Economic Modelling,
Journal Year:
2024,
Volume and Issue:
141, P. 106864 - 106864
Published: Aug. 30, 2024
The
rapid
growth
of
sustainable
investing
has
led
to
the
global
expansion
environmental,
social,
and
governance
(ESG)
investment
products.
Existing
literature
on
focuses
primarily
corporate
social
responsibility
theory
risk
assessment,
with
relatively
little
research
ESG
value
portfolio
strategies.
Using
data
from
six
worldwide
exchange-traded
funds
(ETFs)
between
2020
2023,
we
examine
return
connectedness
performance
by
employing
a
time-varying
parameter
vector
autoregressive
(TVP-VAR)
approaches.
findings
reveal
that
European
ETF
plays
dominant
role
in
system
due
market
size
maturity.
Specifically,
can
substantially
reduce
volatility.
Moreover,
results
show
minimum
variance
risk-parity
portfolios
outperform
other
strategies
during
periods
geopolitical
turmoil.
These
provide
valuable
insights
for
improving
resilience
markets
enhancing
Journal of Economic Behavior & Organization,
Journal Year:
2023,
Volume and Issue:
211, P. 513 - 529
Published: May 25, 2023
Surmounted
environmental
concerns
and
energy
challenges
have
created
an
augmented
awareness
among
the
public
policymakers
about
alternate
resources.
Using
a
network
approach,
this
paper
aims
to
investigate
dependence
between
cryptocurrencies
alternative
market
using
data
from
January
1,
2018,
December
23,
2021.
For
investigation,
first,
we
build
static
dependency
for
given
set
of
variables
partial
correlations.
Then,
demonstrate
within-system
connections
in
minimum
spanning
tree
(MST)
assess
centrality
all
variables.
Finally,
rolling-window
estimations
are
made
exhibit
time
variations
both
networks.
We
find
that
clean
markets
(SPGCE,
ELEVHC
&
WILCE)
ETH
net
risk
transmitters
other
system-wide
contributors.
also
how
SPGCE
is
essential
tying
together
various
parts
networks
provide
convincing
evidence
time-varying
dependency.
Our
thorough
examination
analysis
offers
significant
insights
macroprudential
regulators,
policymakers,
portfolio
managers,
enabling
them
safeguard
most
vulnerable
choose
best
legislative
policy
measures
protect
investors'
interests
face
unforeseen
financial
economic
conditions.
International Journal of Emerging Markets,
Journal Year:
2024,
Volume and Issue:
unknown
Published: Jan. 12, 2024
Purpose
Stock
market
performance
is
paramount
to
every
country,
as
it
signifies
economic
growth,
business
performance,
wealth
maximization,
savings
deployment
and
consumer
confidence.
This
study
investigates
the
disparities
in
of
listed
firms
Romania.
also
examines
whether
COVID-19
crisis
affected
performance.
Design/methodology/approach
The
data
were
collected
from
69
on
Bucharest
Exchange
(BSE)
2018
2022,
belonging
11
sectors.
used
several
methods
achieve
its
objectives.
Difference
tests
considered
analyze
Romanian
companies
before
during
crisis,
well
across
Regression
analysis
was
conducted
estimate
effect
classification
type
companies'
Additional
analyses
performed
verify
findings
present
study.
Findings
study’s
indicate
a
clear
difference
between
pre-crisis
periods.
pandemic
had
an
adverse
significant
impact
However,
after
contraction
early
stage
outbreak,
stock
outperformed
pre-pandemic
capitalization
levels
regional
global
indices
evolution.
Furthermore,
there
In
particular,
communication
services
sector
has
specifically
demonstrated
accelerated
growth.
Originality/value
research
variation
different
It
provides
evidence
potential
firms'
contributes
better
understanding
how
sectors
perform
times
crisis.
Financial Innovation,
Journal Year:
2024,
Volume and Issue:
10(1)
Published: Jan. 8, 2024
Abstract
This
paper
analyzes
the
degree
of
dynamic
connectedness
between
energy
and
metal
commodity
prices
in
pre
post-COVID-19
era,
using
time-varying
parameter
vector
autoregressive
approach
Antonakakis
et
al.
(J
Risk
Financ
Manag
13(4):84,
2020).
The
results
suggest
that
market
interconnectedness
increased
slightly
following
outbreak
COVID-19,
although
this
increase
was
lower
less
persistent
than
observed
after
Global
Financial
Crisis
2008.
Furthermore,
we
find
crude
oil
main
net
transmitter
shocks
before
COVID-19
while
heating
oil,
gold,
silver
were
transmitters
during
pandemic.
In
contrast,
natural
gas
palladium
receivers
entire
sample
period,
making
these
two
commodities
attractive
hedging
safe
haven
options
for
investors
Overall,
our
diversification
opportunities
decrease
crises.
they
indicate
accurate
forecasts
volatility
several
commodities,
such
as
different
metals,
can
be
obtained
by
exploiting
information
content
oil.
However,
also
reveal
lost
its
leading
position
a
shock
International Journal of Economics and Finance,
Journal Year:
2024,
Volume and Issue:
16(4), P. 22 - 22
Published: Feb. 29, 2024
Conducted
within
the
backdrop
of
COVID-19
pandemic,
paper
rigorously
investigates
influence
this
global
crisis
on
foreign
stock
markets
diverse
GCC
countries.
Our
research
employs
a
multifaceted
approach,
combining
an
adjusted
correlation
test
across
six
distinct
over
substantial
timeframe—from
January
2,
2001,
to
April
31,
2021.
Employing
sophisticated
methodologies
including
FIEGARCH
(1.1),
DCC-MGARCH(1,1),
and
Switching-Markov
analyses,
we
intricately
scrutinize
impact
pandemic
these
markets.
comprehensive
analysis
uncovers
compelling
evidence
demonstrating
pandemic’s
profound
effects
majority
countries’
Notably,
exhibit
increased
vulnerability
negative
repercussions
induced
by
crisis.
The
implications
stemming
from
findings
are
far-reaching,
particularly
in
realm
financial
policy-making,
risk
assessment,
asset
valuation,
portfolio
management
strategies.
Understanding
heightened
susceptibility
during
downturns
is
crucial
for
policymakers,
investors,
managers,
empowering
them
with
critical
insights
navigate
formulate
informed
strategies
amidst
such
challenging
times.
