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This study analyzes the static and dynamic risk spillover between US/Chinese stock markets, cryptocurrencies and gold using daily data from August 24, 2018, to January 29, 2021. This study provides practical policy implications for investors and portfolio managers.

The authors use the Diebold and Yilmaz (2012) spillover indices based on the forecast error variance decomposition from vector autoregression framework. This approach allows the authors to examine both return and volatility spillover before and after the COVID-19 pandemic crisis. First, the authors used a static analysis to calculate the return and volatility spillover indices. Second, the authors make a dynamic analysis based on the 30-day moving window spillover index estimation.

Generally, results show evidence of significant spillovers between markets, particularly during the COVID-19 pandemic. In addition, cryptocurrencies and gold markets are net receivers of risk. This study provides also practical policy implications for investors and portfolio managers. The reached findings suggest that the mix of Bitcoin (or Ethereum), gold and equities could offer diversification opportunities for US and Chinese investors. Gold, Bitcoin and Ethereum can be considered as safe havens or as hedging instruments during the COVID-19 crisis. In contrast, Stablecoins (Tether and TrueUSD) do not offer hedging opportunities for US and Chinese investors.

The paper's empirical contribution lies in examining both return and volatility spillover between the US and Chinese stock market indices, gold and cryptocurrencies before and after the COVID-19 pandemic crisis. This contribution goes a long way in helping investors to identify optimal diversification and hedging strategies during a crisis.

The performance of financial markets is significantly influenced by the political environment during general elections. This study investigates the effect of general elections on stock market performance in selected African markets.

Prior studies have been inconsistent in determining whether electioneering events negatively or positively influence stock market performance. The study utilized panel data set with annual observations from 1990 to 2020. The generalized method of moments (GMM) is employed to investigate the effect of electioneering and change in government on key stock market performance indicators, including stock market capitalization, stock market turnover ratio and the value of stock traded.

The study finds that electioneering activities generally have a positive impact on the performance of the stock market, whereas a change in government has a negative impact. As a result, the study recommends that stakeholders of the stock market remain vigilant and actively monitor electioneering events to devise and implement effective policies aimed at mitigating political risks during general elections. By adopting these measures, investor confidence can be significantly enhanced, fostering a more robust and secure investment environment.

The study investigates a neglected section of the literature by highlighting not only the effect of elections on stock market indicators but also possible change in government during elections.

This study investigates information flow of market constituents and global indices at multi-frequencies.

The study’s findings were obtained using the Improved Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (I-CEEMDAN)-based cluster analysis executed for Rényi effective transfer entropy (RETE).

The authors find that significant negative information flows among sustainability equities (SEs) and conventional equities (CEs) at most multi-frequencies, which exacerbates diversification benefits. The information flows are mostly bi-directional, highlighting the importance of stock markets' constituents and their global indices in portfolio construction.

The authors advocate that both SE and CE markets are mostly heterogeneous, revealing some levels of markets inefficiencies.

The empirical literature on CEs is replete with several dynamics, revealing their returns behaviour for diversification purposes, leaving very little to know about the returns behaviour of SE. Wherein, an avalanche of several initiatives on Corporate Social Responsibility (CSR) enjoin firms to operate socially responsible, but investors need to have a clear reason to remain sustainable into the foreseeable future period. Accordingly, the humble desire of investors is the formation of a well-diversified portfolio and would highly demand stocks to the extent that they form a reliable portfolio, especially, amid SEs and/or CEs.

本研究擬審查多頻率的及為市場成份的信息流和全球指數。

研究人員使用基於改良完全集合經驗模態分解自適應噪聲(Improved Complete Ensemble Empirical Mode Decomposition with Adaptive Noise)的聚類分析法,取得Rényi有效轉移熵,藉此得到研究結果。

我們發現、於大部份多頻率,在持續性股票和傳統股票間有顯著的負信息流動,這會增加多樣化的益處。這些信息流大部份是雙向的,這強調了股票市場成份及其全球指數在構建投資組合上的重要性。

我們認為持續性股票市場和傳統股票市場大多為異質市場,這顯示了市場的低效率,而且這低效率的程度頗大。

關於傳統股票的實證性文獻裡是充滿了變革動力的,這顯示了它們以多樣化為目的的回報行為。這使我們對關於持續性股票的回報行為、認識變得實在太少了。於此,大量的企業社會責任的新措施不斷提醒各公司、要本著企業社會責任的理念去營運;但投資者需清晰明白他們為何需在可見的將來保持可持續性。因此,他們卑微的願望是一個較好的多樣化投資組合得以形成,故此他們高度要求股票要有組成可靠投資組合的性質和能力,特別是在持續性股票和/或傳統股票當中。

This research explores the spillovers and portfolio implications for green bonds and environmental, social and governance (ESG) assets in the context of the rapidly expanding trend in green finance investments and the need for a green recovery in the post-COVID-19 era.

