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1 – 10 of 86The aim of this paper is threefold: (1) to develop a new measure of investor sentiment rational (ISR) of developing countries by applying principal component analysis (PCA), (2…
Abstract
Purpose
The aim of this paper is threefold: (1) to develop a new measure of investor sentiment rational (ISR) of developing countries by applying principal component analysis (PCA), (2) to investigate co-movements between the ten developing stock markets, the sentiment investor's, exchange rates and geopolitical risk (GPR) during Russian invasion of Ukraine in 2022, (3) to explore the key factors that might affect exchange market and capital market before and mainly during Russia–Ukraine war period.
Design/methodology/approach
The wavelet approach and the multivariate wavelet coherence (MWC) are applied to detect the co-movements on daily data from August 2019 to December 2022. Value-at-risk (VaR) and conditional value-at-risk (CVaR) are used to assess the systemic risks of exchange rate market and stock market return in the developing market.
Findings
Results of this study reveal (1) strong interdependence between GPR, investor sentiment rational (ISR), stock market index and exchange rate in short- and long-terms in most countries, as inferred from (WTC) analysis. (2) There is evidence of strong short-term co-movements between ISR and exchange rates, with ISR leading. (3) Multivariate coherency shows strong contributions of ISR and GPR index to stock market index and exchange rate returns. The findings signal the attractiveness of the Vietnamese dong, Malaysian ringgits and Tunisian dinar as a hedge for currency portfolios against GPR. The authors detect a positive connectedness in the short term between all pairs of the variables analyzed in most countries. (4) Both foreign exchange and equity markets are exposed to higher levels of systemic risk in the period of the Russian invasion of Ukraine.
Originality/value
This study provides information that supports investors, regulators and executive managers in developing countries. The impact of sentiment investor with GPR intensified the co-movements of stocks market and exchange market during 2021–2022, which overlaps with period of the Russian invasion of Ukraine.
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Opeoluwa Adeniyi Adeosun, Richard O. Olayeni, Mosab I. Tabash and Suhaib Anagreh
This study investigates the nexus between the returns on oil prices (OP) and unemployment (UR) while taking into account the influences of two of the most representative measures…
Abstract
Purpose
This study investigates the nexus between the returns on oil prices (OP) and unemployment (UR) while taking into account the influences of two of the most representative measures of uncertainty, the Baker et al. (2016) and Caldara and Iacovello (2021) indexes of economic policy uncertainty (EP) and geopolitical risks (GP), in the relationship.
Design/methodology/approach
The authors use data on the US, Canada, France, Italy, Germany and Japan from January 2000 to February 2022 and the UK from January 2000 to December 2021. The authors then apply the continuous wavelet transform (CWT), wavelet coherence (WC), partial wavelet coherence (PWC) and multiple wavelet coherence (MWC) to examine the returns within a time and frequency framework.
Findings
The CWT tracks the movement and evolution of individual return series with evidence of high variances and heterogenous tendencies across frequencies that also align with critical events such as the GFC and COVID-19 pandemic. The WC reveals the presence of a bidirectional relationship between OP and UR across economies, showing that the two variables affect each other. The authors’ findings establish the predictive influence of oil price on unemployment in line with theory and also show that the variation in UR can impact the economy and alter the dynamics of OP. The authors employ the PWC and MWC to capture the impact of uncertainty indexes in the co-movement of oil price and unemployment in line with the theory of “investment under uncertainty”. Taking into account the common effects of EP and GP, PWC finds that uncertainty measures significantly drive the co-movement of oil prices and unemployment. This result is robust when the authors control for the influence of economic activity (proxied by the GDP) in the co-movement. Furthermore, the MWC reveals the combined intensity, strength and significance of both oil prices and the uncertainty measures in predicting unemployment across countries.
Originality/value
This study investigates the relationship between oil prices, uncertainty measures and unemployment under a time and frequency approach.
Highlights
Wavelet approaches are used to examine the relationship between oil prices and unemployment in the G7.
We account for uncertainty measures in the dynamics of oil prices and unemployment.
We observe a bidirectional relationship between oil prices and unemployment.
Uncertainty measures significantly drive oil prices and unemployment co-movement.
Both oil prices and uncertainty measures significantly drive unemployment.
