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1 – 10 of 187Shuifeng Hong, Yimin Luo, Mengya Li and Duoping Yang
This paper aims to empirically investigate time–frequency linkages between Euramerican mature and Asian emerging crude oil futures markets in terms of correlation and risk…
Abstract
Purpose
This paper aims to empirically investigate time–frequency linkages between Euramerican mature and Asian emerging crude oil futures markets in terms of correlation and risk spillovers.
Design/methodology/approach
With daily data, the authors first undertake the MODWT method to decompose yield series into four different timescales, and then use the R-Vine Copula-CoVaR to analyze correlation and risk spillovers between Euramerican mature and Asian emerging crude oil futures markets.
Findings
The empirical results are as follows: (a) short-term trading is the primary driver of price volatility in crude oil futures markets. (b) The crude oil futures markets exhibit certain regional aggregation characteristics, with the Indian crude oil futures market playing an important role in connecting Euramerican mature and Asian emerging crude oil futures markets. What’s more, Oman crude oil serves as a bridge to link Asian emerging crude oil futures markets. (c) There are significant tail correlations among different futures markets, making them susceptible to “same fall but different rise” scenarios. The volatility behavior of the Indian and Euramerican markets is highly correlated in extreme incidents. (d) Those markets exhibit asymmetric bidirectional risk spillovers. Specifically, the Euramerican mature crude oil futures markets demonstrate significant risk spillovers in the extreme short term, with a relatively larger spillover effect observed on the Indian crude oil futures market. Compared with India and Japan in Asian emerging crude oil futures markets, China's crude oil futures market places more emphasis on changes in market fundamentals and prefers to hold long-term positions rather than short-term technical factors.
Originality/value
The MODWT model is utilized to capture the multiscale coordinated motion characteristics of the data in the time–frequency perspective. What’s more, compared to traditional methods, the R-Vine Copula model exhibits greater flexibility and higher measurement accuracy, enabling it to more accurately capture correlation structures among multiple markets. The proposed methodology can provide evidence for whether crude oil futures markets exhibit integration characteristics and can deepen our understanding of connections among crude oil futures prices.
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Using a GED-GARCH model to estimate monthly data from January 1990 to February 2022, we test whether gold acts as a hedge or safe haven asset in 10 countries. With a downturn of…
Abstract
Using a GED-GARCH model to estimate monthly data from January 1990 to February 2022, we test whether gold acts as a hedge or safe haven asset in 10 countries. With a downturn of the stock market, gold can be viewed as a hedge and safe haven asset in the G7 countries. In the case of inflation, gold acts as a hedge and safe haven asset in the United States, United Kingdom, Canada, China, and Indonesia. For currency depreciation, oil price shock, economic policy uncertainty, and US volatility spillover, evidence finds that gold acts as a hedge and safe haven for all countries.
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Maria Babar, Habib Ahmad and Imran Yousaf
This study examines the information transmission (return and volatility spillovers) among energy commodities (crude oil, natural gas, Brent oil, heating oil, gasoil, gasoline) and…
Abstract
Purpose
This study examines the information transmission (return and volatility spillovers) among energy commodities (crude oil, natural gas, Brent oil, heating oil, gasoil, gasoline) and Asian stock markets which are net importers of energy (China, India, Indonesia, Malaysia, Korea, Pakistan, Philippines, Taiwan, Thailand).
Design/methodology/approach
The information transmission is investigated by employing the spillover index of Diebold and Yilmaz, using daily data for the period January 2000 to May 2021.
Findings
A Strong connectedness is documented between the two classes of asset, especially during crisis periods. Our findings reveal that most of the energy markets, except gasoil and natural gas, are net transmitters of information, whereas all the stock markets, excluding Indonesia and Korea, are net recipients.
Practical implications
The findings are helpful for portfolio managers and institutional investors allocating funds to various asset classes in times of crisis.
Originality/value
All data is original.
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The purpose of this paper is to examine the effects of several structural shocks in oil prices on the Vietnamese economy and answer three key research questions: Is there a…
Abstract
Purpose
The purpose of this paper is to examine the effects of several structural shocks in oil prices on the Vietnamese economy and answer three key research questions: Is there a relationship between oil price shocks and macroeconomic indicators in Vietnam? How do different types of oil price impulses affect Vietnamese inflation and economic performance? To what extent do structural shocks in oil prices explain variations in Vietnam’s macroeconomic indicators?
Design/methodology/approach
Lower triangular Cholesky decomposition is performed on a short-term impact matrix in a two-block structural vector autoregressive model. The data set is defined monthly, from January 2000 to December 2021. The contributions of structural shocks in oil prices to the domestic variances are analysed using variance decomposition methods. In this study, both forecast error variance decomposition and historical decomposition are used.
Findings
The consequences of oil price fluctuations on Vietnamese output and inflation depend on different sources of oil price shocks. In comparison, oil supply shocks have an insignificant effect on both domestic industrial output and consumer price index inflation; however, positive shocks in aggregate and precautionary oil demands increase these domestic indicators substantially and sustainably. An analysis of variance decompositions reveals that supply-side oil shocks have very limited explanatory power for variations in domestic variables. Nevertheless, the contributions of unanticipated demand-side booms to domestic variations in the past and projected forecasts are considerable.
