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Investors aim for returns when investing in stocks, making return volatility a crucial concern. This study compares symmetric and asymmetric GARCH models to forecast volatility in emerging nations like the G4 countries. Accurate volatility forecasting is vital for investors to make well-informed investment decisions, forming the core purpose of this study.

From January 1993 to May 2021, the study spans four periods, focusing on the global economic crisis of 2008, the Russian crisis of 2015 and the COVID-19 pandemic. Standard generalized autoregressive conditional heteroscedasticity (GARCH), exponential GARCH (E-GARCH) and Glosten-Jagannathan-Runkle GARCH models were employed to analyse the data. Robustness was assessed using the Akaike information criterion, Schwarz information criterion and maximum log-likelihood criteria.

The study's findings show that the E-GARCH model is the best model for forecasting volatility in emerging nations. This is because the E-GARCH model is able to capture the asymmetric effects of positive and negative shocks on volatility.

This unique study compares symmetric and asymmetric GARCH models for forecasting volatility in emerging nations, a novel approach not explored in prior research. The insights gained can aid investors in constructing more effective risk-adjusted international portfolios, offering a better understanding of stock market volatility to inform strategic investment decisions.

This paper investigates the (a)symmetric effects of financial development in the presence of economic growth, energy consumption, urbanization and foreign direct investment on environmental quality of South Africa between 1980 and 2017.

A robust measure of financial development is generated using banking institutions and non-banking institutions market-based financial development indicators, while environmental quality is measured using carbon footprint, non-carbon footprint and ecological footprint. The objectives of the study are captured using linear and non-linear autoregressive distributed lag.

The result from the symmetric analysis suggests that financial development stimulates carbon footprint and ecological footprint in the short run; however, financial development abates non-carbon footprint. In the long run, financial development has a significant negative effect on carbon footprint and ecological footprint. However, the asymmetric analysis established strong asymmetric effect in the short run, while no asymmetric effect is found in the long run. The short run asymmetric analysis reveals that positive shock in financial development increases carbon footprint and ecological footprint; however, positive changes in financial development reduce non-carbon footprint. Negative shocks in financial development, on the other hand, have a positive impact carbon footprint, non-carbon footprint and ecological footprint.

The study's outcome implies that the concept of “more finance, more growth” could also be applied to “more finance, better environment” in South Africa. The study offers vital policy suggestions for the realization of sustainable development in South Africa.

This empiric adds to the body of knowledge on the influence of financial development on various components of environmental quality (carbon footprint, non-carbon footprint and ecological footprint) in South Africa.

Several studies have examined the effect of formal economy (usually proxy by economic growth) on environmental quality; however, the symmetric and asymmetric impact of the informal economy on environmental quality has not been examined in Nigeria. Therefore, this study aims to explore the short- and long-run (a)symmetric effect of formal and informal economies and financial development on Nigeria’s environmental quality between 1984 and 2017.

The study uses ecological footprint to measure environmental quality. An increase in ecological footprint suggests a fall in environmental quality. Informal economy is calculated as a percentage of GDP using the currency demand approach. Autoregressive distributed lag (ARDL), nonlinear ARDL cointegration framework and vector error correction granger causality are used as estimation techniques.

The study’s outcomes establish the existence of asymmetric structure in the link between economic activities and the environment both in the short and long run. The asymmetric results reveal that positive and negative changes in the formal economy increase the ecological footprint in both periods. Hence, activities in the formal economy reduce environmental quality. On the other hand, positive and negative changes in the informal economy only positively influence the ecological footprint in the long run. In contrast, it negatively impacts the ecological footprint in the short run. This suggests that activities in the informal economy worsen the long-run environmental quality. Financial development has a positive influence on the ecological footprint, thus degrading the environmental quality. Furthermore, in the short run, a unidirectional relationship from the formal economy to the ecological footprint, while a bidirectional causality exists between informal and formal economies. Meanwhile, a unidirectional causality from the (in)formal economies and financial development to the ecological footprint was found in the long run.

The outcome of this study shows that both informal and formal economies contribute to ecological footprint; therefore, mainstreaming the informal economy into the formal economy will further increase the problem of environmental degradation and worsen environmental quality.

The study investigates the symmetric and asymmetric effect of formal and informal economies on environmental quality in Nigeria, which is largely missing in the empirical literature.

