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1 – 10 of over 7000Yang Gao, Yangyang Li and Yaojun Wang
This paper aims to explore the interaction between investor attention and green security markets, including green bonds and stocks.
Abstract
Purpose
This paper aims to explore the interaction between investor attention and green security markets, including green bonds and stocks.
Design/methodology/approach
This study takes the Baidu index of “green finance” as the proxy for investor attention and constructs several generalized prediction error variance decomposition models to investigate the interdependence. It further analyzes the dynamic interaction between investor attention and the return and volatility of green security markets using the rolling time window.
Findings
The empirical analysis and robustness test results reveal that the spillovers between investor attention and the return and volatility of the green bond market are relatively stable. In contrast, the spillover level between investor attention and the green stock market displays significant time-varying and asymmetric effects. Moreover, the volatility spillover between investor attention and green securities is vulnerable to major financial events, while the return spillover is extremely sensitive to market performance.
Originality/value
The conclusion further expands the practical application and theoretical framework of behavioral finance in green finance and provides a new reference for investors and regulators. Besides, this study also lays a theoretical basis for investors to focus on the practical application of volatility prediction and risk management in green securities.
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Buvanesh Chandrasekaran and Rajesh H. Acharya
The purpose of this paper is to empirically examine the volatility and return spillover between exchange-traded funds (ETFs) and their respective benchmark indices in India. The…
Abstract
Purpose
The purpose of this paper is to empirically examine the volatility and return spillover between exchange-traded funds (ETFs) and their respective benchmark indices in India. The paper uses time series data which consist of equity ETF and respective index returns.
Design/methodology/approach
The study uses autoregressive moving average–generalized autoregressive conditional heteroscedasticity and autoregressive moving average–exponential generalized autoregressive conditional heteroscedasticity models. The study uses data from the inception date of each ETF to December 2016.
Findings
The findings of the paper confirm that there is unidirectional return spillover from the benchmark index to ETF returns in most of the ETFs. Furthermore, ETF and benchmark index return have volatility persistence and show the presence of asymmetric volatility wherein a negative news has more influence on volatility compared to a positive news. Finally, unlike unidirectional return spillover, there is a bidirectional volatility spillover between ETF and benchmark index return.
Practical implications
The study has several practical implications for investors and regulators. A positive daily mean return over a fairly long period of time indicates that the passive equity ETFs can be a viable long-term investment option for ordinary investors. A bidirectional volatility spillover between the ETFs and benchmark index returns calls for the attention of the market regulators to examine the reasons for the same.
Originality/value
ETFs have seen fast growth in the Indian market in recent years. The present study considers the longest period data possible.
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Emmanuel Joel Aikins Abakah, Aviral Kumar Tiwari, Johnson Ayobami Oliyide and Kingsley Opoku Appiah
This paper investigates the static and dynamic directional return spillovers and dependence among green investments, carbon markets, financial markets and commodity markets from…
Abstract
Purpose
This paper investigates the static and dynamic directional return spillovers and dependence among green investments, carbon markets, financial markets and commodity markets from January 2013 to September 2020.
Design/methodology/approach
This study employed both the quantile vector autoregression (QVAR) and time-varying parameter VAR (TVP-VAR) technique to examine the magnitude of static and dynamic directional spillovers and dependence of markets.
Findings
Results show that the magnitude of connectedness is extremely higher at quantile levels (q = 0.05 and q = 0.95) compared to those in the mean of the conditional distribution. This connotes that connectedness between green bonds and other assets increases with shock size for both negative and positive shocks. This further indicates that return shocks spread at a higher magnitude during extreme market conditions relative to normal periods. Additional analyses show the behavior of return transmission between green bond and other assets is asymmetric.
Practical implications
The findings of this study offer significant implications for portfolio investors, policymakers, regulatory authorities and investment community in terms of carefully assessing the unique characteristics offered by each markets in terms of return spillovers and dependence and diversifying the portfolios.
Originality/value
The study, first, uses a relatively new statistical technique, the QVAR advanced by Ando et al. (2018), to capture upper and lower tails’ quantile price connectedness and directional spillover. Therefore, the results possess adequate power against departure from mean-based conditional connectedness. Second, using a portfolio of green investments, carbon markets, financial markets and commodity markets, the uniqueness of this study lies in the examination of the static and dynamic dependence of the markets examined.
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Maria Babar, Habib Ahmad and Imran Yousaf
This study examines the information transmission (return and volatility spillovers) among energy commodities (crude oil, natural gas, Brent oil, heating oil, gasoil, gasoline) and…
Abstract
Purpose
This study examines the information transmission (return and volatility spillovers) among energy commodities (crude oil, natural gas, Brent oil, heating oil, gasoil, gasoline) and Asian stock markets which are net importers of energy (China, India, Indonesia, Malaysia, Korea, Pakistan, Philippines, Taiwan, Thailand).
