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1 – 5 of 5This study is motivated in part by the fact that the unfolding 2022 bear market, which has reached the −25% drawdown, has not been preceded by the inverted 10Y-3 m spread or an…
Abstract
Purpose
This study is motivated in part by the fact that the unfolding 2022 bear market, which has reached the −25% drawdown, has not been preceded by the inverted 10Y-3 m spread or an inverted near-term forward spread.
Design/methodology/approach
The authors develop a three-factor probit model to predict/explain the deep stock market drawdowns, which the authors define as the drawdowns in excess of 20%.
Findings
The study results show that (1) the rising credit risk predicts a deep drawdown about a year in advance and (2) the monetary policy easing precedes an imminent drawdown below the 20% threshold.
Originality/value
This study three-factor probit model shows adaptability beyond the typical recessionary bear market and predicts/explains the liquidity-based selloffs, like the 2022 and possibly the 1987 deep drawdowns.
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Walid Mensi, Waqas Hanif, Elie Bouri and Xuan Vinh Vo
This paper examines the extreme dependence and asymmetric risk spillovers between crude oil futures and ten US stock sector indices (consumer discretionary, consumer staples…
Abstract
Purpose
This paper examines the extreme dependence and asymmetric risk spillovers between crude oil futures and ten US stock sector indices (consumer discretionary, consumer staples, energy, financials, health care, industrials, information technology, materials, telecommunication and utilities) before and during COVID-19 outbreak. This study is based on the rationale that stock sectors exhibit heterogeneity in their response to oil prices depending on whether they are classified as oil-intensive or non-oil-intensive sectors and the possible time variation in the dependence and risk spillover effects.
Design/methodology/approach
The authors employ static and dynamic symmetric and asymmetric copula models as well as Conditional Value at Risk (VaR) (CoVaR). Finally, they use robustness tests to validate their results.
Findings
Before the COVID-19 pandemic, crude oil returns showed an asymmetric tail dependence with all stock sector returns, except health care and industrials (materials), where an average (symmetric tail) dependence is identified. During the COVID-19 pandemic, crude oil returns exhibit a lower tail dependency with the returns of all stock sectors, except financials and consumer discretionary. Furthermore, there is evidence of downside and upside risk asymmetric spillovers from crude oil to stock sectors and vice versa. Finally, the risk spillovers from stock sectors to crude oil are higher than those from crude oil to stock sectors, and they significantly increase during the pandemic.
Originality/value
There is heterogeneity in the linkages and the asymmetric bidirectional systemic risk between crude oil and US economic sectors during bearish and bullish market conditions; this study is the first to investigate the average and extreme tail dependence and asymmetric spillovers between crude oil and US stock sectors.
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Robert Owusu Boakye, Lord Mensah, Sanghoon Kang and Kofi Osei
The study measures the total systemic risks and connectedness across commodities, stocks, exchange rates and bond markets in Africa during the Covid-19 pandemic.
Abstract
Purpose
The study measures the total systemic risks and connectedness across commodities, stocks, exchange rates and bond markets in Africa during the Covid-19 pandemic.
Design/methodology/approach
The study uses the Diebold-Yilmaz spillover and connectedness measures in a generalized VAR framework. The author calculates the net transmitters or receivers of shocks between two assets and visualizes their strength using a network analysis tool.
Findings
The study found low systemic risks across all assets and countries. However, we found higher systemic risks in the forex market than in the stock and bond markets, and in South Africa than in other countries. The dynamic analysis found time-varying connectedness return shocks, which increased during the peak periods of the first and second waves of the pandemic. We found both gold and oil as net receivers of shocks. Overall, over half of all assets were net receivers, and others were net transmitters of return shocks. The network connectedness plot shows high net pairwise connectedness from Morocco to South Africa stock market.
Practical implications
The study has implications for policymakers to develop the capacities of local investors and markets to limit portfolio outflows during a crisis.
Originality/value
Previous studies have analyzed spillovers across asset classes in a single country or a single asset across countries. This paper contributes to the literature on network connectedness across assets and countries.
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This paper aims to provide a living tribute to the leading autoethnographer, Alec Grant.
Abstract
Purpose
This paper aims to provide a living tribute to the leading autoethnographer, Alec Grant.
Design/methodology/approach
Alec provided Jerome with a list of names of people he might approach to write a tribute on his behalf.
Findings
The accounts describe the influence that Alec has had both as an educator and as a trusted colleague for the people approached.
Research limitations/implications
While this is a living tribute, it is about one man and could, therefore, be described as a case study. Some people wonder what can be learned from a single case study. Read on and find out.
Practical implications
Alec has carved out a path for himself. In many senses, he chose “The Road Less Travelled”. He has never shied away from challenging “The System” and defending the rights of the marginalized and socially excluded. It is not a road for the faint-hearted.
Social implications
For systems to change, radical thinkers need to show the way. “Change keeps us safe” (Stuart Bell).
Originality/value
Alec was a well-known and highly respected cognitive behavioural academic practitioner and the author of key textbooks in the field. He then decided to reinvent himself as an autoethnographer. This has brought him into contact with a much more diverse group of people. It has also brought him home to himself.
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Gargy M. Sudhakaran, Abhinesh Prabhakaran, Abdul-Majeed Mahamadu, Colin A. Booth and Grazyna Wiejak-Roy
The surging cost of living and shortage of affordable and sustainable homes fuel the global housing crisis. Earthship buildings are marketed as the epitome of affordable and…
Abstract
Purpose
The surging cost of living and shortage of affordable and sustainable homes fuel the global housing crisis. Earthship buildings are marketed as the epitome of affordable and sustainable alternative housing. This paper aimed to elicit the perception of Earthship buildings among youngsters in the United Kingdom using immersive virtual reality technology. Additionally, the impact of virtual reality on perception compared with two-dimensional drawings was investigated in the study.
Design/methodology/approach
A three-phase, experiment-based survey was adopted: Phase 1: literature review, Earthship house model conception and the virtual environment creation; Phase 2: two-dimensional drawing-based pre-visualisation survey; Phase 3: virtual reality–based post-visualisation survey.
Findings
The findings indicated that youngsters had a remarkable, positive change in attitude towards the uptake of the Earthship houses after virtual reality visualisation. In contrast, sustainability experts shared more concerns regarding the concept's viability in the United Kingdom, even after the virtual reality visualisation. However, both youngsters and experts agreed with the pre-eminence of virtual reality over two-dimensional drawings.
Originality/value
The lack of awareness about Earthship buildings for posterity was noted in previous studies, which could be attributed to there being very few Earthship buildings in the United Kingdom. The importance of this awareness among youngsters cannot be over-emphasised since youngsters are affected most by the shortage of affordable and sustainable homes. This gap was addressed by enlightening the youth about Earthship houses and imparting awareness through near-real-life virtual reality visualisation.
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