Journal of Economic Asymmetries最新文献_第10页

The price of war: Effect of the Russia-Ukraine war on the global financial market 战争的代价：俄乌战争对全球金融市场的影响

Journal of Economic Asymmetries Pub Date : 2023-08-25 DOI: 10.1016/j.jeca.2023.e00328

Rima Assaf , Deeksha Gupta , Rahul Kumar

{"title":"The price of war: Effect of the Russia-Ukraine war on the global financial market","authors":"Rima Assaf , Deeksha Gupta , Rahul Kumar","doi":"10.1016/j.jeca.2023.e00328","DOIUrl":"10.1016/j.jeca.2023.e00328","url":null,"abstract":"<div><p>We investigate the effect of the ongoing war between Russia-Ukraine on the global financial market as financial market is sensitive to extreme events and related news. In addition, we are examining the magnitude of war effect on different country groups. Taking the event of a Russian attack on Ukraine, we use the event study method to examine the price impacts of the Russia-Ukraine war 2022 on the global stock market. In addition, we examine the cross-sectional variation in abnormal returns using country-specific variables. Further, we conduct a robustness check to validate the main results for the cross-sectional variation. We find that stock indices show the negative AARs and CAARs after the announcement of the invasion. However, the magnitude of negative return varies for different regions. The developed countries experienced more negative price reactions than emerging countries. In addition, EMEA (Europe, Middle East, and Africa) is the most affected area on a geographical division basis, whereas the American division does not show significant price reactions. Further, countries with higher GDP experienced less sell-off in their indices. We also find that the trade-to-GDP ratio negatively impacts the abnormal returns in the post-event window, indicating that countries with more percentage of the trade in their GDP have been affected to a greater extent.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00328"},"PeriodicalIF":0.0,"publicationDate":"2023-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43770488","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Nuclear Energy, Economic Growth, and the Environment: Optimal policies in a model with endogenous technical change and environmental constraints 核能、经济增长和环境：具有内生技术变化和环境约束的模型中的最优政策

Journal of Economic Asymmetries Pub Date : 2023-08-19 DOI: 10.1016/j.jeca.2023.e00325

Nikos Fatouros , Thanasis Stengos

引用次数: 1

Country risk and bank returns: Evidence from MENA countries 国家风险和银行回报:来自中东和北非国家的证据

Journal of Economic Asymmetries Pub Date : 2023-08-16 DOI: 10.1016/j.jeca.2023.e00329

Mohamed Albaity , Syed Faisal Shah , Hussein A.Hassan Al-Tamimi , Mahfuzur Rahman , Shanmugam Thangavelu

引用次数: 0

Extreme quantile spillovers and connectedness between oil and Chinese sector markets: A portfolio hedging analysis 石油和中国行业市场之间的极端分位数溢出和连通性:一个投资组合对冲分析

Journal of Economic Asymmetries Pub Date : 2023-08-15 DOI: 10.1016/j.jeca.2023.e00327

Walid Mensi , Mohammad Alomari , Xuan Vinh Vo , Sang Hoon Kang

{"title":"Extreme quantile spillovers and connectedness between oil and Chinese sector markets: A portfolio hedging analysis","authors":"Walid Mensi , Mohammad Alomari , Xuan Vinh Vo , Sang Hoon Kang","doi":"10.1016/j.jeca.2023.e00327","DOIUrl":"10.1016/j.jeca.2023.e00327","url":null,"abstract":"<div><p>Oil price instabilities have direct and heterogeneous implications for stock sector markets as a result of portfolio risk management and fund allocations. Previous studies have shown that the oil-stock market nexus is asymmetric and strongly vulnerable to international events. Using daily data of ten Chinese stock sector indices and the West Texas Intermediate crude oil futures over the period from July 2, 2007, to September 3, 2021, we examine the quantile return spillovers and interconnectedness between these markets using the approach of Ando et al. (2022), showing that return spillovers between the markets under investigation are more pronounced under bearish market conditions than during bullish ones. Major financial, political, energy, and COVID-19 pandemic events have magnified spillovers. Irrespective of the state of the market, oil is always a net receiver of return spillovers. Moreover, for all sectors other than materials, the sector that acts as a net receiver during bearish market conditions becomes a net contributor during bullish market conditions, and vice versa. During the COVID-19 period, the hedging technique was the most cost-effective. In the event of a global pandemic, the IT, financial, telecommunication, and energy sectors can benefit from oil's higher hedging effectiveness. Oil was a cheaper hedging asset during the pandemic, and it offered the highest hedging effectiveness to utilities before the outbreak and to the financial sector during the COVID-19 pandemic.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00327"},"PeriodicalIF":0.0,"publicationDate":"2023-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48736584","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Do petrol prices rise faster than they fall? Evidence from the UK retail and wholesale petrol sectors 汽油价格涨得比跌得快吗？来自英国零售和批发汽油行业的证据

