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1 – 9 of 9Rania Zghal, Amel Melki and Ahmed Ghorbel
This present work aims at looking into whether or not introducing commodities in international equity portfolios helps reduce the market risk and if hedging is carried out with…
Abstract
Purpose
This present work aims at looking into whether or not introducing commodities in international equity portfolios helps reduce the market risk and if hedging is carried out with the same effectiveness across different regional stock markets.
Design/methodology/approach
The authors determine the optimal hedge ratios and hedging effectiveness of a number of commodity-hedged emerging and developed equity markets, using three versions of MGARCH model: DCC, ADCC and GO-GARCH. The authors also use a rolling window estimation procedure for the purpose of constructing out-of-sample one-step-ahead forecasts of dynamic conditional correlations and optimal hedge ratios.
Findings
Empirical results evince that commodities significantly display effective risk-reducing hedge instruments in short and long runs. The main finding is that commodities do not seem to hedge regional stock markets in the same way. They tend to provide evidence of a rather effective hedging regarding mainly the East European and Latin American stock markets.
Originality/value
The authors study whether commodities can hedge stock markets at regional context and if hedging effectiveness differ from one region to another.
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Malihe Ashena, Hamid Laal Khezri and Ghazal Shahpari
This paper aims to deepen the understanding of the relationship between global economic uncertainty and price volatility, specifically focusing on commodity, industrial materials…
Abstract
Purpose
This paper aims to deepen the understanding of the relationship between global economic uncertainty and price volatility, specifically focusing on commodity, industrial materials and energy price indices as proxies for global inflation, analyzing data from 1997 to 2020.
Design/methodology/approach
The dynamic conditional correlation generalized autoregressive conditional heteroscedasticity model is used to study the dynamic relationship between variables over a while.
Findings
The results demonstrated a positive relationship between commodity prices and the global economic policy uncertainty (GEPU). Except for 1999–2000 and 2006–2008, the results of the energy price index model were very similar to those of the commodity price index. A predominant positive relationship is observed focusing on the connection between GEPU and the industrial material price index. The results of the pairwise Granger causality reveal a unidirectional relationship between the GEPU – the Global Commodity Price Index – and the GEPU – the Global Industrial Material Price Index. However, there is bidirectional causality between the GEPU – the Global Energy Price Index. In sum, changes in price indices can be driven by GEPU as a political factor indicating unfavorable economic conditions.
Originality/value
This paper provides a deeper understanding of the role of global uncertainty in the global inflation process. It fills the gap in the literature by empirically investigating the dynamic movements of global uncertainty and the three most important groups of prices.
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Gaytri Malhotra, Miklesh Prasad Yadav, Priyanka Tandon and Neena Sinha
This study unravels an attempt to investigate the dynamic connectedness of agri-commodity (wheat) of Russia with 10 financial markets of wheat importing counties during the…
Abstract
Purpose
This study unravels an attempt to investigate the dynamic connectedness of agri-commodity (wheat) of Russia with 10 financial markets of wheat importing counties during the Russia–Ukraine invasion.
Design/methodology/approach
This study took the daily prices of Wheat FOB Black Sea Index (Russia) along with stock indices of 10 major wheat-importing nations of Russia and Ukraine. The time frame for this study ranges from February 24, 2022 to July 31, 2022. This time frame was selected since it fully examines all of the effects of the crisis. The conditional correlations and volatility spillovers of these indices are predicted using the DCC-GARCH model, Diebold and Yilmaz (2012) and Baruník and Křehlík (2018) models.
Findings
It is found that there is dynamic linkage of agri-commodity of with stock markets of Iraq, Pakistan and Tanzania in short run while stock markets of Egypt, Turkey, Bangladesh, Pakistan, Brazil and Iraq are spilled by agri-commodity in long run. In addition, it documents that there is large spillover in short run than medium and long run comparatively. This signifies that investors have more diversification opportunity in short run then long run contemplating to invest in these markets.