Wavelet approaches are used to examine the relationship between oil prices and unemployment in the G7.
We account for uncertainty measures in the dynamics of oil prices and unemployment.
We observe a bidirectional relationship between oil prices and unemployment.
Uncertainty measures significantly drive oil prices and unemployment co-movement.
Both oil prices and uncertainty measures significantly drive unemployment.
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Rui Li, Zhanwen Niu, Chaochao Liu and Bei Wu
Given the complexity of building information modeling (BIM) adoption decisions in small- and medium-sized enterprises (SMEs) in the Architecture, Engineering and Construction…
Abstract
Purpose
Given the complexity of building information modeling (BIM) adoption decisions in small- and medium-sized enterprises (SMEs) in the Architecture, Engineering and Construction (AEC) industry, understanding BIM adoption decision-making through the net effect of a single factor on BIM adoption decisions alone is limited. Therefore, this paper analyzed the co-movement effect of managers' psychological factors on the BIM adoption decisions from the perspective of managers' perceptions. The purpose is to let managers have a deep understanding of their BIM adoption decisions, and put forward targeted suggestions for the AEC industry to promote the adoption of BIM by SMEs.
Design/methodology/approach
Data from 192 managers in SMEs collected by the questionnaire were used in a fuzzy set qualitative comparative analysis (fsQCA). Due to the limitations of fsQCA in making the best use of the data used, as a complement to fsQCA, necessary conditions analysis (NCA) was used to analyze the extent to which necessary conditions influenced the outcome.
Findings
(1) NCA analysis shows that high perceived resource availability (PRA) and high performance expectancy (PE) are necessary conditions for high BIM adoption intention (AI). (2) fsQCA analysis shows that high PE is the single core condition for high AI. fsQCA analysis identifies three configurations of managers' psychological factors, reflecting three types of managers' decision preferences, namely benefit preference, loss aversion and risk avoidance, respectively. Different decision preferences may lead to different BIM adoption strategies, such as full in-house use, partial in-house/outsourcing and full outsourcing of BIM processes. (3) High perceived risk (PR) and low perceived business value of BIM (PBV) are the core conditions for low AI.
Originality/value
This paper expands on the application of fsQCA to context of BIM adoption decisions. Based on the results of fsQCA analysis, this paper also establishes the relationship between managers' decision-making psychology and BIM adoption strategy choice and analyzes the impact of different decision biases on BIM adoption strategy choice. It concludes with suggestions for encouraging managers to adopt BIM and for avoiding decision-making bias.
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Opeoluwa Adeniyi Adeosun, Mosab I. Tabash and Xuan Vinh Vo
This paper aims to accommodate the influence of both economic policy uncertainty and geopolitical risks in the relationship between oil price and exchange-rate returns in the…
Abstract
Purpose
This paper aims to accommodate the influence of both economic policy uncertainty and geopolitical risks in the relationship between oil price and exchange-rate returns in the Brazil, Russia, India, China and South Africa (BRICS) countries through an interaction term (EPGR).
Design/methodology/approach
The authors use continuous wavelet transform (CWT), wavelet coherence (WC) and partial wavelet coherence (PWC). First, the authors apply the CWT to examine the evolution of oil prices, EPGR and exchange rate returns. Second, the authors use WC to investigate the relationship between oil price and exchange rate returns (excluding EPGR). Third, the authors use PWC to account for EPGR’s impact on the oil exchange rate returns dynamics and explore partial correlations in the oil and exchange rate returns dynamics.
Findings
The empirical results generally show that EPGR is a key driver in the oil and exchange rate returns nexus.
Practical implications
The relevance of EPGR in influencing exchange rate volatility is confirmed by the findings. As a result, it is critical for government officials and foreign exchange investors to use EPGR as a leading indicator when establishing foreign exchange trading strategies and economic forecasts.
Originality/value
This study is the first, to the best of the authors’ knowledge, to apply a wavelet-based technique to account for EPGR in the relationship between oil and exchange rate returns in the BRICS countries.
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The literature mostly investigates the business cycle transmission of the United Kingdom (UK) and France as a part of a wider group (e.g. European Exchange Rate Mechanism or G7)…
Abstract
Purpose
The literature mostly investigates the business cycle transmission of the United Kingdom (UK) and France as a part of a wider group (e.g. European Exchange Rate Mechanism or G7), despite their historical links and regional significance. Thus, herein paper aims to analyse the inter-dependence of these economies and how a shock from one of them affects the other for the data since 1978 to 2019.
