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1 – 10 of over 6000Pham Dinh Long, Bui Quang Hien and Pham Thi Bich Ngoc
The paper aims to shed light on the effects of inflation on gold price and exchange rate in Vietnam by using time-varying cointegration.
Abstract
Purpose
The paper aims to shed light on the effects of inflation on gold price and exchange rate in Vietnam by using time-varying cointegration.
Design/methodology/approach
Using cointegration techniques with fixed coefficient and time-varying coefficient, the study exams the impacts of inflation in models and compares the results through coefficient estimates.
Findings
A significant inflation impacts are found with the time-varying cointegration but not with the fixed coefficient cointegration models. Moreover, monetary policy affects exchange rate not only directly via its instruments as money supply and interest rate but indirectly via inflation. Also, interest rate is one of the determinants of gold price.
Originality/value
To the best of our knowledge, this paper is the first to use time-varying cointegration to analyze the impact of inflation on the gold price and exchange rate in Vietnam. Gold price and exchange rate fluctuations are always the essential and striking issues, which have been emphasized by economists and policymakers. In macroeconometric researches, cointegration models are often used to analyze the long-term relations between variables. Attentionally, applied models show a limitation when estimating coefficients are fixed. This characteristic might not really match with the data properties and the variation of the economy. Currently, time-varying cointegration models are emerging method to solve the above issue.
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Opeoluwa Adeniyi Adeosun, Olumide Adeola Adeosun, Mosab I. Tabash and Suhaib Anagreh
The study aims to examine the relationship among economic policy uncertainty (EPU), geopolitical-risks (GPR), the interaction (EPGR) of EPU and GPR and the returns of gold…
Abstract
Purpose
The study aims to examine the relationship among economic policy uncertainty (EPU), geopolitical-risks (GPR), the interaction (EPGR) of EPU and GPR and the returns of gold, silver, platinum, palladium and rhodium using monthly data from January (1997) to May (2021).
Design/methodology/approach
The paper employs the Markov-switching and the novel Shi et al. (2020) bootstrap time-varying Granger-causality approach.
Findings
Though the Markov-switching shows variation in the responses of precious metals to EPU, GPR and EPGR across low and high states, the paper observes the safe-haven potential of the precious metals in the high regime while the hedging potency is also evident in the results. To further substantiate the safe-haven and hedging properties, the time-varying Granger-causality shows the causal effect of EPU on all the selected precious metal returns coinciding with global events. While the authors show that GPR Granger causes platinum, palladium and rhodium consistently under the rolling/recursive-evolving tests, the authors cannot find the causal effect of GPR on gold and silver returns across the algorithms. The paper also observes persistence in the causal effect of EPGR on palladium and platinum across all the algorithms, while gold and rhodium only show consistency in the responses under the rolling- and recursive-evolving algorithms given the conditions of homoscedasticity and heteroscedasticity.
Practical implications
The authors' results are essential to investors and policymakers since both typically leverage the hedging and safe-haven characteristics of precious metals to obviate downside risks during highly uncertain periods.
Originality/value
The authors' techniques allow examining the hedging and safe-haven properties of precious metals across regimes and date-stamp critical periods of causation inherent in the relationship.
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The purpose of this paper is to empirically estimate industry beta in Indian stock market with three alternative models and compare the accuracy of forecasting error to find the…
Abstract
Purpose
The purpose of this paper is to empirically estimate industry beta in Indian stock market with three alternative models and compare the accuracy of forecasting error to find the most suitable model for time-varying beta estimation.
Design/methodology/approach
The paper applies the standard regression model, Kalman filter model, other statistical approaches and secondary material.
Findings
The paper finds that the existence of dynamic beta in Indian market. The results also indicate systematic risk or beta of Indian industries is susceptible to the global economic effect. Finally, the Kalman filter generates the lower forecasting error compared to the other method for almost all the industries.
Practical implications
The accurate estimation of beta which is a measure of systematic risk helps investors to make investment decision easier. The implication of this result is important for finance practitioners such as portfolio managers, investment advisors and security analysts. This study will help to determine the country risk with respect to the global index and analyze the global financial market integration effect on India.
Originality/value
This paper reliably estimate industry portfolio beta for India. The time-varying beta is estimated using Kalman filter method which is rarely applied in Indian literature. This paper contributes by extending the knowledge of existing literature by introducing a new data set with Indian data which is not affected by the “data snooping” bias. This study will also help to determine the country risk with respect to the global index and analyze the global financial market integration effect on India.