Journal of Economic Asymmetries Pub Date : 2023-08-15 DOI: 10.1016/j.jeca.2023.e00326

Chrysovalantis Amountzias

{"title":"Do petrol prices rise faster than they fall? Evidence from the UK retail and wholesale petrol sectors","authors":"Chrysovalantis Amountzias","doi":"10.1016/j.jeca.2023.e00326","DOIUrl":"10.1016/j.jeca.2023.e00326","url":null,"abstract":"<div><p>This study investigates the presence of price asymmetries in the UK retail and wholesale petrol sectors over the period of January 2020–July 2022. The scope of this research is to explore whether petrol prices rise faster than they fall according to changes in input costs, namely fuel and international crude oil prices for the retail and wholesale sector respectively. As the time sample considers the shocks of covid-19 restrictions and rising inflation, the presence of structural breaks is assumed which may contribute to asymmetric behaviour. The Autoregressive Distributive Lag (ARDL) approach is implemented in the pricing equation of the model by formulating four versions for each sector, according to the presence of asymmetries and price-cost margins. The results provide significant evidence of price asymmetries in the retail petrol sector; however, such asymmetries are less pronounced over high margin periods. The wholesale sector is found to be more flexible to changes in crude oil prices as asymmetries are less persistent throughout the sample. Therefore, consumers face rigid petrol prices because of retail firms’ decisions, which should be the focus of policy makers.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00326"},"PeriodicalIF":0.0,"publicationDate":"2023-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49139553","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Financial development threshold effect on wealth inequality-economic growth nexus: Evidence from MENA economies 金融发展阈值对财富不平等-经济增长关系的影响：来自中东和北非经济体的证据

Journal of Economic Asymmetries Pub Date : 2023-08-09 DOI: 10.1016/j.jeca.2023.e00324

Mohamed Ali Chroufa, Nouri Chtourou

{"title":"Financial development threshold effect on wealth inequality-economic growth nexus: Evidence from MENA economies","authors":"Mohamed Ali Chroufa, Nouri Chtourou","doi":"10.1016/j.jeca.2023.e00324","DOIUrl":"10.1016/j.jeca.2023.e00324","url":null,"abstract":"<div><p>This paper investigates the impact of the threshold effect of financial development on the relationship between wealth<span> inequality<span> and economic growth of 13 Middle East-North African (MENA) countries between 1995 and 2019. Applying the fixed-effect threshold panel model introduced by Hansen (1999), we test for a non-linear association between wealth disparity and economic output below and above a threshold value of financial development. The results show that wealth inequality inhibits economic expansion regardless of the level of financial development. Besides, this destructive impact intensifies with increased financial development. Our findings highlight that the rise in the wealth gap especially accompanied by accelerating financial reforms hurts economic growth. The findings of our research provide useful implications for the MENA region. Policymakers should reduce inequality of patrimony by adopting wealth tax to achieve a more equitable capital distribution. Furthermore, governments must adjust the financial development process to make it consistent with wealth equalizing policies and sustainable growth.</span></span></p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00324"},"PeriodicalIF":0.0,"publicationDate":"2023-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49648957","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Analysing financial stability reports as crisis predictors with the use of text-mining 利用文本挖掘分析金融稳定报告作为危机预测因素

Journal of Economic Asymmetries Pub Date : 2023-08-08 DOI: 10.1016/j.jeca.2023.e00322

Łukasz Kurowski, Paweł Smaga

{"title":"Analysing financial stability reports as crisis predictors with the use of text-mining","authors":"Łukasz Kurowski, Paweł Smaga","doi":"10.1016/j.jeca.2023.e00322","DOIUrl":"10.1016/j.jeca.2023.e00322","url":null,"abstract":"<div><p>Central bank analyses and external communication play an important role in maintaining its credibility, as well as effectiveness of monetary and macroprudential policies. A financial stability report is one of the main channels of communication between central banks and the financial market. The aim of the study is to verify whether the linguistic content of those reports contains early warning signals of an upcoming financial crisis. We carefully select 848 words related to Early Warning Indicators and examine whether their appearance in the 604 financial stability reports published by 18 central banks could have indicated an impending global financial crisis (2007+). We use the novel approach of joint application of text-mining and the concept of receiver operating characteristic curve to compare the frequency of selected words before and after the global financial crisis. According to the results, the linguistic content of financial stability reports does not emit any early warning signals (except for the single case of the Central Bank of Iceland). On the one hand, this may indicate potential weaknesses in the quality of analyses in those reports, but on the other hand, it may show a central bank's deliberate avoidance of actions prompting negative effects of a ‘self-fulfilling prophecy’.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00322"},"PeriodicalIF":0.0,"publicationDate":"2023-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42755664","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Effects of the first wave of COVID-19 pandemic on implied stock market volatility: International evidence using a google trend measure 第一波COVID-19大流行对隐含股市波动的影响:使用谷歌趋势指标的国际证据

