Journal of Economic Asymmetries最新文献_第8页

Public debt, current account, and economic growth in Germany: Evidence from a nonlinear ARDL model 德国公共债务、经常账户和经济增长：来自非线性ARDL模型的证据

Journal of Economic Asymmetries Pub Date : 2023-09-27 DOI: 10.1016/j.jeca.2023.e00335

George Zestos , Yixiao Jiang , Alex Hamed , Samuel Raymond

引用次数: 0

How do sectoral Islamic equity markets react to geopolitical risk, economic policy uncertainty, and oil price shocks? 伊斯兰股票市场如何应对地缘政治风险、经济政策不确定性和油价冲击？

Journal of Economic Asymmetries Pub Date : 2023-09-26 DOI: 10.1016/j.jeca.2023.e00333

Md. Bokhtiar Hasan , M. Kabir Hassan , Asem Alhomaidi

{"title":"How do sectoral Islamic equity markets react to geopolitical risk, economic policy uncertainty, and oil price shocks?","authors":"Md. Bokhtiar Hasan , M. Kabir Hassan , Asem Alhomaidi","doi":"10.1016/j.jeca.2023.e00333","DOIUrl":"https://doi.org/10.1016/j.jeca.2023.e00333","url":null,"abstract":"<div><p>This study explores the impact of three major risk and uncertainty indices (Geopolitical Risk (GPR), Economic Policy Uncertainty (EPU), and Oil Market Volatility (OVX)) on the Dow Jones Islamic Market (DJIM) World and the ten major sectoral Islamic equity indices. The investigation further evaluates whether the impact of these uncertainties varies between Islamic sectoral indices and the global benchmark. Our time-varying analysis shows that most Islamic equity indices are more resilient in hedging against GPR and EPU shocks compared to OVX shocks. Furthermore, the Quantile-on-Quantile results establish a positive correlation between DJIM World and most Islamic equity indices with GPR, demonstrating their robust capabilities to hedge against GPR shocks. These hedging abilities are more pronounced in the consumer goods, oil & gas, and financial sectors. The dependence structures between extreme EPU shocks and the DJIM world and consumer goods, financials, healthcare, and industrial sectors are positive only in bearish conditions, suggesting hedging benefits are predominantly limited to lower quantiles. Yet, the basic materials and oil & gas sectors can hedge EPU shocks better than the DJIM world and other sectors, depending on market states. Notably, no Islamic equity indices show resilience against OVX shocks. Our findings have prominent portfolio risk management and policy implications for investors and policymakers. These findings hold significant implications for portfolio risk management and policy strategies for investors and policymakers.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00333"},"PeriodicalIF":0.0,"publicationDate":"2023-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49815045","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

A vaccine for volatility? An empirical analysis of global stock markets and the impact of the COVID-19 vaccine 一种针对波动性的疫苗?全球股市与COVID-19疫苗影响的实证分析

Journal of Economic Asymmetries Pub Date : 2023-09-09 DOI: 10.1016/j.jeca.2023.e00331

Niall O'Donnell, Darren Shannon, Barry Sheehan

{"title":"A vaccine for volatility? An empirical analysis of global stock markets and the impact of the COVID-19 vaccine","authors":"Niall O'Donnell, Darren Shannon, Barry Sheehan","doi":"10.1016/j.jeca.2023.e00331","DOIUrl":"https://doi.org/10.1016/j.jeca.2023.e00331","url":null,"abstract":"<div><p>The oscillation of COVID-19 growth has had a sustaining impact on financial markets. This study investigates the asymmetric impact of COVID-19 growth and recovery on financial markets. Examining ten epicenters of the virus from 01/01/2021 to 31/12/2021, we utilize a stepwise regression methodology and a diverse set of control variables. Controlling for volatility, credit risk, liquidity risk, monetary policy, gold, and oil, our findings indicate a significant impact of COVID-19 on equity indices. Vaccination growth correlates with positive price movements in the USA, UK, China, Japan, France, and Spain. Simultaneously, negative price trends align with virus growth in the USA, UK, China, Japan, Spain, and World models. A nexus of causality between COVID-19, global oil markets, and equity prices is identified, while credit and liquidity risks emerged as significant risk factors in China. Our results highlight the pertinence of swift vaccine developments, lockdown interventions, and central bank responses, providing valuable insights to governments, regulators, and all financial market stakeholders.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00331"},"PeriodicalIF":0.0,"publicationDate":"2023-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49856357","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 exogenous economic crises change investors’ response to earnings announcements?: A detailed review using the data from COVID-19 pandemic 外源性经济危机会改变投资者对财报的反应吗?:利用COVID-19大流行的数据进行详细审查

Journal of Economic Asymmetries Pub Date : 2023-09-04 DOI: 10.1016/j.jeca.2023.e00330

Arati Kale , Devendra Kale

引用次数: 0

Financial crises and inequality: New evidence from a panel of 17 advanced economies 金融危机与不平等:来自17个发达经济体的新证据

Journal of Economic Asymmetries Pub Date : 2023-08-26 DOI: 10.1016/j.jeca.2023.e00323

Jaejoon Woo

{"title":"Financial crises and inequality: New evidence from a panel of 17 advanced economies","authors":"Jaejoon Woo","doi":"10.1016/j.jeca.2023.e00323","DOIUrl":"10.1016/j.jeca.2023.e00323","url":null,"abstract":"<div><p>What is the distributional consequence of a financial crisis? Does income inequality follow the boom-bust pattern that is typically associated with a financial crisis? Does the financial crisis primarily affect the wealthy and the recession mainly affect the rest of the population? Is the inequality impact of a financial crisis-induced recession different from that of a normal recession? They are important questions with policy implications which are little understood at present. Our paper fills this gap in the literature by carefully addressing these questions in a panel of 17 advanced economies for 1955–2016. Our results suggest that financial crises have statistically significant and long-lasting adverse effects on income distribution. So are the inequality effects of financial crisis-induced recessions in sharp contrast to those of normal recessions. The results are not driven by the 2008–2009 global financial crisis episode. Interestingly, the effects of financial crises (or financial recessions) systematically differ across the indicators of inequality and time horizons, shedding some light on channels linking financial crises and inequality. Careful robustness checks confirm our results.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00323"},"PeriodicalIF":0.0,"publicationDate":"2023-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42648786","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

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