Journal of Economic Asymmetries最新文献_第7页

Exploring crisis-driven return spillovers in APEC stock markets: A frequency dynamics analysis 探讨亚太经合组织股票市场危机驱动的回报溢出效应:频率动态分析

Journal of Economic Asymmetries Pub Date : 2023-11-28 DOI: 10.1016/j.jeca.2023.e00342

Shubham Kakran , Vineeta Kumari , Parminder Kaur Bajaj , Arpit Sidhu

{"title":"Exploring crisis-driven return spillovers in APEC stock markets: A frequency dynamics analysis","authors":"Shubham Kakran , Vineeta Kumari , Parminder Kaur Bajaj , Arpit Sidhu","doi":"10.1016/j.jeca.2023.e00342","DOIUrl":"https://doi.org/10.1016/j.jeca.2023.e00342","url":null,"abstract":"<div><p>This study investigates return spillovers<span> in APEC region stock markets influenced by three major crises (the global financial crisis (GFC), the COVID-19 Pandemic, and the Russia- Ukraine conflict). The Diebold and Yilmaz (2012) approach with the Baruník and Křehlík (2018) methodology is employed. The results indicate that the spillover effect is crisis-sensitive, time-varying, and frequency-dependent across the APEC countries' equity markets. The GFC had the most significant spillover effect, followed by COVID-19 and the Russia-Ukraine conflict. While New Zealand, Vietnam, and the Philippines are the net risk recipients, the larger economies of the US, Canada, and Mexico are net risk contributors. Moreover, we analyzed return spillover across three different frequencies for three sub-periods, revealing that the GFC dominates short-term spillovers (five days/one week), while COVID-19 dominates long-term (above five days). Results reveal a fascinating aspect of hedging, highlighting that its costs are higher over the long term than the short term. Interestingly, hedging proves to be more effective over a long time, particularly during crises, thus emphasizing the crucial role played by the time-investment horizon factor.</span></p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"29 ","pages":"Article e00342"},"PeriodicalIF":0.0,"publicationDate":"2023-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138448613","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

Does US financial crisis influence the relationship between ownership holdings and stock performance? The case of a developing economy 美国金融危机是否影响了持股与股票表现之间的关系?以发展中经济体为例

Journal of Economic Asymmetries Pub Date : 2023-11-25 DOI: 10.1016/j.jeca.2023.e00338

Brahmadev Panda , Sasikanta Tripathy , Gaurav Kumar

{"title":"Does US financial crisis influence the relationship between ownership holdings and stock performance? The case of a developing economy","authors":"Brahmadev Panda , Sasikanta Tripathy , Gaurav Kumar","doi":"10.1016/j.jeca.2023.e00338","DOIUrl":"https://doi.org/10.1016/j.jeca.2023.e00338","url":null,"abstract":"<div><p>This study investigates the influence of the U.S. financial crisis on the relationship between ownership holdings and stock performance by assessing the asymmetries between the effects of insider and institutional ownership before, during and after the U.S. financial crisis. The study examines NIFTY 500-listed companies over a period of 16 years, from 2002 to 2017, and distinguishes between three economic phases, namely the pre-crisis (2002–2007), the crisis (2008–2009) and the post-crisis (2010–2017) period. To test our hypothesis, we employ the panel-data techniques of feasible generalised least squares and system-generalised methods of moments to control for autocorrelation, heteroscedasticity and endogeneity issues. The findings reveal that insider ownership had significant U-shaped and inverted-U-shaped effects during the pre-crisis and the post-crisis phase, respectively, which confirms the existence of the monitoring and expropriation effects of insiders. The favourable effect of domestic institutions during the crisis phase supports the notion that such owners engage in efficient monitoring during periods of economic turbulence. The adverse effect of foreign institutional ownership during the pre-crisis period implies either a conflict of interest or capital-gain motives that resulted in selling behaviour when the market economy was growing. The time-variant effects of insider and institutional ownership are noted. Our findings have immense significance for investors and executives who wish to understand the varied effects of insider and institutional ownership as they pertain to the management of a crisis that is caused by an exogenous shock.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"29 ","pages":"Article e00338"},"PeriodicalIF":0.0,"publicationDate":"2023-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138438181","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

Optimal threshold taxation: An empirical investigation for developing economies 最优起征点税收:发展中经济体的实证研究

Journal of Economic Asymmetries Pub Date : 2023-11-25 DOI: 10.1016/j.jeca.2023.e00343

Lucas Menescal , José Alves

引用次数: 0

Oil in crisis: What can we learn 危机中的石油:我们能学到什么

Journal of Economic Asymmetries Pub Date : 2023-11-01 DOI: 10.1016/j.jeca.2023.e00339