Design/methodology/approach
In this paper, first, preliminary statistics were calculated in order to describe the historical relationship between these countries. The econometric part estimates the vector auto-regression model (VAR) to assess the inter-dependence of the economies. VAR model allows further to inspect the impulse response functions that shows the shock dynamics from one country to another. In order to verify if a shock from one of the economies is important to another, the study uses granger causality test.
Findings
The study establishes a strong link between these countries. A business cycle is transmitted significantly between the economies of France and UK, with a single standard deviation shock from France resulting in a long term effect of 0.4% change in gross domestic product (GDP) of UK and 1% vice versa. Additionally changes in GDP of both of the countries significantly Granger-cause change to GDP of the corresponding economy.
Originality/value
This is the first empirical study investigating the business cycle transmission between France and UK and providing a quantitative assessment of their inter-dependence.
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Alcides Padilla and Jorge David Quintero Otero
This article offers a review of the literature on regional business cycles (BCs) in emerging economies. The objective is synthesizing the existing studies based on theoretical…
Abstract
Purpose
This article offers a review of the literature on regional business cycles (BCs) in emerging economies. The objective is synthesizing the existing studies based on theoretical, empirical and methodological approaches.
Design/methodology/approach
The methodological framework includes the following stages: research questions, bibliography location, the selection of articles and the evaluation of the literature, analysis and synthesis, and the reporting and use of results.
Findings
The evidence suggests that expansionary phases last longer than recessions'; public expenditure shows a pro-cyclical behavior; and factors such as productive structure and international trade explain the synchronization of regional BCs.
Originality/value
Up until now, there is no research that performs a review of regional BCs in emerging economics.
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Hayet Soltani and Mouna Boujelbene Abbes
This study aims to investigate the impact of the COVID-19 pandemic on both of stock prices and investor's sentiment in China during the onset of the COVID-19 crisis.
Abstract
Purpose
This study aims to investigate the impact of the COVID-19 pandemic on both of stock prices and investor's sentiment in China during the onset of the COVID-19 crisis.
Design/methodology/approach
In this study, the ADCC-GARCH model was used to analyze the asymmetric volatility and the time-varying conditional correlation among the Chinese stock market, the investors' sentiment and its variation. The authors relied on Diebold and Yilmaz (2012, 2014) methodology to construct network-associated measures. Then, the wavelet coherence model was applied to explore the co-movements between these variables. To check the robustness of the study results, the authors referred to the RavenPack COVID sentiments and the Chinese VIX, as other measures of the investor's sentiment using daily data from December 2019 to December 2021.
Findings
Using the ADCC-GARCH model, a strong co-movement was found between the investor's sentiment and the Shanghai index returns during the COVID-19 pandemic. The study results provide a significant peak of connectivity between the investor's sentiment and the Chinese stock market return during the 2015–2016 and the end of 2019–2020 turmoil periods. These periods coincide, respectively, with the 2015 Chinese economy recession and the COVID-19 pandemic outbreak. Furthermore, the wavelet coherence analysis confirms the ADCC results, which revealed that the used proxies of the investor's sentiment can detect the Chinese investors' behavior especially during the health crisis.
Practical implications
This study provides two main types of implications: on the one hand, for investors since it helps them to understand the economic outlook and accordingly design their portfolio strategy and allocate decisions to optimize their portfolios. On the other hand, for portfolios managers, who should pay attention to the volatility spillovers between investor sentiment and the Chinese stock market to predict the financial market dynamics during crises periods and hedge their portfolios.
Originality/value
This study attempted to examine the time-varying interactions between the investor's sentiment proxies and the stock market dynamics. Findings showed that the investor's sentiment is considered a prominent channel of shock spillovers during the COVID-19 crisis, which typically confirms the behavioral contagion theory.
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This study explores the interconnectedness and complexity of risk-varied climate initiatives such as green bonds (GBs), emissions trading systems (ETS) and socially responsible…
Abstract
Purpose
This study explores the interconnectedness and complexity of risk-varied climate initiatives such as green bonds (GBs), emissions trading systems (ETS) and socially responsible investments (SRI). The analysis covers the period from September 2011 to August 2022, using six indices: three representing climate initiatives and three indicating uncertainty.