Originality/value
To the best of the authors’ understanding this is the first study to undertake the dynamic linkage of agri-commodity (wheat) of Russia with financial market of select importing counties during the Russia–Ukraine invasion.
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Michaelia Widjaja, Gaby and Shinta Amalina Hazrati Havidz
This study aims to identify the ability of gold and cryptocurrency (Cryptocurrency Uncertainty Index (UCRY) Price) as safe haven assets (SHA) for stocks and bonds in both…
Abstract
Purpose
This study aims to identify the ability of gold and cryptocurrency (Cryptocurrency Uncertainty Index (UCRY) Price) as safe haven assets (SHA) for stocks and bonds in both conventional (i.e. stock indices and government bonds) and Islamic markets (i.e. Islamic stock indices and Islamic bonds (IB)).
Design/methodology/approach
The authors employed the nonadditive panel quantile regression model by Powell (2016). It measured the safe haven characteristics of gold and UCRY Price for stock indices, government bonds, Islamic stocks, and IB under gold circumstances and level of cryptocurrency uncertainty, respectively. The period spanned from 11 March 2020 to 31 December 2021.
Findings
This study discovered three findings, including: (1) gold is a strong safe haven for stocks and bonds in conventional and Islamic markets under bearish conditions; (2) UCRY Price is a strong safe haven for conventional stocks and bonds but only a weak safe haven for Islamic stocks under high crypto uncertainty; and (3) gold offers a safe haven in both emerging and developed countries, while UCRY Price provides a better safe haven in developed than in emerging countries.
Practical implications
Gold always wins big for safe haven properties during unstable economy. It can also win over investors who consider shariah compliant products. Therefore, it should be included in an investor's portfolio. Meanwhile, cryptocurrencies are more common for developed countries. Thus, the governments and regulators of emerging countries need to provide more guidance around cryptocurrency so that the societies have better literacy. On top of that, the investors can consider crypto to mitigate risks but with limited safe haven functions.
Originality/value
The originality aspects of this study include: (1) four chosen assets from conventional and Islamic markets altogether (i.e. stock indices, government bonds, Islamic stock indices and IB); (2) indicator countries selected based on the most used and owned cryptocurrencies for the SHA study; and (3) the utilization of UCRY Price as a crypto indicator and a further examination of the SHA study toward four financial assets.
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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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Yadong Liu, Nathee Naktnasukanjn, Anukul Tamprasirt and Tanarat Rattanadamrongaksorn
Bitcoin (BTC) is significantly correlated with global financial assets such as crude oil, gold and the US dollar. BTC and global financial assets have become more closely related…
Abstract
Purpose
Bitcoin (BTC) is significantly correlated with global financial assets such as crude oil, gold and the US dollar. BTC and global financial assets have become more closely related, particularly since the outbreak of the COVID-19 pandemic. The purpose of this paper is to formulate BTC investment decisions with the aid of global financial assets.
Design/methodology/approach
This study suggests a more accurate prediction model for BTC trading by combining the dynamic conditional correlation generalized autoregressive conditional heteroscedasticity (DCC-GARCH) model with the artificial neural network (ANN). The DCC-GARCH model offers significant input information, including dynamic correlation and volatility, to the ANN. To analyze the data effectively, the study divides it into two periods: before and during the COVID-19 outbreak. Each period is then further divided into a training set and a prediction set.
Findings
The empirical results show that BTC and gold have the highest positive correlation compared with crude oil and the USD, while BTC and the USD have a dynamic and negative correlation. More importantly, the ANN-DCC-GARCH model had a cumulative return of 318% before the outbreak of the COVID-19 pandemic and can decrease loss by 50% during the COVID-19 pandemic. Moreover, the risk-averse can turn a loss into a profit of about 20% in 2022.
Originality/value
The empirical analysis provides technical support and decision-making reference for investors and financial institutions to make investment decisions on BTC.