This study utilizes Diebold and Yilmaz’s (2014) spillover method and portfolio strategies (hedge ratio, optimal weights and hedging effectiveness) for the data starting from February 29, 2012, to March 14, 2022.

The study’s findings reveal that the lower volatility spillover is evidenced between the green bonds and ESG stocks during tranquil and turbulent periods (e.g. COVID-19 and Russia-Ukraine War). Furthermore, hedging costs are lower both in normal times and during economic slumps. Investing the bulk of the funds in green bonds makes it possible to achieve maximum hedging effectiveness between the S&P green bond (GB) and the S&P 500 ESG.

Both investors and policymakers may use these findings to make wise investment and policy choices to achieve post-COVID environmental sustainability.

Unlike previous research, this is the first to explore the interconnectedness among the major global and country-specific green bonds and ESG assets. The major findings of this study about the lower volatility spillovers and hedging costs between green bonds and ESG assets during the tranquil and turbulent periods may contribute to the post-COVID investment portfolio for environmental sustainability.

This paper aims to examine the comovement among green bonds, energy commodities and stock market to determine the advantages of adding green bonds to a diversified portfolio.

Generic 1 Natural Gas and Energy Select SPDR Fund are used as proxies to measure energy commodities, bonds index of S&P Dow Jones and Bloomberg Barclays MSCI are used to represent green bonds and the New York Stock Exchange is considered to measure the stock market. Granger causality test, wavelet analysis and network analysis are applied to daily price for the select markets from August 26, 2014, to March 30, 2021.

Results from the Granger causality test indicate no causality between any pair of variables, while cross wavelet transform and wavelet coherence analysis confirm strong coherence at a high scale during the pandemic, validating comovement among the three asset classes. In addition, network analysis further corroborates this connectedness, implying a strong association of the stock market with the energy commodity market.

This study offers new evidence of the temporal association among the US stock market, energy commodities and green bonds during the COVID-19 crisis. It presents a novel approach that measures and evaluates comovement among the constituent series, simultaneously using both wavelet and network analysis.

This study aims to contribute to the field of customer portfolio management by proposing a novel approach rooted in dialectic critical realism (DCR). DCR, as an ontological theory, enables a fundamental reimagining of customer portfolio management as a dialectic process. The conceptualized dialectic portfolio management is motivated by the concept of “absence”, akin to Hegelian “antithesis”, which highlights limitations, problems and tensions in portfolio management. In essence, “absence” serves as a diagnostic tool that directs portfolio actions towards resolving problems by pursuing a more comprehensive “totality”, similar to the Hegelian notion of “synthesis”.

This conceptual paper theorizes DCR in business marketing and customer portfolio management.

DCR conceptualizes customer portfolios as relational structures characterized by omissions and tensions. These issues are addressed through a dialectic synthesis aimed at achieving a more comprehensive “totality”. Consequently, DCR guides portfolio management to continually re-think the connections and distinctions that define a portfolio within its network context. This dialectic process is facilitated by a novel vocabulary that enhances the understanding of network and portfolio relations, incorporating concepts such as “intrapermeations”, “existential constitutions”, “intra-connections” and “intensive” and “extensive” portfolio practices.

This study aims to foster a fresh and process-oriented perspective on portfolio management, drawing inspiration from the growing demand for enriched dialectic theorizing within the realm of business marketing. The adoption of a dialectic process orientation based on DCR revolutionizes the comprehension of portfolio management by fundamentally reimagining the underlying ontological assumptions that underpin the existing body of literature on customer portfolios. Moreover, DCR asserts that ethical considerations are inextricably linked to human experiences and associated practices, emphasizing ethics as an integral component of customer portfolio management.

This paper aims to analyze the connectedness between Gulf Cooperation Council (GCC) stock market index and cryptocurrencies. It investigates the relevant impact of RavenPack COVID sentiment on the dynamic of stock market indices and conventional cryptocurrencies as well as their Islamic counterparts during the onset of the COVID-19 crisis.

The authors rely on the methodology of Diebold and Yilmaz (2012, 2014) to construct network-associated measures. Then, the wavelet coherence model was applied to explore co-movements between GCC stock markets, cryptocurrencies and RavenPack COVID sentiment. As a robustness check, the authors used the time-frequency connectedness developed by Barunik and Krehlik (2018) to verify the direction and scale connectedness among these markets.

