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1 – 10 of over 1000This study is the first to investigate the causal relationship between Bitcoin and equity price returns by sectors. Previous studies have focused on aggregated indices such as…
Abstract
Purpose
This study is the first to investigate the causal relationship between Bitcoin and equity price returns by sectors. Previous studies have focused on aggregated indices such as S&P500, Nasdaq and Dow Jones, but this study uses mixed frequency and disaggregated data at the sectoral level. This allows the authors to examine the nature, direction and strength of causality between Bitcoin and equity prices in different sectors in more detail.
Design/methodology/approach
This paper utilizes an Unrestricted Asymmetric Mixed Data Sampling (U-AMIDAS) model to investigate the effect of high-frequency Bitcoin returns on a low-frequency series equity returns. This study also examines causality running from equity to Bitcoin returns by sector. The sample period covers United States (US) data from 3 Jan 2011 to 14 April 2023 across nine sectors: materials, energy, financial, industrial, technology, consumer staples, utilities, health and consumer discretionary.
Findings
The study found that there is no causality running from Bitcoin to equity returns in any sector except for the technology sector. In the tech sector, lagged Bitcoin returns Granger cause changes in future equity prices asymmetrically. This means that falling Bitcoin prices significantly influence the tech sector during market pullbacks, but the opposite cannot be said during market rallies. The findings are consistent with those of other studies that have established that during market pullbacks, individual asset prices have a tendency to decline together, whereas during market rallies, they have a tendency to rise independently. In contrast, this study finds evidence of causality running from all sectors of the equity market to Bitcoin.
Practical implications
The findings have significant implications for investors and fund managers, emphasizing the need to consider the asymmetric causality between Bitcoin and the tech sector. Investors should avoid excessive exposure to both Bitcoin and tech stocks in their portfolio, as this may lead to significant drawdowns during market corrections. Diversification across different asset classes and sectors may be a more prudent strategy to mitigate such risks.
Originality/value
The study's findings underscore the need for investors to pay close attention to the frequency and disaggregation of data by sector in order to fully understand the true extent of the relationship between Bitcoin and the equity market.
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Xue Xin, Yuepeng Jiao, Yunfeng Zhang, Ming Liang and Zhanyong Yao
This study aims to ensure reliable analysis of dynamic responses in asphalt pavement structures. It investigates noise reduction and data mining techniques for pavement dynamic…
Abstract
Purpose
This study aims to ensure reliable analysis of dynamic responses in asphalt pavement structures. It investigates noise reduction and data mining techniques for pavement dynamic response signals.
Design/methodology/approach
The paper conducts time-frequency analysis on signals of pavement dynamic response initially. It also uses two common noise reduction methods, namely, low-pass filtering and wavelet decomposition reconstruction, to evaluate their effectiveness in reducing noise in these signals. Furthermore, as these signals are generated in response to vehicle loading, they contain a substantial amount of data and are prone to environmental interference, potentially resulting in outliers. Hence, it becomes crucial to extract dynamic strain response features (e.g. peaks and peak intervals) in real-time and efficiently.
Findings
The study introduces an improved density-based spatial clustering of applications with Noise (DBSCAN) algorithm for identifying outliers in denoised data. The results demonstrate that low-pass filtering is highly effective in reducing noise in pavement dynamic response signals within specified frequency ranges. The improved DBSCAN algorithm effectively identifies outliers in these signals through testing. Furthermore, the peak detection process, using the enhanced findpeaks function, consistently achieves excellent performance in identifying peak values, even when complex multi-axle heavy-duty truck strain signals are present.
Originality/value
The authors identified a suitable frequency domain range for low-pass filtering in asphalt road dynamic response signals, revealing minimal amplitude loss and effective strain information reflection between road layers. Furthermore, the authors introduced the DBSCAN-based anomaly data detection method and enhancements to the Matlab findpeaks function, enabling the detection of anomalies in road sensor data and automated peak identification.
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The aim of this paper is to provide a narrative review of previous research on tourism demand modelling and forecasting and potential future developments.
Abstract
Purpose
The aim of this paper is to provide a narrative review of previous research on tourism demand modelling and forecasting and potential future developments.
Design/methodology/approach
A narrative approach is taken in this review of the current body of knowledge.
Findings
Significant methodological advancements in tourism demand modelling and forecasting over the past two decades are identified.
Originality/value
The distinct characteristics of the various methods applied in the field are summarised and a research agenda for future investigations is proposed.
目的
本文旨在对先前关于旅游需求建模和预测的研究进行叙述性回顾并对未来潜在发展进行展望。
设计/方法
本文采用叙述性回顾方法对当前知识体系进行了评论。
研究结果
本文确认了过去二十年旅游需求建模和预测方法论方面的重要进展。
独创性
本文总结了该领域应用的各种方法的独特特征, 并对未来研究提出了建议。
Objetivo
El objetivo de este documento es ofrecer una revisión narrativa de la investigación previa sobre modelización y previsión de la demanda turística y los posibles desarrollos futuros.
Diseño/metodología/enfoque
En esta revisión del marco actual de conocimientos sobre modelización y previsión de la demanda turística y los posibles desarrollos futuros,se adopta un enfoque narrativo.
Resultados
Se identifican avances metodológicos significativos en la modelización y previsión de la demanda turística en las dos últimas décadas.
