Studies in Economics and Finance最新文献

{"title":"Long memory in Bitcoin and ether returns and volatility and Covid-19 pandemic","authors":"Miriam Sosa, E. Ortiz, Alejandra Cabello-Rosales","doi":"10.1108/sef-05-2022-0251","DOIUrl":"https://doi.org/10.1108/sef-05-2022-0251","url":null,"abstract":"\u0000Purpose\u0000The purpose of this research is to analyze the Bitcoin (BTC) and Ether (ETH) long memory and conditional volatility.\u0000\u0000\u0000Design/methodology/approach\u0000The empirical approach includes ARFIMA-HYGARCH and ARFIMA-FIGARCH, both models under Student‘s t-distribution, during the period (ETH: November 9, 2017 to November 25, 2021 and BTC: September 17, 2014 to November 25, 2021).\u0000\u0000\u0000Findings\u0000Findings suggest that ARFIMA-HYGARCH is the best model to analyze BTC volatility, and ARFIMA-FIGARCH is the best approach to model ETH volatility. Empirical evidence also confirms the existence of long memory on returns and on BTC volatility parameters. Results evidence that the models proposed are not as suitable for modeling ETH volatility as they are for the BTC.\u0000\u0000\u0000Originality/value\u0000Findings allow to confirm the fractal market hypothesis in BTC market. The data confirm that, despite the impact of the Covid-19 crisis, the dynamics of BTC returns, and volatility maintained their patterns, i.e. the way in which they evolve, in relation to the prepandemic era, did not change, but it is rather reaffirmed. Yet, ETH conditional volatility was more affected, as it is apparently higher during Covid-19. The originality of the research lies in the focus of the analysis, the proposed methodology and the variables and periods of study.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47654516","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}

{"title":"Behavioral economics and finance: a selective review of models, methods and tools","authors":"O. Gomes","doi":"10.1108/sef-06-2022-0304","DOIUrl":"https://doi.org/10.1108/sef-06-2022-0304","url":null,"abstract":"\u0000Purpose\u0000This paper aims to survey literature on behavioral economics and finance, with particular emphasis on a selection of models, methods and tools that this strand of thought uses to approach and explain observable phenomena.\u0000\u0000\u0000Design/methodology/approach\u0000After a brief discussion on the meaning and context of behavioral economics, the manuscript identifies five topics of special interest: time preference, heuristics, emotions, finance and macro behavior. For each of these topics, relevant models, methods and tools are identified and scrutinized.\u0000\u0000\u0000Findings\u0000Behavioral economics and finance establish an effective bridge between orthodox economic thinking and new and revolutionary methods of analysis. Exploring the intricacies of human behavior can frequently be done by adapting the trivial and conventional intertemporal utility maximization models that economists insistently resort to, but to fully grasp such intricacies, a step forward is required. Agent-based models and other tools from complexity sciences constitute the analytical arsenal that is needed to improve our understanding of how behavioral issues attach to heterogeneity, local interaction, path-dependence, out-of-equilibrium dynamics and emergence.\u0000\u0000\u0000Originality/value\u0000Although surveys on behavioral economics and finance abound in the specialized literature, this study has the peculiarity of emphasizing five relevant topics that are particularly illustrative of the pivotal role of behavioral science in promoting the transition from the strict neoclassical perspective to a less mechanic and more organic view of economics and finance.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2022-11-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48309461","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}

{"title":"House energy efficiency retrofits and loan maturity","authors":"Kyriakos Drivas, Prodromos Vlamis","doi":"10.1108/sef-06-2022-0293","DOIUrl":"https://doi.org/10.1108/sef-06-2022-0293","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>The purpose of this study is to examine how households opt for their loan’s duration when it comes to energy efficiency retrofits (EERs). The primary focus is on the time horizon that these types of EERs will provide benefits to the households.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>This study examines the second wave of the largest EER support program in Greece in recent years. The authors exploit an idiosyncrasy of the support program which offered interest-free loans. The baseline sample of this study includes approximately 18,000 households awarded the support and opted for a loan. To provide robustness and complement the analysis, the authors also use data from 38,000 households that were awarded support from the first wave of the EER program.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>This study finds that EER investments that are likely to deliver longer-term benefits, in the form of energy savings, are positively associated with longer duration. This finding implies that households view such EERs as long-term investments that will consistently provide benefits in the future, thereby tolerating a longer period of incurring the inconvenience of paying monthly installments.</p><!--/ Abstract__block -->\u0000<h3>Practical implications</h3>\u0000<p>This study posits that an EER can be perceived by the household as an investment that saves money in the long term because of more efficient energy use. To this end, the authors bring forward the duration of the benefits accrued to the household as a driving factor to the household’s decision over the length of the loan.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>This study expands on prior literature that has focused on consumer and loans for durables (e.g. cars) by examining EERs. However, EERs are different, as they can save households money in future periods. In addition, house EERs are at the forefront of energy policies and the design of future support programs at the epicenter of several initiatives.</p><!--/ Abstract__block -->","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2022-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138518249","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}