Journal of Economic Asymmetries Pub Date : 2023-06-12 DOI: 10.1016/j.jeca.2023.e00317

Stephanos Papadamou , Athanasios P. Fassas , Dimitris Kenourgios , Dimitrios Dimitriou

{"title":"Effects of the first wave of COVID-19 pandemic on implied stock market volatility: International evidence using a google trend measure","authors":"Stephanos Papadamou , Athanasios P. Fassas , Dimitris Kenourgios , Dimitrios Dimitriou","doi":"10.1016/j.jeca.2023.e00317","DOIUrl":"10.1016/j.jeca.2023.e00317","url":null,"abstract":"<div><p>This paper investigates the relationship between investors' attention, as measured by Google search queries, and equity implied volatility during the COVID-19 outbreak. Recent studies show that search investors' behavior data is an extremely abundant repository of predictive data, and investor-limited attention increases when the uncertainty level is high. Our study using data from thirteen countries across the globe during the first wave of the COVID-19 pandemic (January–April 2020) examines whether the search “topic and terms” for the pandemic affect market participants’ expectations about future realized volatility. With the panic and uncertainty about COVID-19, our empirical findings show that increased internet searches during the pandemic caused the information to flow into the financial markets at a faster rate and thus resulting in higher implied volatility directly and via the stock return-risk relation. More specifically for the latter, the leverage effect in the VIX becomes stronger as Google search queries intensify. Both the direct and indirect effects on implied volatility, highlight a risk-aversion channel that operates during the pandemic. We also find that these effects are stronger in Europe than in the rest of the world. Moreover, in a panel vector autoregression framework, we show that a positive shock on stock returns may soothe COVID-related Google searches in Europe. Our findings suggest that Google-based attention to COVID-19 leads to elevated risk aversion in stock markets.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00317"},"PeriodicalIF":0.0,"publicationDate":"2023-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10258586/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"10012561","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

CEO duality and firm performance during the 2020 coronavirus outbreak 2020年冠状病毒疫情期间首席执行官的二元性和公司业绩

Journal of Economic Asymmetries Pub Date : 2023-06-01 DOI: 10.1016/j.jeca.2022.e00278

M. Kabir Hassan , Reza Houston , M.Sydul Karim , Ahmed Sabit

{"title":"CEO duality and firm performance during the 2020 coronavirus outbreak","authors":"M. Kabir Hassan , Reza Houston , M.Sydul Karim , Ahmed Sabit","doi":"10.1016/j.jeca.2022.e00278","DOIUrl":"10.1016/j.jeca.2022.e00278","url":null,"abstract":"<div><p>Stewardship theory suggests that CEO duality can provide strong leadership and facilitate the development and coordination of firm strategy. These benefits should affect firm risk and financial performance, particularly when the firm has high information-gathering costs. We use the 2020 coronavirus outbreak as a natural experiment to determine whether CEO duality is beneficial during crisis periods. We find that in 2020, S&P 1500 firms with CEO duality exhibit smaller increases in default probability risk than firms with non-duality in the presence of high information costs. Firms with CEO duality experience a smaller decrease in profitability when information costs are high. We also find that firms with CEO duality offer cumulative abnormal returns significantly higher than those of other firms. CEO duality is more valuable in firms with higher information costs. Our results indicate that CEO duality is valuable during crisis periods, particularly when information costs are high. These results are consistent with stewardship theory and indicate that the concentration of power from CEO duality is beneficial during crisis periods.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"27 ","pages":"Article e00278"},"PeriodicalIF":0.0,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9633622/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"9380752","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 3

Asymmetric price transmission along the supply chain of perishable agricultural commodities: A nonlinear ARDL approach 易腐农产品供应链上的不对称价格传导:一种非线性ARDL方法

Journal of Economic Asymmetries Pub Date : 2023-06-01 DOI: 10.1016/j.jeca.2023.e00305

P.V.S. Harshana, Shyama Ratnasiri

引用次数: 0