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As the Association of Southeast Asian Nations (ASEAN) becomes an emerging market, US investors will want to know how their favorite method of calculating asset pricing fits into…
Abstract
As the Association of Southeast Asian Nations (ASEAN) becomes an emerging market, US investors will want to know how their favorite method of calculating asset pricing fits into this new undeveloped market. Also, as the ASEAN becomes more internationalized, managers within will look for ways in which the capital asset pricing model (CAPM) can be applied for their needs. This research looks at the capabilities of the CAPM using ex-post time varying and compares it with the traditional constant beta model. The data include five US sectors and five ASEAN countries, for 10 total portfolios. Find that using a simple nonparametric method that allows for time variation is not statistically different from the traditional constant beta model for portfolios. This research provides additional support for the constant beta.
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Mingyuan Guo and Xu Wang
– The purpose of this paper is to analyse the dependence structure in volatility between Shanghai and Shenzhen stock market in China based on high-frequency data.
Abstract
Purpose
The purpose of this paper is to analyse the dependence structure in volatility between Shanghai and Shenzhen stock market in China based on high-frequency data.
Design/methodology/approach
Using a multiplicative error model (hereinafter MEM) to describe the margins in volatility of China’s Shanghai and Shenzhen stock market, this study adopts static and time-varying copulas, respectively, estimated by maximum likelihood estimation method to describe the dependence structure in volatility between Shanghai and Shenzhen stock market in China.
Findings
This paper has identified the asymmetrical dependence structure in financial market volatility more precisely. Gumbel copula could best fit the empirical distribution as it can capture the relatively high dependence degree in the upper tail part corresponding to the period of volatile price fluctuation in both static and dynamic view.
Originality/value
Previous scholars mostly use GARCH model to describe the margins for price volatility. As MEM can efficiently characterize the volatility estimators, this paper uses MEM to model the margins for the market volatility directly based on high-frequency data, and proposes a proper distribution for the innovation in the marginal models. Then we could use copula-MEM other than copula-GARCH model to study on the dependence structure in volatility between Shanghai and Shenzhen stock market in China from a microstructural perspective.
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Hedi Ben Haddad, Sohale Altamimi, Imed Mezghani and Imed Medhioub
This study seeks to build a financial uncertainty index for Saudi Arabia. This index serves as a leading indicator of Saudi economic activity and helps to describe economic…
Abstract
Purpose
This study seeks to build a financial uncertainty index for Saudi Arabia. This index serves as a leading indicator of Saudi economic activity and helps to describe economic fluctuations and forecast economic trends.
Design/methodology/approach
This study adopts an extension of the Jurado et al. (2015) procedure by combining financial uncertainty factors with their net spillover effects on GDP and inflation to construct an aggregate financial uncertainty index. The authors consider 13 monthly financial variables for Saudi Arabia from January 2010 to June 2021.
Findings
The empirical results show that the constructed financial uncertainty estimates are good leading indicators of economic activity. The robustness analysis suggests that the authors’ proposed financial uncertainty estimators outperform the alternative estimates used by other existing approaches to estimate the financial conditions index.
Originality/value
To the best of the authors’ knowledge, this is the first attempt at constructing a financial uncertainty index for Saudi Arabia. This study extends the empirical literature, from which the authors propose a novel conceptual framework for building a financial uncertainty index by combining the approach of Jurado et al. (2015) and the time-varying connectedness network approach proposed by Antonakakis et al. (2020)
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Company intellectual capital (IC) is nowadays considered as a key resource that can transform a company’s value. For this reason, the efficiency of IC is crucial for all…
Abstract
Purpose
Company intellectual capital (IC) is nowadays considered as a key resource that can transform a company’s value. For this reason, the efficiency of IC is crucial for all stakeholders. Evaluating efficiency is difficult, because IC is partly unobservable and its efficiency varies across time. The aim of this study is to suggest a methodology for estimating the dynamic efficiency of a company’s intellectual resources.
Design/methodology/approach
The panel data model suggested by Kneip et al. (2012) is used to estimate dynamic efficiency. The main feature of this model is that the unobservable component has a multi-dimensional factor structure. Taking advantage of the ability of this model to control for unobserved complex heterogeneity, the authors use the results in further stochastic frontier analysis. A data set containing information about Russian companies for the period from 2001 to 2010 is used.
Findings
In this paper, the dynamic efficiency of Russian companies is estimated. It is shown that, using the traditional efficiency estimate, companies can be overestimated.
Research limitations/implications
The main limitation of the suggested methodology is that it is necessary to have a long panel data structure.