{"title":"Risk hedging properties of infrastructure: a quantile regression approach","authors":"Surbhi Gupta, A. Sharma","doi":"10.1108/sef-07-2022-0382","DOIUrl":"https://doi.org/10.1108/sef-07-2022-0382","url":null,"abstract":"\u0000Purpose\u0000This paper aims to examine the hedge, diversifier and safe haven properties of the global listed infrastructure sector and subsector indices against two traditional asset classes, stocks and bonds, and four alternative asset classes, including commodities, real estate, private equity and hedge funds during extreme negative stock market movements.\u0000\u0000\u0000Design/methodology/approach\u0000Using dynamic conditional correlation and quantile regression, the authors analyze a data set of 12 indices comprising listed infrastructure and traditional asset classes from 2010 to 2019.\u0000\u0000\u0000Findings\u0000Overall, the findings indicate that listed infrastructure acts as an effective diversifier but not as a strong safe haven or hedge when considered in a multiasset context. With minor exceptions, listed infrastructure cannot be concluded as a safe haven against other asset classes under investigation.\u0000\u0000\u0000Practical implications\u0000The present study has implications for institutional investors looking to incorporate infrastructure in their multiasset portfolios for increased portfolio diversification benefits.\u0000\u0000\u0000Originality/value\u0000Despite the increased influence of infrastructure as an asset class, to the best of the authors’ knowledge, this is the first study to investigate the hedge, safe haven and diversifying properties of infrastructure in a multi-asset context.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2022-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42154245","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}

{"title":"Convergence analysis of science, technology, and environment expenditure: evidence from Indian states","authors":"Vaseem Akram","doi":"10.1108/sef-10-2021-0442","DOIUrl":"https://doi.org/10.1108/sef-10-2021-0442","url":null,"abstract":"\u0000Purpose\u0000There is vast disparity in public expenditure on science, technology and environment (STE) across various Indian states. Public expenditure on STE is crucial in maintaining symmetric growth, social cohesion and sustainable development. Literature on this topic is scarce, which prompted the investigation of club convergence of STE public expenditure. In particular, the purpose of this paper to study the club convergence of STE public expenditure in the case of 20 Indian states during the period from 1987–1988 to 2019–2020.\u0000\u0000\u0000Design/methodology/approach\u0000This study applies the clustering algorithm to identify club convergence, advanced by the Phillips and Sul test, which enables identification of multiple steady states or club convergence, unlike beta and sigma convergences.\u0000\u0000\u0000Findings\u0000The findings of this paper show that all Indian states do not converge towards single steady states. This suggests a disparity in STE public expenditure across Indian states. Moreover, the findings favour three clubs that have their own unique transition paths. The results of this study are supported by the robustness check.\u0000\u0000\u0000Practical implications\u0000The findings suggest that the allocation of public expenditure on STE can be made based on club convergence to achieve social cohesion, sustainable development and millennium development goals across states.\u0000\u0000\u0000Originality/value\u0000Although several previous studies have investigated the convergence of public expenditure by considering either aggregate public expenditure or health/education expenditure, literature on the convergence hypothesis of STE public expenditure, particularly across Indian states, is scarce. Moreover, this paper is unique, as it examines multiple steady states or club convergence. Finally, this paper contributes to policymaking by suggesting which states should be given a push to achieve social cohesion and sustainable development.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2022-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44236586","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}