Design/methodology/approach
To achieve this, the study first examines dynamic lead-lag relations and correlation patterns in the time-frequency domain to analyse the returns of the series. Additionally, it applies an innovative approach to investigate the predictability of uncertainty measurements of climate initiatives across various market conditions and frequency spillovers in the short, medium and long run.
Findings
The findings indicate changing relationships between the series, increased linkages during turbulent market periods and strong co-movements within the network. The ETS is recommended for diversification and hedging against uncertainty indices, whereas the GB may be suitable for long-term diversification.
Practical implications
This study highlights the role of climate initiatives as potential hedges and contagion amplifiers during crises, with implications for policy recommendations and the asymmetric effects on market connectedness.
Originality/value
The paper answers questions that previous studies have not and contributes to the literature regarding financial risk management and social responsibility.
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Thai-Ha Le, Long Hai Vo and Farhad Taghizadeh-Hesary
This study examines the co-integration relationships between Association of Southeast Nations (ASEAN) stock indices as a way to assess the feasibility of policy initiatives to…
Abstract
Purpose
This study examines the co-integration relationships between Association of Southeast Nations (ASEAN) stock indices as a way to assess the feasibility of policy initiatives to strengthen market integration in ASEAN and identify implications for portfolio investors.
Design/methodology/approach
The authors employ threshold co-integration tests and a non-linear autoregressive distributed lag (NARDL) model to study the asymmetric dynamics of ASEAN equity markets. The study’s data cover the 2009–2022 period for seven member states: Cambodia, Indonesia, Malaysia, the Philippines, Singapore, Thailand and Vietnam.
Findings
The authors find evidence supporting co-integration relationships; adjustment toward equilibrium is asymmetric in the short run and symmetric in the long run for these countries. While co-movement in ASEAN equity markets seems encouraging for initiatives seeking to foster financial integration in regional economies, the benefits for international portfolio diversification appear to be neutralized.
Originality/value
The issue of stock market integration is important among policymakers, investors and academics. This study examines the level of stock market integration in ASEAN during the 2009–2022 period. For this purpose, advanced co-integration techniques are applied to different frequencies of data (daily, weekly and monthly) for comparison and completeness. The empirical analysis of this study is conducted using the Enders and Siklos (2001) co-integration and threshold adjustment procedure. This advanced co-integration technique is superior compared to other co-integration techniques by permitting asymmetry in the adjustment toward equilibrium.
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This paper provides a thorough examination of Socios.com, a blockchain platform that integrates token sales with the fan experience in the sports industry. The study focuses on…
Abstract
Purpose
This paper provides a thorough examination of Socios.com, a blockchain platform that integrates token sales with the fan experience in the sports industry. The study focuses on three key aspects: the performance, bubble phenomenon and dynamics of fan tokens. The author aims to address important questions that may concern potential supporters and investors. Might sports fans incur financial losses due to their team loyalty? Is the fan token market just a passing trend? Are fan tokens driven by the behaviour of the cryptocurrency market?
Design/methodology/approach
This analysis aims to involve several methodologies. The author evaluates the short- and long-term performance of fan tokens by computing first-day and buy-and-hold (abnormal) returns. The author also employs the Phillips, Shi, and Yu's (PSY) real-time bubble detection method to investigate the presence of bubble phenomenon in the fan token market segment. Finally, the author examines the potential dependences between fan tokens, Chiliz and the cryptocurrency market (represented by the CCi30 index) using both Pearson/Kendall correlations and the wavelet coherence approach.
Findings
The study presents three notable contributions to the existing literature. First, the author demonstrates that investing in fan tokens to support one's favourite sports teams can lead to financial losses, whereas traders can potentially outperform the market by investing in Chiliz. Second, the author states that fan tokens were a short-lived trend, as evidenced by their decline in value after the bubble burst in 2021. Third, the findings indicate that the fan token market was influenced by the cryptocurrency market and Chiliz during periods of market downturns.
Originality/value
To the best of author’s knowledge, this is the first paper to conduct a comprehensive analysis of the performance, bubble phenomenon and dynamics of the token market fan segment, along with the exclusive on-platform currency, Chiliz.