The results illustrate the effect of COVID-19 on all cryptocurrency markets. The time variations of stock returns display stylized fact tails and volatility clustering for all return series. This stressful period increased investor pessimism and fears and generated negative emotions. The findings also highlight a high spillover of shocks between RavenPack COVID sentiment, Islamic and conventional stock return indices and cryptocurrencies. In addition, we find that RavenPack COVID sentiment is the main net transmitter of shocks for all conventional market indices and that most Islamic indices and cryptocurrencies are net receivers.

This study provides two main types of implications: On the one hand, it helps fund managers adjust the risk exposure of their portfolio by including stocks that significantly respond to COVID-19 sentiment and those that do not. On the other hand, the volatility mechanism and investor sentiment can be interesting for investors as it allows them to consider the dynamics of each market and thus optimize the asset portfolio allocation.

This finding suggests that the RavenPack COVID sentiment is a net transmitter of shocks. It is considered a prominent channel of shock spillovers during the health crisis, which confirms the behavioral contagion. This study also identifies the contribution of particular interest to fund managers and investors. In fact, it helps them design their portfolio strategy accordingly.

This study aims to conduct an empirical investigation to assess the hedge, diversifier and safe-haven properties of different environmental, social and governance (ESG) assets (i.e. green bonds and ESG equity index) vis-à-vis conventional investments (namely, equity index, gold and commodities).

The authors examine the sample period 2007–2021 using the bivariate cross-quantilogram (CQG) analysis and a dynamic conditional correlation (DCC) multivariate generalized autoregressive conditional heteroskedasticity (GARCH) experiment with several extensions.

The evidence shows that the analyzed ESG investments exhibit mainly diversifying features depending on the asset class taken as a reference, with some potential hedging/safe-haven qualities (for the green bond) in peculiar timespans. Therefore, the results suggest that investors might consider sustainable investing as a new measure of risk reduction, which has interesting implications for both portfolio allocation and policy design.

To the best of the authors’ knowledge, this study is the first that empirically investigates at once the dependence between different ESG investments (i.e. equity and green bond) with different conventional investments such as gold, equity and commodity market indices over a large sample period (2007–2021). Well-suited methodologies like the bivariate CQG and the DCC multivariate GARCH are used to capture the spillover effect and the hedging/diversifying nature, even in temporary contexts. Finally, a global perspective is used.

This study examines the co-integration relationships between Association of Southeast Nations (ASEAN) stock indices as a way to assess the feasibility of policy initiatives to strengthen market integration in ASEAN and identify implications for portfolio investors.

The authors employ threshold co-integration tests and a non-linear autoregressive distributed lag (NARDL) model to study the asymmetric dynamics of ASEAN equity markets. The study’s data cover the 2009–2022 period for seven member states: Cambodia, Indonesia, Malaysia, the Philippines, Singapore, Thailand and Vietnam.

The authors find evidence supporting co-integration relationships; adjustment toward equilibrium is asymmetric in the short run and symmetric in the long run for these countries. While co-movement in ASEAN equity markets seems encouraging for initiatives seeking to foster financial integration in regional economies, the benefits for international portfolio diversification appear to be neutralized.

The issue of stock market integration is important among policymakers, investors and academics. This study examines the level of stock market integration in ASEAN during the 2009–2022 period. For this purpose, advanced co-integration techniques are applied to different frequencies of data (daily, weekly and monthly) for comparison and completeness. The empirical analysis of this study is conducted using the Enders and Siklos (2001) co-integration and threshold adjustment procedure. This advanced co-integration technique is superior compared to other co-integration techniques by permitting asymmetry in the adjustment toward equilibrium.

It has been argued that a mono product economy experiences epileptic growth because it is prone to global dynamics such as epidemic. Therefore, the need to diversify investments cannot be over-emphasized. Hence, the study examined port operation's efficiency and revenue generation in global maritime trade: implications for national growth and development in Nigeria. The objectives of the study are to identify the factors that improve efficiency in port operations, and to ascertain how efficiency of operations will affect revenue generation and national growth.

The study employed correlation and multiple regressions analyses to test the hypothesis which states that port operation's efficiency does not have positive and significant effect on revenue generation in Nigeria. A cross sectional research design and structured questionnaires were deployed in the study and simple random sampling technique was used to select the sample size of 200 respondents.

Results revealed that efficient port operations affect revenue generation and national development.

Port operations in Nigeria are bedeviled with daunting challenges that hamper smooth and efficient working port's system.

The study suggested that modern port's technologies (ICTs) be deployed to enhance operations in the ports and manpower should be trained on regular intervals to understand modern logistics management techniques in the ports. Third, government should provide port infrastructures being the backbone of efficient port system. Lastly, the private sector should be partnered with in several areas including port's concession to facilitate effective and efficient service delivery in the Nigerian ports.