{"title":"The economic and environmental effects of an optimal emission reduction subsidy policy in the presence of business cycles","authors":"Fariba Ramezani, A. Arjomandi, C. Harvie","doi":"10.1108/sef-02-2022-0118","DOIUrl":"https://doi.org/10.1108/sef-02-2022-0118","url":null,"abstract":"Purpose\u0000As a by-product of the production process, emissions can follow output fluctuations. Hence, disregarding the relationship between economic fluctuations and emissions could result in undesirable environmental outcomes. This study aims to investigate the environmental and economic effects of abatement subsidies on overall emissions during business cycles in Australia.\u0000\u0000\u0000Design/methodology/approach\u0000A real business cycle (RBC) model is devised and parameterised in this paper. RBC models have been recently introduced to environmental policy analysis, and this study contributes to the literature by investigating the effects of a potential subsidy policy in an RBC framework. The model is also calibrated and provides solutions for the Australian economy.\u0000\u0000\u0000Findings\u0000The authors find that under a steady-state situation, supporting abatement can result in reducing emissions by 6.45% while it imposes welfare costs to the economy (by 0.61%). Simulation results show that an optimal abatement policy should be pro-cyclical, with the abatement subsidy increasing during expansions and decreasing during recessions. As well, in a subsidy policy setting, emissions would react pro-cyclically, i.e. emissions increase (decrease) when the gross domestic product increases (decreases). The abatement reaction by firms, however, is different, because when a positive productivity shock occurs, firms reduce abatement and allocate resources to production. Nonetheless, as time passes, the increased subsidy provides a strong enough incentive to allocate resources to abatement and, subsequently, abatement increases.\u0000\u0000\u0000Originality/value\u0000This paper investigates how an emission reduction subsidy should be adapted to macroeconomic fluctuations so that it can limit variations in emissions.","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2022-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42716208","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}

{"title":"COVID-19 and the ASEAN stock market: a wavelet analysis of conventional and Islamic equity indices","authors":"Mohsin Ali, M. A. Khattak, Shabeer Khan, Noureen A. Khan","doi":"10.1108/sef-10-2021-0457","DOIUrl":"https://doi.org/10.1108/sef-10-2021-0457","url":null,"abstract":"\u0000Purpose\u0000The purpose of this study is to examine the impact of the COVID-19 pandemic on Association of Southeast Asian Nations (ASEAN) Islamic and conventional equities.\u0000\u0000\u0000Design/methodology/approach\u0000To study the impact of the COVID-19 pandemic on ASEAN Islamic and conventional equities, first, the authors calculated the volatility by using exponential generalized autoregressive conditional heteroscedasticity methodology and then used Wavelet methodology to see the co-movement between the volatility and returns of ASEAN equity market indicators and COVID-19 cases.\u0000\u0000\u0000Findings\u0000The authors find that until the beginning of August, COVID-19 adversely relates to the returns of both the indices. The conventional index seemed to have increased volatility during the time period, whereas the Islamic index seemed to have declined volatility.\u0000\u0000\u0000Originality/value\u0000To the best of the authors’ knowledge, this is one of the very few studies examining the impact of the COVID-19 pandemic on ASEAN Islamic and conventional equities. Additionally, this study adds value by comparing Islamic and conventional equities.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2022-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42007465","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}

{"title":"Exchange rate volatility and trade flows in Indonesia and ten main trade partners: asymmetric effects","authors":"Unggul Heriqbaldi, M. A. Esquivias, R. Handoyo, Alfira Cahyaning Rifami, Hilda Rohmawati","doi":"10.1108/sef-10-2021-0451","DOIUrl":"https://doi.org/10.1108/sef-10-2021-0451","url":null,"abstract":"Purpose\u0000This paper aims to examine whether Indonesian cross-border trade responds asymmetrically to exchange rate volatility (ERV).\u0000\u0000\u0000Design/methodology/approach\u0000An exponential generalized autorgressive conditional heteroscedasticity model is applied to estimate the ERV of Indonesia and ten main trade partners using quarterly data from 2006 to 2020. A nonlinear autoregressive distributed lag estimation is applied to estimate the impact of ERV on cross-border trade. Impacts from the global financial crisis (GFC) of 2008 and the COVID-19 pandemic are covered. Dynamic panel data is used for the robustness test.\u0000\u0000\u0000Findings\u0000In the short-run, ERV significantly affects exports to most of the top partners (positively, negatively or both). In the long run, asymmetric effects occur in Indonesia’s exports to five top destinations. The weakening of the Indonesian Rupiah mainly supports exports in the short term. Imports from top partners are also affected by ERV in both the short run and, to a lesser extent, in the long run. Both the GFC and the COVID-19 pandemic reduced trade: for most cases, in the short run. The dynamic panel model suggests that ERV has asymmetric impact on cross-border trade in the long run.\u0000\u0000\u0000Practical implications\u0000Exchange rate strategies need to avoid a single-side policy approach and, instead, account for exporter and importer differences in risk behaviour and an asymmetric response to ERV in trade. Policymakers need to consider policies that stabilise the currency.\u0000\u0000\u0000Originality/value\u0000This study provides evidence that cross-border trade can react asymmetrically to the exchange rate uncertainty and that the impacts of real ERV are asymmetric as well. The authors also apply a dynamic panel that signals that ERV matters in the long run for Indonesian trade with top partners.","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2022-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45377263","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}