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Berna Aydoğan, Gülin Vardar and Caner Taçoğlu
The existence of long memory and persistent volatility characteristics of cryptocurrencies justifies the investigation of return and volatility/shock spillovers between…
Abstract
Purpose
The existence of long memory and persistent volatility characteristics of cryptocurrencies justifies the investigation of return and volatility/shock spillovers between traditional financial market asset classes and cryptocurrencies. The purpose of this paper is to investigate the dynamic relationship between the cryptocurrencies, namely Bitcoin and Ethereum, and stock market indices of G7 and E7 countries to analyze the return and volatility spillover patterns among these markets by means of multivariate (MGARCH) approach.
Design/methodology/approach
Applying the newly developed VAR-GARCH-in mean framework with the BEKK representation, the empirical results reveal that there exists an evidence of mean and volatility spillover effects among Bitcoin and Ethereum as the proxies for the cryptocurrencies, and stock markets reviewed.
Findings
Interestingly, the direction of the return and volatility spillover effects is unidirectional in most E7 countries, but bidirectional relationship was found in most G7 countries. This can be explained as the presence of a strong return and volatility interaction among G7 stock markets and crypto market.
Originality/value
Overall, the results of this study are of particular interest for portfolio management since it provides insights for financial market participants to make better portfolio allocation decisions. It is also increasingly important to understand the volatility transmission mechanism across these markets to provide policymakers and regulatory bodies with guidance to eliminate the negative impact of cryptocurrency's volatility on the stability of financial markets.
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Mumtaz Ali, Ahmed Samour, Foday Joof and Turgut Tursoy
This study aims to assess how real income, oil prices and gold prices affect housing prices in China from 2010 to 2021.
Abstract
Purpose
This study aims to assess how real income, oil prices and gold prices affect housing prices in China from 2010 to 2021.
Design/methodology/approach
This study uses a novel bootstrap autoregressive distributed lag (ARDL) testing to empirically analyze the short and long links among the tested variables.
Findings
The ARDL estimations demonstrate a positive impact of oil price shocks and real income on housing market prices in both the phrases of the short and long run. Furthermore, the results reveal that gold price shocks negatively affect housing prices both in the short and long run. The result can be attributed to China’s housing market and advanced infrastructure, resulting in a drop in housing prices as gold prices increase. Additionally, the prediction of housing market prices will provide a base and direction for housing market investors to forecast housing prices and avoid losses.
Originality/value
To the best of the authors’ knowledge, this is the first attempt to analyze the effect of gold price shocks on housing market prices in China.
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Parichat Sinlapates and Surachai Chancharat
This paper aims to investigate the effects of volatility transmission among Bitcoin and other leading cryptocurrencies, namely, Binance USD, BNB, Cardano, Dogecoin, Ethereum…
Abstract
Purpose
This paper aims to investigate the effects of volatility transmission among Bitcoin and other leading cryptocurrencies, namely, Binance USD, BNB, Cardano, Dogecoin, Ethereum, Polkadot, Polygon, Solana, Tether, USD Coin and XRP.
Design/methodology/approach
The multivariate BEKK-GARCH model is used with the daily data set from 1 January 2017 to 31 March 2023. The data set is analysed in its entirety and is also the COVID-19 epidemic period.
Findings
The study reveals that while the volatility of cryptocurrency prices is influenced by their own historical shocks and volatility, there is proof of the effects shock transmission among Bitcoin and other notable cryptocurrencies. Furthermore, the authors identify the spillover effects of volatility among all 11 pairs and provide evidence that conditional correlations with varying time constants are present, and predominantly positive for both the entire and COVID-19 outbreak periods.
Practical implications
The findings will be helpful to market experts who want to avoid losses in traditional assets. To develop the best risk management and hedging strategies, businesses might use the information to build asset portfolios or personalise payment methods. The use of such data by investors and portfolio managers could aid in the development of investment opportunities, risk insurance plans or hedging strategies for the management of financial portfolios.
Originality/value
To the best of the authors’ knowledge, the use of the BEKK-GARCH model for examining the effects of volatility spillover among Bitcoin and the other eleven top cryptocurrencies has not been previously documented.
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