Research limitations/implications
The findings from this research uncover potential risks for Vietnam’s economic prospects if the consequences of oil price shocks are not managed effectively.
Originality/value
Given the lack of economic sensitivity to supply-side oil shocks and the strong response to shifts in oil demands, greater pressure on the domestic economy is likely when Vietnam increases its dependence on oil imports.
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Mustafa Raza Rabbani, M. Kabir Hassan, Syed Ahsan Jamil, Mohammad Sahabuddin and Muneer Shaik
In this study, the authors analyze the impact of geopolitics risk on Sukuk, Islamic and composite stocks, oil and gold markets and portfolio diversification implications during…
Abstract
Purpose
In this study, the authors analyze the impact of geopolitics risk on Sukuk, Islamic and composite stocks, oil and gold markets and portfolio diversification implications during the COVID-19 pandemic and Russia–Ukraine conflict period.
Design/methodology/approach
The study used a mix of wavelet-based approaches, including continuous wavelet transformation and discrete wavelet transformation. The analysis used data from the Geopolitical Risk index (GP{R), Dow Jones Sukuk index (SUKUK), Dow Jones Islamic index (DJII), Dow Jones composite index (DJCI), one of the top crude oil benchmarks which is based on the Europe (BRENT) (oil fields in the North Sea between the Shetland Island and Norway), and Global Gold Price Index (gold) from May 31, 2012, to June 13, 2022.
Findings
The results of the study indicate that during the COVID-19 and Russia–Ukraine conflict period geopolitical risk (GPR) was in the leading position, where BRENT confirmed the lagging relationship. On the other hand, during the COVID-19 pandemic period, SUKUK, DJII and DJCI are in the leading position, where GPR confirms the lagging position.
Originality/value
The present study is unique in three respects. First, the authors revisit the influence of GPR on global asset markets such as Islamic stocks, Islamic bonds, conventional stocks, oil and gold. Second, the authors use the wavelet power spectrum and coherence analysis to determine the level of reliance based on time and frequency features. Third, the authors conduct an empirical study that includes recent endogenous shocks generated by health crises such as the COVID-19 epidemic, as well as shocks caused by the geopolitical danger of a war between Russia and Ukraine.
Highlights
We analyze the impact of geopolitics risk on Sukuk, Islamic and composite stocks, oil and gold markets and portfolio diversification implications during the COVID-19 pandemic and Russia–Ukraine conflict period.
The results of the wavelet-based approach show that Dow Jones composite and Islamic indexes have observed the highest mean return during the study period.
GPR and BRENT are estimated to have the highest amount of risk throughout the observation period.
Dow Jones Sukuk, Islamic and composite stock show similar trend of volatility during the COVID-19 pandemic period and comparatively gold observes lower variance during the COVID-19 pandemic and Russia–Ukraine conflict.
We analyze the impact of geopolitics risk on Sukuk, Islamic and composite stocks, oil and gold markets and portfolio diversification implications during the COVID-19 pandemic and Russia–Ukraine conflict period.
The results of the wavelet-based approach show that Dow Jones composite and Islamic indexes have observed the highest mean return during the study period.
GPR and BRENT are estimated to have the highest amount of risk throughout the observation period.
Dow Jones Sukuk, Islamic and composite stock show similar trend of volatility during the COVID-19 pandemic period and comparatively gold observes lower variance during the COVID-19 pandemic and Russia–Ukraine conflict.
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This paper aims to investigate the relationship between oil price shocks and world food prices between 1974 and 2018.
Abstract
Purpose
This paper aims to investigate the relationship between oil price shocks and world food prices between 1974 and 2018.
Design/methodology/approach
The authors use the SVAR model to disentangle the oil price into supply, aggregate demand and oil-specific demand shocks and apply the detrended cross-correlations analysis to measure the association between oil price shocks and food returns/volatility and analyze contagion effects between oil and food markets.
Findings
The results show that the correlations between oil and food prices depend on whether oil prices changes are driven by supply or demand shocks. Particularly, food returns (volatility) are positively (negatively) more dependent on the oil price changes driven by aggregate demand (oil specific demand) shocks. Further analysis dealing with contagion analysis between oil and food markets shows a contagion effect during the food crisis of 2006–2008. Oil-specific demand shocks are the main source of this phenomenon.
Research limitations/implications
This study differentiates itself from the previous literature by simultaneously disentangling oil price into supply, aggregate demand and oil-specific demand-driven shocks and evaluating the cross-correlations between each shock type and food returns/volatility. Specifically, this study has the originality of detecting the main source of contagion effects between oil and food markets over the food crisis of 2006–2008.
Practical implications
The results of this study are important for policymakers and investors. They should account for the oil price fluctuations differently depending on whether the oil price shocks are driven by the demand or supply side. Moreover, they should anticipate an increase (decrease) in food prices due to a positive (negative) oil shock. In addition, special attention should be accorded to the world oil demand. Finally, when a food crisis occurs, markets operators should focus more on the specific oil-demand shocks, as it is the most contributor to possible contagion effects between oil and food markets.