{"title":"A note on financial literacy among literate people and their participation in different securities market segments","authors":"Carlos F. Alves","doi":"10.1108/sef-04-2022-0215","DOIUrl":"https://doi.org/10.1108/sef-04-2022-0215","url":null,"abstract":"\u0000Purpose\u0000This paper aims to investigate the relationship between perceived and actual financial literacy, among generally literate people, pertaining to market participation and market participation intensity. It examines such market participation in both the traditional segments of the financial markets and the new segments [cryptocurrencies, structured retail products (SRPs) and crowdfunding].\u0000\u0000\u0000Design/methodology/approach\u0000The data are from a survey conducted in 2020 by the Portuguese Securities Commission in cooperation with 12 Portuguese universities. The final sample comprises 2,054 respondents. The basic and advanced financial literacy indexes were calculated following van Rooij et al. (2011). This paper uses probit regressions and ordinary least squares regressions with robust errors.\u0000\u0000\u0000Findings\u0000This study shows that even highly literate people are influenced by their perceived financial knowledge and its bias toward their actual skills. However, overconfidence has no significant association with securities market participation but rather is marginally correlated with the intensity of such participation. Underconfidence is negatively related to both. Moreover, the relationship between advanced financial literacy and overconfidence pertaining to participation in more complex market segments depends on the product type. Specifically, overconfidence has a positive relationship with participation in cryptocurrencies and SRPs but not with crowdfunding.\u0000\u0000\u0000Research limitations/implications\u0000The securities market regulators should take note that participation in some complex market segments, even among literate people, is associated with investor overconfidence. Given that effective financial literacy correlates with participation in some more complex financial market segments and not others, the implication for future research is that the performance of individual investors may differ across these different segments. Additionally, this paper argues that the metrics used to assess financial literacy must take cognizance of the topics required to participate in the new market segments of financial markets.\u0000\u0000\u0000Originality/value\u0000This paper augments this stream of literature in several respects. First, it focuses on highly educated and trained people rather than the general population. Second, while the previous literature measures market participation using a simple dummy to identify respondents who invest in stocks, this paper also measures the intensity of participation. In addition, this study investigates the financial literacy effect from participation in the more complex segments of the securities markets, as in the case of cryptocurrencies and SRPs.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2022-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41768545","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}

{"title":"VIX and major agricultural future markets: dynamic linkage and time-frequency relations around the COVID-19 outbreak","authors":"Ran Lu, Hongjun Zeng","doi":"10.1108/sef-02-2022-0121","DOIUrl":"https://doi.org/10.1108/sef-02-2022-0121","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>The purpose of this paper is to examine the volatility spillover and lead-lag relationship between the Chicago Board Options Exchange volatility index (VIX) and the major agricultural future markets before and during the Coronavirus disease 2019 (COVID-19) outbreak.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>The methods used were the vector autoregression-Baba, Engle, Kraft and Kroner-generalized autoregressive conditional heteroskedasticity method, the Wald test and wavelet transform method.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>The findings indicate that prior to the COVID-19 outbreak, there was a two-way volatility spillover impact between the majority of the sample markets. In comparison, volatility transmission between the VIX index and the agricultural future market was significantly lower following the COVID-19 outbreak, the authors observed greater coherence at higher frequencies than at lower frequencies, implying that the interdependence between the two VIX indices and the agricultural future market was stronger over a longer time-frequency domain and the VIX’s signalling effect on various agricultural future prices after the COVID-19 outbreak was significantly lower.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>The authors conducted the first comprehensive investigation of the VIX’s correlation with major agricultural futures, especially during COVID-19. The findings contribute to a better understanding of the risk transmission mechanism between the VIX and major agricultural commodities futures contracts. And our findings have significant implications for investors and portfolio managers, as well as for policymakers who are concerned about the price of agricultural futures.</p><!--/ Abstract__block -->","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2022-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138518248","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}