Umar Nawaz Kayani , M. Kabir Hassan , Faten Moussa , Gazi Farid Hossain

{"title":"Oil in crisis: What can we learn","authors":"Umar Nawaz Kayani , M. Kabir Hassan , Faten Moussa , Gazi Farid Hossain","doi":"10.1016/j.jeca.2023.e00339","DOIUrl":"https://doi.org/10.1016/j.jeca.2023.e00339","url":null,"abstract":"<div><p>This study focuses on the Chicago Board Options Exchange Oil Volatility Index (CBOEOVX)'s volatility transmission to the European stock markets. In the first section, to determine the contingent connection between market returns and CBOEOVX and to examine if CBOEOVX return Granger causes economic capital rates of return, the Dynamic Conditional Correlation (DCC) GARCH model has been used. Then, the study examined the asymmetric effects of fluctuations in estimated unpredictability on markets' profitability as the last step of the methoology. In this regard, the study applies quantile regression to examine the asymmetrical effect of the CBOEOVX on the market's daily returns. We have discovered a statistically significant inverse link that changes over time across our various sample markets. This hints at and supports CBOEOVX ‘s influence on the European stock market as a source of primary energy risk. In addition, we find substantial evidence of an asymmetric effect of fluctuations in the CBOEOVX on very negative market profits in the lowest quartile. Our findings not only build on and support previous research and add to the existing body of knowledge but also have evident consequences for future research, regulatory authorities, and practitioners. Practitioners and regulators may use these findings to better comprehend the connection between all crises and pave the path for the future.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00339"},"PeriodicalIF":0.0,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"92031519","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

Stock markets from COVID-19 to the Russia–Ukraine crisis: Structural breaks in interactive effects panels 从2019冠状病毒病到俄罗斯-乌克兰危机的股市:互动效果小组的结构性突破

Journal of Economic Asymmetries Pub Date : 2023-11-01 DOI: 10.1016/j.jeca.2023.e00340

Chiraz Karamti , Ahmed Jeribi

{"title":"Stock markets from COVID-19 to the Russia–Ukraine crisis: Structural breaks in interactive effects panels","authors":"Chiraz Karamti , Ahmed Jeribi","doi":"10.1016/j.jeca.2023.e00340","DOIUrl":"https://doi.org/10.1016/j.jeca.2023.e00340","url":null,"abstract":"<div><p>Financial markets are frequently exposed to a variety of crises at the national, regional, and global levels, with potentially heterogeneous effects on market performance. To make sound investment and policy choices, investors and policymakers are constantly concerned about the market's behavior during such times of extreme stress. This article explores the impact of the two recent crises—the Russian–Ukraine war and the COVID-19 pandemic—on equity markets using Karavias et al.’s (2022) panel data approach and daily data from January 2020 to April 2022. Unlike conventional panel data models, this novel technique assesses the presence and location of common structural breaks across the studied countries while accommodating unobserved heterogeneity and panel dependency. We hypothesize that the conflict's impact on global equity markets is heterogeneous and based on countries' economic-political connection or proximity to the war zone, notably among sanctioning countries (the G7) and non-sanctioning countries (the Russia-China-India triple or RIC). Our results suggest that the G7's financial markets are more sensitive to country-specific macroeconomic factors and commodity price changes during extreme market stress than those of the RIC triad. Moreover, the war has a stronger influence on the G7 stock markets through commodity prices, with a greater impact of natural gas and wheat prices for this group. These findings are consistent with the fact that markets in developed economies with an extreme reliance on commodities are more sensitive to crises and international conflicts.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00340"},"PeriodicalIF":0.0,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91989770","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

Fiscal asymmetries and debt crises: Evidence from Lebanon using a sign restricted structural VAR model 财政不对称与债务危机:来自黎巴嫩的证据——基于符号限制结构VAR模型

Journal of Economic Asymmetries Pub Date : 2023-11-01 DOI: 10.1016/j.jeca.2023.e00334

Simon Neaime, Nasser Badra, Isabelle Gaysset

引用次数: 0

Does income inequality respond asymmetrically to financial development? Evidence from India using asymmetric cointegration and causality tests 收入不平等对金融发展的反应是否不对称?来自印度的证据采用非对称协整和因果检验

Journal of Economic Asymmetries Pub Date : 2023-11-01 DOI: 10.1016/j.jeca.2023.e00341