Design/methodology/approach
The information transmission is investigated by employing the spillover index of Diebold and Yilmaz, using daily data for the period January 2000 to May 2021.
Findings
A Strong connectedness is documented between the two classes of asset, especially during crisis periods. Our findings reveal that most of the energy markets, except gasoil and natural gas, are net transmitters of information, whereas all the stock markets, excluding Indonesia and Korea, are net recipients.
Practical implications
The findings are helpful for portfolio managers and institutional investors allocating funds to various asset classes in times of crisis.
Originality/value
All data is original.
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Hsiu-Chuan Lee, Chih-Hsiang Hsu and Cheng-Yi Chien
The purpose of this paper is to investigate volatility spillovers across the interest rate swap markets of the G7 economies, and then the authors investigate whether spillovers of…
Abstract
Purpose
The purpose of this paper is to investigate volatility spillovers across the interest rate swap markets of the G7 economies, and then the authors investigate whether spillovers of swap markets contain useful information to explain subsequent stock price movements.
Design/methodology/approach
This study uses the short- and long-term swap spread volatility of the G7 countries to explore the spillover effects of international swap markets, and then investigates the relationship between swap and stock markets. The authors use the generalized VAR approach suggested by Diebold and Yilmaz (2012) to study spillovers of international swap markets. The Granger-causality tests are employed to examine the linkage of interest rate swap and stock markets.
Findings
This paper shows that a moderate spillover effect exists for the short- and long-term swap markets. Moreover, the results show that the short- and long-term swap markets of France and Germany have a larger impact on other countries’ swap markets than that of other countries’ swap markets on the French and German swap markets. Finally, the results indicate that the total volatility spillovers for the long-term swap markets have a larger influence on the total volatility spillover index of stock markets and the global stock market volatility than that of the short-term swap markets.
Originality/value
Prior literature has used impulse response and variance decomposition analyses to investigate international swap markets linkages. However, the results depend on the ordering of variables. This study uses the framework of Diebold and Yilmaz (2012) to overcome the ordering issue, and thus the authors can compute directional spillovers. This paper is the first study to explore the linkage of the total volatility spillover of swap markets and the stock markets.
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The purpose of this paper is to examine weekly dynamic conditional correlations (DCC) and vector autoregressive (VAR)-based volatility spillover effects within the three Greater…
Abstract
Purpose
The purpose of this paper is to examine weekly dynamic conditional correlations (DCC) and vector autoregressive (VAR)-based volatility spillover effects within the three Greater China (GC) public property markets, as well as across the GC property markets, three Asian emerging markets and two developed markets of the USA and Japan over the period from January 1999 through December 2013.
Design/methodology/approach
First, the author employ the DCC methodology proposed by Engle (2002) to examine the time-varying nature in return co-movements among the public property markets. Second, the author appeal to the generalized VAR methodology, variance decomposition and the generalized spillover index of Diebold and Yilmaz (2012) to investigate the volatility spillover effects across the real estate markets. Finally, the spillover framework is able to combine with recent developments in time series econometrics to provide a comprehensive analysis of the dynamic volatility co-movements regionally and globally. The author also examine whether there are volatility spillover regimes, as well as explore the relationship between the volatility spillover cycles and the correlation spillover cycles.
Findings
Results indicate moderate return co-movements and volatility spillover effects within and across the GC region. Cross-market volatility spillovers are bidirectional with the highest spillovers occur during the global financial crisis (GFC) period. Comparatively, the Chinese public property market's volatility is more exogenous and less influenced by other markets. The volatility spillover effects are subject to regime switching with two structural breaks detected for the five sub-groups of markets examined. There is evidence of significant dependence between the volatility spillover cycles across stock and public real estate, due to the presence of unobserved common shocks.
Research limitations/implications
Because international investors incorporate into their portfolio allocation not only the long-term price relationship but also the short-term market volatility interaction and return correlation structure, the results of this study can shed more light on the extent to which investors can benefit from regional and international diversification in the long run and short-term within and across the GC securitized property sector, with Asian emerging market and global developed markets of Japan and USA. Although it is beyond the scope of this paper, it would be interesting to examine how the two co-movement measures (volatility spillovers and correlation spillovers) can be combined in optimal covariance forecasting in global investing that includes stock and public real estate markets.
Originality/value
This is one of very few papers that comprehensively analyze the dynamic return correlations and conditional volatility spillover effects among the three GC public property markets, as well as with their selected emerging and developed partners over the last decade and during the GFC period, which is the main contribution of the study. The specific contribution is to characterize and measure cross-public real estate market volatility transmission in asset pricing through estimates of several conditional “volatility spillover” indices. In this case, a volatility spillover index is defined as share of total return variability in one public real estate market attributable to volatility surprises in another public real estate market.
