Journal of Economic Asymmetries最新文献_第8页

Unbounded heteroscedasticity in autoregressive models 自回归模型中的无界异方差

Journal of Economic Asymmetries Pub Date : 2024-01-22 DOI: 10.1016/j.jeca.2023.e00351

Nikolaos Kourogenis , Nikitas Pittis , Panagiotis Samartzis

引用次数: 0

Quantile dependence and asymmetric connectedness between global financial market stress and REIT returns: Evidence from the COVID-19 pandemic 全球金融市场压力与房地产投资信托回报之间的量级依赖性和非对称关联性：来自 COVID-19 大流行病的证据

Journal of Economic Asymmetries Pub Date : 2024-01-12 DOI: 10.1016/j.jeca.2024.e00352

Mohammed Armah , Godfred Amewu

{"title":"Quantile dependence and asymmetric connectedness between global financial market stress and REIT returns: Evidence from the COVID-19 pandemic","authors":"Mohammed Armah , Godfred Amewu","doi":"10.1016/j.jeca.2024.e00352","DOIUrl":"https://doi.org/10.1016/j.jeca.2024.e00352","url":null,"abstract":"<div><p>Using daily data for the financial stress index of the US and real estate investment<span> trusts (REITs) returns from February 2, 2020, to January 20, 2022, we investigate the frequency-dependent and asymmetric connectedness between global financial market stress and REIT returns for the top 12 REIT regimes in America, Europe, and Asia. We use a novel asymmetric, noise-reducing-domain EEMD-based quantile connectedness and quantile-on-quantile regression technique and the quantile vector autoregression (QVAR) connectedness approach. The findings divulge that at the upper quantile financial market stress is a major risk transmitter, transmitting risk towards Germany, France, Netherlands, New Zealand, the UK, and Canada. The findings of the study explicate the pivotal role of the financial soundness on the housing market, which is one of the main drivers of the economy. Investors and market participants should observe the conditional state of market dynamics and its associated policies for risk management and diversification strategies in real estate investment.</span></p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"29 ","pages":"Article e00352"},"PeriodicalIF":0.0,"publicationDate":"2024-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139433729","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

Asymmetric effects of economic policy uncertainty on demand for money in developed countries 经济政策不确定性对发达国家货币需求的不对称影响

Journal of Economic Asymmetries Pub Date : 2024-01-03 DOI: 10.1016/j.jeca.2023.e00350

Salah A. Nusair , Dennis Olson , Jamal A. Al-Khasawneh

{"title":"Asymmetric effects of economic policy uncertainty on demand for money in developed countries","authors":"Salah A. Nusair , Dennis Olson , Jamal A. Al-Khasawneh","doi":"10.1016/j.jeca.2023.e00350","DOIUrl":"https://doi.org/10.1016/j.jeca.2023.e00350","url":null,"abstract":"<div><p><span>This paper examines the asymmetric effects of economic policy uncertainty (EPU) on the demand for money in Canada, Japan, the United Kingdom, and the United States. We use linear and nonlinear ARDL models with monthly data over the period 1985–2022 to conduct the analysis. Results from the linear </span>ARDL model show that changes in EPU have no short-run or long-run effect on money demand in any country, except in the US, where changes in EPU have a positive short-run effect. However, with the nonlinear ARDL model, we find evidence of short-run and long-run effects across all four countries. Both increases and decreases in EPU have negative long-run effects on Canadian and UK money demand, but a positive effect on US money demand. For Japan, rising EPU has a positive effect on money demand, whereas falling EPU is insignificant. The long-run results are consistent in each country over time. The recent COVID-19 period had a short-run impact across countries and a long-run effect on the relationship between EPU and money demand in Canada and the UK. In contrast, the Brexit period had no differential long-run impact on money demand across countries, and a short run impact was only observed in the UK. Our results highlight the importance of adopting nonlinear ARDL models instead of linear models to analyze money demand and the need to examine countries separately since the long-run effects of EPU on money demand vary across countries.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"29 ","pages":"Article e00350"},"PeriodicalIF":0.0,"publicationDate":"2024-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139100597","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 matrix unified framework for deriving various impulse responses in Markov switching VAR: Evidence from oil and gas markets 马尔可夫转换 VAR 中推导各种脉冲响应的矩阵统一框架：石油和天然气市场的证据

Journal of Economic Asymmetries Pub Date : 2023-12-23 DOI: 10.1016/j.jeca.2023.e00349

Maddalena Cavicchioli

引用次数: 0

Influence of Ukraine invasion by Russia on Turkish markets 俄罗斯入侵乌克兰对土耳其市场的影响

Journal of Economic Asymmetries Pub Date : 2023-12-21 DOI: 10.1016/j.jeca.2023.e00348

Monsurat Ayojimi Salami, Harun Tanrıvermiş, Yesim Tanrıvermiş

{"title":"Influence of Ukraine invasion by Russia on Turkish markets","authors":"Monsurat Ayojimi Salami, Harun Tanrıvermiş, Yesim Tanrıvermiş","doi":"10.1016/j.jeca.2023.e00348","DOIUrl":"https://doi.org/10.1016/j.jeca.2023.e00348","url":null,"abstract":"<div><p>This paper aims to examine the influence of the Ukraine invasion by Russia on Turkish markets, namely the Istanbul stock market index, Turkish real estate market<span> index, Turkish gold market and Turkish foreign exchange market. This study used daily frequency data between February 24 and June 14, 2022. The variables used are BIST100, Turkey real estate index (XGMYO), Turkish gold commodity (XAU/TRY), Turkish foreign currency such as EURO/TRY, GBP/TRY, USD/TRY, TRY/UAH, TRY/RUB, and macro-economic variable RFR/TRY. The study employed Johansen cointegration, Impulse Response Functions and Markov-regime switching for the analysis. The findings established a long-run co-integration relationship among the Turkish markets. The finding also indicated that the shock from the Ukraine invasion by Russia has a positive effect on developed foreign currencies and a negative effect on currencies from emerging countries such as Turkey. The finding revealed that BIST100, XGMYO, and XAU/TRY shifted to regime 2 during the Ukraine invasion by Russia. The lack of need for more commodities such as wheat, gas and oil from the Turkish market prevented focusing on them, which may attract global attention. Despite this, the significance of this finding remains relevant in Turkey. Therefore, future research may focus on other markets with sufficient trading data for wheat and gas in Russia or Ukraine and any other countries of their study. This study established that Ukraine's invasion by Russia has a worldwide impact on the global markets. The effect is felt globally as a consequence, has been experienced across different developed and emerging markets due to the large market share of Russia on essential commodities such as gas and oil. Turkish foreign exchange markets experienced more storms during the Ukraine invasion by Russia even more than it was during the COVID-19 pandemic.</span></p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"29 ","pages":"Article e00348"},"PeriodicalIF":0.0,"publicationDate":"2023-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138838539","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

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