Originalidad
Se resumen las características propias de los diversos métodos aplicados en este campo y se propone una agenda de investigación para futuros trabajos.
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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…
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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Barkha Dhingra, Shallu Batra, Vaibhav Aggarwal, Mahender Yadav and Pankaj Kumar
The increasing globalization and technological advancements have increased the information spillover on stock markets from various variables. However, there is a dearth of a…
Abstract
Purpose
The increasing globalization and technological advancements have increased the information spillover on stock markets from various variables. However, there is a dearth of a comprehensive review of how stock market volatility is influenced by macro and firm-level factors. Therefore, this study aims to fill this gap by systematically reviewing the major factors impacting stock market volatility.
Design/methodology/approach
This study uses a combination of bibliometric and systematic literature review techniques. A data set of 54 articles published in quality journals from the Australian Business Deans Council (ABDC) list is gathered from the Scopus database. This data set is used to determine the leading contributors and contributions. The content analysis of these articles sheds light on the factors influencing market volatility and the potential research directions in this subject area.
Findings
The findings show that researchers in this sector are becoming more interested in studying the association of stock markets with “cryptocurrencies” and “bitcoin” during “COVID-19.” The outcomes of this study indicate that most studies found oil prices, policy uncertainty and investor sentiments have a significant impact on market volatility. However, there were mixed results on the impact of institutional flows and algorithmic trading on stock volatility, and a consensus cannot be established. This study also identifies the gaps and paves the way for future research in this subject area.
Originality/value
This paper fills the gap in the existing literature by comprehensively reviewing the articles on major factors impacting stock market volatility highlighting the theoretical relationship and empirical results.
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Michael O'Neill and Gulasekaran Rajaguru
The authors analyse six actively traded VIX Exchange Traded Products (ETPs) including 1x long, −1x inverse and 2x leveraged products. The authors assess their impact on the VIX…
Abstract
Purpose
The authors analyse six actively traded VIX Exchange Traded Products (ETPs) including 1x long, −1x inverse and 2x leveraged products. The authors assess their impact on the VIX Futures index benchmark.
Design/methodology/approach
Long-run causal relations between daily price movements in ETPs and futures are established, and the impact of rebalancing activity of leveraged and inverse ETPs evidenced through causal relations in the last 30 min of daily trading.
Findings
High frequency lead lag relations are observed, demonstrating opportunities for arbitrage, although these tend to be short-lived and only material in times of market dislocation.
Originality/value
The causal relations between VXX and VIX Futures are well established with leads and lags generally found to be short-lived and arbitrage relations holding. The authors go further to capture 1x long, −1x inverse as well as 2x leveraged ETNs and the corresponding ETFs, to give a broad representation across the ETP market. The authors establish causal relations between inverse and leveraged products where causal relations are not yet documented.
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Sana Braiek and Houda Ben Said
This study aims to empirically explore and compare the dynamic dependency between health-care sector and Islamic industries before, during and after the COVID-19 pandemic.
Abstract
Purpose
This study aims to empirically explore and compare the dynamic dependency between health-care sector and Islamic industries before, during and after the COVID-19 pandemic.
Design/methodology/approach
Time-varying student-t copula is used for before, during and after COVID-19 periods. The data used are the daily frequency price series of the selected markets from February 2017 to October 2023.
Findings
Empirical results found strong evidence of significant impact of the COVID-19 pandemic on the dependence structure of the studied indexes: Co-movements between various sectors are certain. The authors assist also in the birth of new dependence structure with the health-care industry in response to the COVID-19 crisis. This reflects the contagion occurrence from the health-care sector to other sectors.
Originality/value
By specifically examining the Islamic industry, this study sheds light on the resilience, challenges and opportunities within this sector, contributing novel perspectives to the broader discourse on pandemic-related impacts on economies and industries. Also, this paper conducts a comprehensive temporal analysis, examining the dynamics before, during and after the COVID-19 lockdown. Such approach enables an understanding of how the relationship between the health-care sector and the Islamic industry evolves over time, accounting for both short-term disruptions and long-term effects. By considering the pre-pandemic context, the paper adopts a longitudinal perspective, enabling a deeper understanding of how historical trends, structural factors and institutional frameworks shape the interplay between the health-care sector and the Islamic industry.
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The purpose of this study is to highlight and demonstrate how the study of stress and related responses in construction can best be measured and benchmarked effectively.
Abstract
Purpose
The purpose of this study is to highlight and demonstrate how the study of stress and related responses in construction can best be measured and benchmarked effectively.
Design/methodology/approach
A range of perceptual and physiological measures are obtained across different time periods and during different activities in a fieldwork setting. Differences in the empirical results are analysed and implications for future studies of stress discussed.
Findings
The results of this study strongly support the use of multiple psychometrics and biosensors whenever biometrics are included in the study of stress. Perceptual, physiological and environmental factors are all shown to act in concert to impact stress. Strong conclusions on the potential drivers of stress should then only be considered when consistent results apply across multiple metrics, time periods and activities.
Research limitations/implications
Stress is an incredibly complex condition. This study demonstrates why many current applications of biosensors to study stress in construction are not up to the task and provides empirical evidence on how future studies can be significantly improved.
Originality/value
To the best of the author’s knowledge, this is the first study to focus explicitly on demonstrating the need for multiple research instruments and settings when studying stress or related conditions in construction.
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