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The purpose of this paper is to provide a method for computing the spillover index first proposed by Diebold and Yilmaz (2009), with empirical application on Asian stock markets…
Abstract
Purpose
The purpose of this paper is to provide a method for computing the spillover index first proposed by Diebold and Yilmaz (2009), with empirical application on Asian stock markets.
Design/methodology/approach
It is based on a VAR-structural-GARCH model.
Findings
The results clearly show that the main driver of fluctuations in Asian financial markets is the USA, with China having little connection with other markets. Further, evidence of financial contagion is found during both the 1997 Asian financial crisis and the 2008 global financial crisis.
Originality/value
The method has two advantages: it is both uniquely determined and dynamic.
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Dimitrios Vortelinos, Konstantinos Gkillas (Gillas), Costas Syriopoulos and Argyro Svingou
The purpose of this paper is to examine the inter-relations among the US stock indices.
Abstract
Purpose
The purpose of this paper is to examine the inter-relations among the US stock indices.
Design/methodology/approach
Data of nine US stock indices spanning a period of sixteen years (2000-2015) are employed for this purpose. Asymmetries are examined via an error correction model. Non-linear inter-relations are researched via Breitung’s nonlinear cointegration, a M-G nonlinear causality model, shocks to the forecast error variance, a shock spillover index and an asymmetric VAR-GARCH (VAR-ABEKK) approach.
Findings
The inter-relations are significant. The results are robust across all types of inter-relations. They are highest in the Lehman Brothers sub-period. Higher stability after the EU debt crisis, enhances independence and growth for the US stock indices.
Originality/value
To the best of the knowledge, this is the first study to examine the inter-relations of US stock indices. Most studies on inter-relations concentrate on the portfolio analysis to reveal diversification benefits among various asset markets internationally. Hence this study contributes to this literature on the inter-relations of a specific asset market (stock), and in a specific nation (USA). The evident inter-relations support the notion of diversification benefits in the US stock markets.
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Athanasios Tsagkanos, Dimitrios Koumanakos and Michalis Pavlakis
The purpose of this study is to examine the transmission of volatility between business confidence index and stock market indices in Greece. The country remains the riskiest…
Abstract
Purpose
The purpose of this study is to examine the transmission of volatility between business confidence index and stock market indices in Greece. The country remains the riskiest project in European Union (EU) and previous studies fail to reach an accurate conclusion regarding the direction of this transmission.
Design/methodology/approach
The study covers the period from January 2013 to August 2022 in monthly basis where important economic events occur. Considering that these economic events derive strong volatility moments, the authors adopt a new methodology that measures the transmission of volatility with higher precision. This is the generalized spillover analysis by Diebold and Yilmaz (2009, 2012).
Findings
The results indicate that Business Confidence Index (BCI) is the main receiver of volatility spillovers in Greece under all aspects of the used methodology. The specificity of the results shows that business activity through a green growth model is what drives investor confidence and then their activities.
Originality/value
Although a handful of studies have considered the transmission of volatility between BCI and stock market indices, this study contributes in several ways. This study focuses on one country (Greece), avoiding the dispersion of the results from the examination of the relationship in several countries. The used country remains the riskiest project in EU even nowadays, while other studies fail to confirm the main direction of volatility spillovers from business confidence to stock returns. This study covers a period that is ignored by previous studies and includes important economic events. In addition, considering that these economic events derive strong volatility moments, a new methodology is adopted in this field of research that measures the transmission of volatility with higher accuracy.
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Maria Babar, Habib Ahmad and Imran Yousaf
This study investigate the return and volatility spillover among agricultural commodities and emerging stock markets during various crises, including the COVID-19 pandemic and the…
Abstract
Purpose
This study investigate the return and volatility spillover among agricultural commodities and emerging stock markets during various crises, including the COVID-19 pandemic and the Russian-Ukrainian war.
Design/methodology/approach
This return and volatility spillover is estimated using Diebold and Yilmaz (2012, 2014) approach.
Findings
The results reveal the weak connectedness between agricultural commodities and emerging stock markets. Corn and sugar are the highest and lowest transmitters, respectively, whereas soya bean and coffee are the largest and smallest recipients of spillover over time. Most equity indices are the net recipient except for India, China, Indonesia, Argentina and Mexico, during the entire sample period. Most commodities are net transmitters of volatility spillover except coffee and soya bean. At the same time, major equity indices are the net recipient of the volatility spillover except for India, Indonesia, China, Argentina, Malaysia and Korea. In addition, the return and volatility spillover increase during various crises like the COVID-19 pandemic and the Russian-Ukrainian war, but the major increase in spillovers occurs during the COVID-19 pandemic.
Practical implications
The empirical results show a weak relationship between agricultural commodities and emerging stock markets which is helpful for investors and portfolio managers in the construction and reallocation of their portfolios under different periods, most notably under COVID-19 and the Russian-Ukrainian war.
Originality/value
It is an original paper.
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