Originality/value
This study differentiates itself from the previous literature by simultaneously disentangling oil price into supply, aggregate demand and oil-specific demand-driven shocks and evaluating the cross-correlations between each shock type and food returns/volatility. Specifically, this study has the originality of detecting the main source of contagion effects between oil and food markets over the food crisis of 2006–2008.
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Amel Belanès, Abderrazek Ben Maatoug and Mohamed Bilel Triki
The paper investigates the dynamic relationship between oil prices, the USA dollar exchange rate and the Saudi stock market index.
Abstract
Purpose
The paper investigates the dynamic relationship between oil prices, the USA dollar exchange rate and the Saudi stock market index.
Design/methodology/approach
The authors perform a novel dynamic simulated the autoregressive distributed lag (ARDL) on weekly data from 2010 to 2021.
Findings
The authors' work reveals three main results: First, a cointegration relationship exists between oil prices and the Saudi stock market index. Second, the Saudi stock market is strongly affected by fluctuations in oil prices in both the short and long run. Third, the exchange rate of the USA dollar has a slight influence on the movements of the Saudi stock market. The simulations show that the Saudi stock market index has a long-run upward trend after an oil price shock, while the dollar index rises moderately after a similar shock. Moreover, the first months of the COVID-19 pandemic coincided with a significant decline in the Saudi stock market index, particularly the substantial drop in oil prices.
Practical implications
These findings encourage domestic and foreign investors to benefit from an upward trend in oil prices, especially after the opening of the Saudi market to foreign investment. On the other hand, it raises questions about the Saudi economy's dependence on oil as the sole vehicle for output growth. It highlights the urgent need for diversification and productivity growth in the non-oil sector and other renewable natural resources to increase Saudi competitiveness.
Originality/value
The novelty of the research lies in the following. First, the authors apply one of the latest developments in time-series modeling techniques. This dynamic ARDL simulation model provides a worthwhile alternative way to explore dynamic correlations in the short and long run and assess the choc effects. Secondly, the study would enable us to track the impact of the COVID-19 health crisis on the Saudi stock market.
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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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Precious Muhammed Emmanuel, Ogochukwu Theresa Ugwunna, Chibuzor C. Azodo and Oluseyi D. Adewumi
The purpose of this study is to empirically analyse the fiscal revenue implications for oil-dependent African countries in the face of low-carbon energy transition (LET).
Abstract
Purpose
The purpose of this study is to empirically analyse the fiscal revenue implications for oil-dependent African countries in the face of low-carbon energy transition (LET).
Design/methodology/approach
The study combined the novel fully modified ordinary least squares, dynamic ordinary least squares and canonical cointegrating regressions estimators to analyse secondary data between 1990 and 2020 for the three major oil-dependent African Countries (Algeria, Angola and Nigeria).
Findings
The result shows that LET reduces oil revenue and non-revenue for specific countries (Algeria, Angola and Nigeria) and the panel, suggesting that low-carbon energy transiting is lowering the fiscal revenue of oil-dependent African nations.
Research limitations/implications
The seeming weakness of this study is its inability to broaden the scope to include all oil-producing African economies. However, since the study selected Africa’s top three oil-producing states, the sample can serve as a model for others with lesser crude oil outputs.
Practical implications
Oil-dependent African countries must urgently engage in sincere economic diversification in sectors like industry and manufacturing, the service sector and human capital development to promote economic transformation that will enhance fiscal revenue.
Originality/value
With the pace of energy transition towards low-carbon energy, it is not business as usual for oil-rich African countries (Algeria, Angola and Nigeria) due to fluctuating demand and price. As a result, it becomes worthy to examine how the transition is affecting oil-dependent economies in Africa. Also, this study’s method is unique as it has not been used in a similar study for Africa.
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Ping Wei, Jingzi Zhou, Xiaohang Ren and Farhad Taghizadeh-Hesary
This paper aims to explore the quantile-specific short- and long-term effects of economic policy uncertainty (EPU) on the efficiency of the green bond market.
Abstract
Purpose
This paper aims to explore the quantile-specific short- and long-term effects of economic policy uncertainty (EPU) on the efficiency of the green bond market.
Design/methodology/approach
This study examines the long-term cointegration relationship and the short-term fluctuation relationship of EPU, WTI crude oil price (WTI) and European Union Allowances price (EUA) with the green bond market efficiency (GBE) using the quantile autoregressive distributed lag method. Additionally, the authors analyze the differences before and after the Covid-19 pandemic.
Findings
EPU has a significant positive impact on the GBE before the outbreak. However, during the crisis period, the impact of EPU and WTI was greatly weakened, whereas the impact of EUA was strengthened.
Practical implications
This paper demonstrates the dynamics of GBE and its influencing factors under different periods. The findings provide insights for market participants and policymakers to gain a clearer understanding of the green bond market.
Originality/value
This paper extends the study of green bonds by quantifying the GBE and elucidating the nonlinear relationship between efficiency and independent variables at different quantiles over different periods.
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