The introductory chapter includes how to design-in good practices in theory, data collection procedures, analysis, and interpretations to avoid these bad practices. Given that bad practices in research are ingrained in the career training of scholars in sub-disciplines of business/management (e.g., through reading articles exhibiting bad practices usually without discussions of the severe weaknesses in these studies and by research courses stressing the use of regression analysis and structural equation modeling), this editorial is likely to have little impact. However, scholars and executives supporting good practices should not lose hope. The relevant literature includes a few brilliant contributions that can serve as beacons for eliminating the current pervasive bad practices and for performing highly competent research.

The purpose of this paper is to examine the pricing efficiency of the Malaysian crude palm oil (CPO) market before and after the structural break. This study uses the daily closing price of CPO and CPO futures (CPO-F) for the period ranging from June 2009 to August 2016 while taking structural breaks into account.

In this study, symmetric and asymmetric long-run relationship model are employed, such as the Johansen cointegration, VECM, TAR and M-TAR models, to examine the impact of structural breaks on the pricing efficiency of the Malaysian CPO market.

This finding establish that Malaysian CPO price is efficient before and after the structural break. The consistent efficiency of the Malaysian CPO market supports the trading of the CPO-F in Globex and the use of Malaysian CPO pricing as the reference price. This study establishes that a structural break in the Malaysian CPO price series does not affect the pricing efficiency of the market.

This study shows that using Malaysian CPO price as a reference price is sustainable even in the event of a structural break. Therefore, market participants in the Malaysian CPO market have less to worry about the CPO price as it supports the weak form of efficiency. Price deviation in the short run may not lead to arbitrage profit as transaction cost may not be covered.

This study implies that if there is distortion in the price due to shocks, both manufacturers and producers need to hedge their positions in the futures market (subject to their positions in the underlying market). By entering into the futures market, pricing is locked in advance; hence, price risk is eliminated. Such a distortion could also affect the efficiency of the CPO price, therefore this study also addresses the issue of efficiency of the local CPO market.

Previous studies on Malaysian CPO pricing efficiency did not take the effect of structural break into consideration, making it difficult for these studies to show consistency in the efficiency of the Malaysian CPO market.

This paper aims to model the relationship between oil price and stock returns for selected sectors in Nigeria using monthly data from January 2007 to December 2016.

The authors use both the linear (symmetric) autoregressive distributed lag (ARDL) by Pesaran et al. (2001) and non-linear (asymmetric) ARDL by Shin et al. (2014), and they also account for structural breaks using the Bai and Perron (2003) test that allows for multiple structural changes in regression models.

The results indicate that the strength of this relationship varies across sectors, albeit asymmetric and breaks. The authors identify two structural breaks that occur in 2008 and 2010/2011, which coincidentally correspond to the global financial crisis and the Arab spring (Libyan shutdowns), respectively. Moreover, the authors observe strong support for asymmetry and structural breaks for some sectors in the reaction of sector returns to movement in oil prices. These findings are robust and insensitive when considering different oil proxies. While further extensions can be pursued, the consideration of asymmetric effects as well as structural breaks should not be jettisoned when modelling this nexus.

This study is one of the very few studies that have investigated the sectoral behaviour of stocks to oil price shocks, particularly in Nigeria. This paper contributes to the oil stock literature using the recent technique of asymmetry and also considering the role structural breaks play in the relationship between oil price and stock returns.

The purpose of this paper is to reexamine the speed and magnitude of exchange rate pass-through (ERPT) to consumer prices in Ghana.

The Johansen Maximum Likelihood approach is employed in the estimation of different models of symmetric and asymmetric ERPT. Specifically asymmetric ERPT models with respect to the direction and size of exchange rate changes are estimated.

Results reveal that even though a depreciation in the nominal effective exchange rate will lead to an increase of consumer prices in the long-run, it is not statistically significant. Evidence also suggests a significant asymmetry with respect to direction and size of exchange rate changes. This indicates that the right ERPT model is an asymmetric model. Specifically ERPT is found to be incomplete but relatively higher in periods of depreciation than in periods of appreciation; that is 53 percent against 3 percent. ERPT is also higher during episodes of large changes (about 51 percent).

It would have been interesting to analyze the impact on consumer prices through changes in import prices. That approach was not adopted due to lack of consistent data on import prices in Ghana.

It is imperative that the monetary authorities critically monitor exchange rate movements in order to be able to take swift policy action so as to counteract any inflationary pressures from the external sector. In particular, much attention should be paid to events and arrangements that could result in large depreciation of the exchange rate.

While previous studies have assumed a symmetric ERPT model for Ghana, this paper is unique in that it investigates the most appropriate model for examining ERPT in Ghana whether symmetric or an asymmetric.