Practical implications
Taking advantage of time-varying efficiency, one can estimate the efficiency growth rate as a measure of performance, standard deviation as a measure of risk and autocorrelation as a measure of stability.
Originality/value
This is the first study to present clear evidence of the time-varying nature of IC efficiency. On the methodological side, the paper presents a fairly simple method capable of estimating various indicators of a company’s efficiency.
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Opeoluwa Adeniyi Adeosun, Suhaib Anagreh, Mosab I. Tabash and Xuan Vinh Vo
This paper aims to examine the return and volatility transmission among economic policy uncertainty (EPU), geopolitical risk (GPR), their interaction (EPGR) and five tradable…
Abstract
Purpose
This paper aims to examine the return and volatility transmission among economic policy uncertainty (EPU), geopolitical risk (GPR), their interaction (EPGR) and five tradable precious metals: gold, silver, platinum, palladium and rhodium.
Design/methodology/approach
Applying time-varying parameter vector autoregression (TVP-VAR) frequency-based connectedness approach to a data set spanning from January 1997 to February 2023, the study analyzes return and volatility connectedness separately, providing insights into how the data, in return and volatility forms, differ across time and frequency.
Findings
The results of the return connectedness show that gold, palladium and silver are affected more by EPU in the short term, while all precious metals are influenced by GPR in the short term. EPGR exhibits strong contributions to the system due to its elevated levels of policy uncertainty and extreme global risks. Palladium shows the highest reaction to EPGR, while silver shows the lowest. Return spillovers are generally time-varying and spike during critical global events. The volatility connectedness is long-term driven, suggesting that uncertainty and risk factors influence market participants’ long-term expectations. Notable peaks in total connectedness occurred during the Global Financial Crisis and the COVID-19 pandemic, with the latter being the highest.
Originality/value
Using the recently updated news-based uncertainty indicators, the study examines the time and frequency connectedness between key uncertainty measures and precious metals in their returns and volatility forms using the TVP-VAR frequency-based connectedness approach.
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David Basterfield, Thomas Bundt and Kevin Nordt
The purpose of this paper is to explore risk management models applied to electric power markets. Several Value‐at‐Risk (VaR) models are applied to day‐ahead forward contract…
Abstract
Purpose
The purpose of this paper is to explore risk management models applied to electric power markets. Several Value‐at‐Risk (VaR) models are applied to day‐ahead forward contract electric power price data to see which, if any, could be best used in practice.
Design/methodology/approach
A time‐varying parameter estimation procedure is used which gives all models the ability to track volatility clustering.
Findings
The RiskMetrics model outperforms the GARCH model for 95 per cent VaR, whereas the GARCH model outperforms RiskMetrics for 99 per cent VaR. Both these models are better at handling volatility clustering than the Stable model. However, the Stable model was more accurate in detecting the numbers of daily returns beyond the VaR limits. The fact that the parsimonious RiskMetrics model performed well suggests that efforts to specify the model dynamics may be unnecessary in practice.
Research limitations/implications
The present study provides a starting point for further research and suggests models that could be applied to electricity markets.
Originality/value
Electricity markets are a challenge to risk modelers, as they typically exhibit non‐Normal return distributions with time‐varying volatility. Previous academic research in this area is rather scarce.
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This study aims to examine the interconnection among the oil volatility index (OVX) and the Chinese stock markets (CSM) during the financial crisis over the period June 1, 2007 to…
Abstract
Purpose
This study aims to examine the interconnection among the oil volatility index (OVX) and the Chinese stock markets (CSM) during the financial crisis over the period June 1, 2007 to June 26, 2012.
Design/methodology/approach
Applying the time-varying Granger causality test, this paper conducts an exhaustive analysis of the OVX and the CSMs during the financial crisis. In particular, the financial crisis is classified in three stages, namely, the US subprime crisis, the global financial crisis and the sovereign debt crisis.
Findings
Briefly, the findings indicate almost a neutral relationship between the OVX and the CSMs during the entire financial crisis, the US subprime crisis and the global financial crisis. Finally, this paper has found a positive relationship between the OVX and the CSMs during the sovereign debt crisis.
Practical implications
This outcome clearly suggests that Chinese investors have to disregard uncertain information. In addition, policymakers can ameliorate the willingness of market investors in the CSM and further deepen the market-oriented reform of China’s domestic oil prices.
Originality/value
The innovative combination of these two strands, the OVX and the three stages of the financial crisis, is empirically examined in the study and this paper finds a non-linear linkage between the OVX and CSMs.
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