Ishfaq Nazir Khanday, Md. Tarique

{"title":"Does income inequality respond asymmetrically to financial development? Evidence from India using asymmetric cointegration and causality tests","authors":"Ishfaq Nazir Khanday, Md. Tarique","doi":"10.1016/j.jeca.2023.e00341","DOIUrl":"https://doi.org/10.1016/j.jeca.2023.e00341","url":null,"abstract":"<div><p>Using NARDL model and Hatemi-j-asymmetric causality test, this work scrutinizes the asymmetric interactions between income inequality and financial development in India. The empirical findings support the existence of asymmetric structures in the finance-inequality nexus. It is found that negative shocks in financial development ameliorate income inequality while as, positive shocks in financial development exacerbate income inequality in an asymmetric manner. Wald's test and asymmetric cumulative dynamic multipliers used in the study also lend credence to the presence of asymmetric structures in the finance-inequality relationship demonstrating the robustness of our estimates. Furthermore, asymmetric causality tests reveal a unidirectional asymmetric causality between positive shocks in financial development and income inequality. The study divulges need to account for asymmetry in finance–inequality which previous studies neglected. National strategies for financial education, financial inclusion for unbanked segments of the population by expanding financial services network to hitherto unbanked areas, tailoring of financial products and services as per the specific needs of people, reducing interest rates on loans to businesses that qualify as small and medium enterprises must be among the top priorities of policy makers.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00341"},"PeriodicalIF":0.0,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"92031520","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

Investor behavior in the currency option market during the COVID-19 pandemic 新冠肺炎大流行期间货币期权市场的投资者行为

Journal of Economic Asymmetries Pub Date : 2023-10-09 DOI: 10.1016/j.jeca.2023.e00337

Wael Dammak , Nahla Boutouria , Salah Ben Hamad , Christian de Peretti

引用次数: 0

Asymmetric responses of equity returns to changes in exchange rates at different market volatility levels 不同市场波动水平下股票回报对汇率变化的不对称反应

Journal of Economic Asymmetries Pub Date : 2023-10-05 DOI: 10.1016/j.jeca.2023.e00336

Michael D. Herley , Lucjan T. Orlowski , Mark A. Ritter

{"title":"Asymmetric responses of equity returns to changes in exchange rates at different market volatility levels","authors":"Michael D. Herley , Lucjan T. Orlowski , Mark A. Ritter","doi":"10.1016/j.jeca.2023.e00336","DOIUrl":"https://doi.org/10.1016/j.jeca.2023.e00336","url":null,"abstract":"<div><p><span>Our study aims to explore interactions between equity market returns and exchange rates at different market risk zones proxied by the Chicago Board Options Exchange Volatility Index (VIX). We analyze comovements between daily S&P 500 returns and three different USD exchange rates: the Federal Reserve's Nominal Broad U.S. Dollar Index, the Nominal Advanced Foreign Economies U.S. Dollar Index, and the USD in euro. The comovements are examined at three VIX zones (low, intermediate, and high) that we identify by employing the self-exciting threshold autoregressive SETAR(2,p) tests on daily data from January 03, 2006 to January 23, 2023. We subsequently employ VAR and conditional least square tests for S&P 500 returns and log changes in USD exchange rates with all showing the most robust transmission of shocks between </span>equity returns and exchange rates in the high VIX zone. We further run Markov switching tests to identify specific jump periods from low to high responsiveness of equity returns to the USD exchange rate. Our tests show that interactions between equity returns and exchange rates are asymmetric, i.e., the exchange rate elasticity of equity returns is pronounced during periods of high market volatility and indiscernible at periods of low volatility. These findings may be useful for forecasting equity returns, exchange rates, as well as for asset pricing and portfolio diversification.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00336"},"PeriodicalIF":0.0,"publicationDate":"2023-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49815043","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

Ex-post and real-time estimations of the output gap: A new assessment of fiscal procyclicality in the eurozone 产出缺口的事后和实时估计：对欧元区财政顺周期性的新评估

Journal of Economic Asymmetries Pub Date : 2023-09-29 DOI: 10.1016/j.jeca.2023.e00332

Giovanni Carnazza

{"title":"Ex-post and real-time estimations of the output gap: A new assessment of fiscal procyclicality in the eurozone","authors":"Giovanni Carnazza","doi":"10.1016/j.jeca.2023.e00332","DOIUrl":"https://doi.org/10.1016/j.jeca.2023.e00332","url":null,"abstract":"<div><p>The revisions implemented twice a year by the European Commission significantly change not only the forecasts but also the past values of the output gap. Consequently, many possible time series exist. Based on a new approach for estimating a real-time definition of the business cycle, we develop a comparative framework between <em>ex-post</em> and real-time variables using dynamic panel data models with FE, GLS and AB estimators. The real-time version of the output gap solves the important endogeneity issue between the budget balance and the output gap. Considering the period from 1995 to 2021 and the 19 Eurozone countries, our analysis deepens the cyclical nature of fiscal policy, pointing to robust procyclicality. Regardless of the specification, fiscal policy was found to be procyclical, but real-time and <em>ex-pos</em>t estimates have shown some interesting discrepancies (<em>i.e.</em>, on a real-time basis, discretionary budgetary decisions have never been significantly expansionary, and the likely positive effects of automatic stabilisers during economic downturns have been weakened by spending reductions and/or revenue increases). Our findings may help the future reform of the Stability and Growth Pact.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00332"},"PeriodicalIF":0.0,"publicationDate":"2023-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49815280","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