This paper aims to introduce a model-based stress-testing methodology for Islamic finance products. The importance of stress testing was indeed clearly underlined by the adverse developments in the global finance industry. One of the key takeaways was the need to strengthen the coverage of the capital framework. Cognisant of this fact, Basel III encapsulates provisions to enhance the financial sector’s ability to withstand shocks arising from possible stress events, thereby reducing adverse spillovers into the real economy. Similarly, the Islamic Financial Services Board requires Islamic financial institutions to run stress tests as part of capital planning.

The authors perform thorough backtests on Islamic and conventional portfolios under widely used risk models, which are characterised by an underlying conditional volatility framework and distribution, to identify the most suitable risk model specification. Associated with an appropriate initial shock and estimation window size, the paper also conducts a model-based stress test to examine whether the stress losses estimated by the selected models compare favourably to the historical shocks.

The results suggest that the model-based framework, when combined with an appropriate risk model and distribution, can successfully reproduce past stress periods. The conditional empirical risk model is the most effective one in both long and short portfolio cases – particularly when combined with a long-enough estimation window. The relative performance of normal vs heavy-tailed distributions and symmetric vs asymmetric risk models, on the other hand, is highly dependent on whether the portfolio is long or short. Finally, the authors find that the Islamic portfolio is generally associated with lower historical stress losses as compared to the conventional portfolio.

The model-based framework eliminates some of the key problems associated with traditional scenario-based approaches and is easily adaptable to Islamic finance.

This paper aims to assess the relationship between oil price and inflation in the Organization for Economic Co-operation and Development (OECD) countries. This paper contributes to knowledge in a number of ways.

First, we carry out a comparative analysis between the developed and developing countries of the OECD. Second, we check if the global financial crisis (GFC) of 2008 altered the oil price–inflation relationship. We further extend our analysis to capture asymmetries using the non-linear autoregressive distributed lag model. Lastly, we use the Campbell and Thompson (2008) forecast evaluation test to comparatively assess the predictive ability of the symmetric (restricted) and asymmetric (unrestricted) models.

Our results show that asymmetries matter in the oil price–inflation nexus. Also, the effect of the GFC of 2008 is stronger for the developed countries in the short run, and the developing countries in the long run. Lastly, accounting for asymmetries in oil price yields a better forecast for inflation in both groups.

The paper adds some interesting innovations to the oil price–inflation relationship in the OECD countries. It is the study with the widest scope for such country group under two classifications of developed and developing countries. It also inculcates the role of asymmetries, financial crisis, as well as the predictive ability of oil price on inflation.

With the launch of CSI 300 Index Futures trading on April 16, 2010, China's stock market presents a more diversified trend, such as arbitrage, trends strategy entering the market rapidly. Therefore, the liquidity demand also presents a higher frequency, and the change is more complex than the original situation. In recent years, many literatures are engaged in high-frequency trading (HFT) related research, and an important concern is the impact of HFT on market volatility and liquidity. Is it playing the role of stabilizing the market, or bringing more noise and turmoil? Based on this, the purpose of this study is trying to study what kind of impact the HFT have on market liquidity before and after the launch of the CSI 300 Index Futures.

The paper uses the simultaneous equations model of price and net order flow proposed by Deuskar and Johnson and for the first time introduces an asymmetric identification through heteroskedasticity (ITH) method. The paper applies the method to the high-frequency data of CSI 300 Index and the Futures and classifies the buying and selling orders through volume clock. The price risks are decomposed into a component driven by the impact of liquidity demand shocks (flow-driven risks (FDRs)) and a component driven by external information (information-driven risks (IDRs)).

The empirical results show that the flow-driven risk of CSI 300 Index Futures is about 20 percent. In addition, before the introduction of the Index Futures, there is no asymmetric effect between liquidity demand shocks and price shocks existing in either CSI 300 Index or CSI 300 Index Futures. While after the introduction of stock Index Futures, the asymmetric effect in the both two markets emerges. The impact of the buying net order flows on the price is less than the impact of the selling net order flows on CSI 300 Index, whereas the impact of the buying net order flows on the price is larger than the impact of the selling net order flows on CSI 300 Index Futures. The paper further analyzes the relationship between liquidity and FDR and gets the conclusion that the reasons for the deterioration of the liquidity level are caused by the impact of the external information shocks, rather than the liquidity demand shocks. And entries of HFTs like arbitrage traders and hedge traders play a positive role in improving the liquidity level in the market.

The paper introduces an asymmetric ITH method for the first time and finds asymmetric effect of the net order flow on the return in both CSI 300 Index market and the corresponding Index Futures market.