequency connectedness between the financial stress, oil and GCC stock-bond markets. Second, it identifies the impact of financial stress into hedging strategies offering important insights for investors aiming at managing and reducing portfolio risk.
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Economic opportunities can be nimble tools of bargaining. When denied, they can be potent tools of coercion. When showcased they can serve as powerful incentives to reach…
Abstract
Economic opportunities can be nimble tools of bargaining. When denied, they can be potent tools of coercion. When showcased they can serve as powerful incentives to reach agreement. If skillfully used to simultaneously pressure and entice, economic prospects can improve the chances of agreement within the respective negotiation teams in order for them to reach a deal across the table. This chapter critically analyzes the role of economic incentives and pressure in the nuclear negotiations between the international community and Iran. It discusses how an economic coercion and inducements campaign can help shape the internal consensus in Tehran in favor of a deal. In particular, a concerted effort to understand the opposing side’s negotiation band — the environment of “behind the table” constraints that shape the resulting bargaining strategy — can increase the chances of success in negotiation. Understanding a negotiator’s negotiation band requires a careful analysis of domestic political dynamics during the preparatory stage, active listening during negotiation, and outreach to deal advocates throughout the process to help them shift the domestic balance in favor of a deal.
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Norway's economy.
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DOI: 10.1108/OXAN-DB214236
ISSN: 2633-304X
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Geographic
Topical
UNITED KINGDOM: Base effect to drive inflation rebound
US airlines' Q2 2016 earnings.
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DOI: 10.1108/OXAN-DB212746
ISSN: 2633-304X
Keywords
Geographic
Topical
UNITED STATES: Inflation will firm gradually in 2016
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DOI: 10.1108/OXAN-ES211143
ISSN: 2633-304X
Keywords
Geographic
Topical
UNITED STATES: Private consumption will accelerate
UNITED STATES: Private consumption will accelerate