Connectedness and frequency connection among green bond, cryptocurrency and green energy-related metals around the COVID-19 outbreak
Research in International Business and Finance,
Год журнала:
2024,
Номер
73, С. 102547 - 102547
Опубликована: Авг. 30, 2024
Язык: Английский
The Bitcoin‐agricultural commodities nexus: Fresh insight from COVID‐19 and 2022 Russia–Ukraine war
Australian Journal of Agricultural and Resource Economics,
Год журнала:
2024,
Номер
68(3), С. 653 - 677
Опубликована: Май 19, 2024
Abstract
This
paper
investigates
the
volatility
connectedness
and
dynamic
time–frequency
relationship
between
Bitcoin
(BTC)
15
major
agricultural
commodity
markets
during
COVID‐19
2022
Russia–Ukraine
war
periods.
We
employ
TVP‐VAR‐based
extended
joint
method,
minimum
investment
portfolio,
wavelet
coherence
(WC)
method.
The
results
indicate
that
sudden
outbreaks
of
two
crises
brought
about
increased
BTC
markets.
Throughout
entire
sample
period,
remained
a
net
transmitter
volatility.
Moreover,
in
terms
total
index
(TCI),
overall
correlation
surged
rapidly
after
outbreak
war.
portfolio
demonstrated
exhibited
low
with
markets,
suggesting
diversification
potential.
Additionally,
only
Feeder
Cattle
served
as
an
effective
hedging
asset
for
throughout
all
WC
analysis
confirmed
period
war,
most
linkages
were
primarily
concentrated
at
medium‐
to
long‐term
frequencies.
Our
will
contribute
deeper
understanding
interconnection
these
enabling
market
participants
consider
risk
mitigation
measures
support
when
formulating
policies
regulations
involving
relevant
future.
Язык: Английский
Tail risk contagion and multiscale spillovers in the green finance index and large US technology stocks
International Review of Financial Analysis,
Год журнала:
2024,
Номер
97, С. 103865 - 103865
Опубликована: Дек. 9, 2024
Язык: Английский
Asymmetric dependency among US national financial conditions and clean energy markets
Global Finance Journal,
Год журнала:
2024,
Номер
unknown, С. 101046 - 101046
Опубликована: Окт. 1, 2024
Язык: Английский
Quartile risk dependence between clean energy markets and the U.S. travel and leisure index
Current Issues in Tourism,
Год журнала:
2024,
Номер
unknown, С. 1 - 25
Опубликована: Авг. 9, 2024
We
employed
the
Cross-quantilogram
method
for
first
time
to
assess
cross-quantile
risk
relationship
among
clean
energy
market
and
Dow
Jones
U.S.
Travel
&
Leisure
Index
during
period
from
2014
2023.
This
investigation
aimed
explore
asymmetric
nature
of
risk-dependence
structure.
Our
findings
reveal
that,
under
stability
conditions,
index
exhibited
highest
correlation
with
all
stocks.
However,
NASDAQ
OMX
Geothermal,
Solar,
Wind
Indices
significantly
decreased
longer
investment
horizons
extreme
quantiles.
Notably,
in
tail,
between
specific
markets
displayed
heterogeneity.
results
have
new
practical
implications
policymakers
investors
who
need
capture
connection
indices
sector.
Язык: Английский
Extreme Events and Quantile Time-frequency Volatility Connectedness across Crude Oil, Green Bonds and Low-Carbon Equity Markets
Research in International Business and Finance,
Год журнала:
2025,
Номер
unknown, С. 102905 - 102905
Опубликована: Апрель 1, 2025
Язык: Английский
Risk transmission and diversification strategies between US real estate investment trusts (REITs) and green finance indices
Kybernetes,
Год журнала:
2024,
Номер
unknown
Опубликована: Сен. 12, 2024
Purpose
We
examined
the
dynamic
volatility
connectedness
and
diversification
strategies
among
US
real
estate
investment
trusts
(REITs)
green
finance
indices.
Design/methodology/approach
The
DCC-GARCH
framework
he
t-copula
model
were
employed
in
this
study.
Findings
Using
daily
data
from
2,206
observations
spanning
2
January
2015
to
31
2023
paper
presents
following
findings:
(1)
cross-market
spillovers
exhibited
a
high
correlation
significant
fluctuations,
particularly
during
extreme
events;
(2)
our
analysis
confirmed
that
REIT
acted
as
net
receivers
other
indices,
with
S&P
North
America
Large-MidCap
Carbon
Efficient
Index
dominating
in-network
spillover;
(3)
observation
suggests
asymmetric
between
two
markets
(4)
portfolio
was
conducted
using
estimate
hedging
ratios
weights
for
these
When
Dow
Jones
Select
ESG
simultaneously
added
risk-hedged
portfolio,
findings
indicated
no
risk-hedging
effect
could
be
achieved.
Moreover,
cost
performance
of
assets
found
comparable.
Originality/value
first
REITs
outcomes
study
carry
practical
implications
market
participants.
Язык: Английский
Risk Transmission and Hedging Strategies Between Chinese Stock Market and Major Trading Partners Along the Belt and Road in COVID-19 Scenario
American Business Review,
Год журнала:
2024,
Номер
27(2), С. 372 - 400
Опубликована: Ноя. 1, 2024
This
paper
focuses
on
the
multi-scale
spillover
and
time-varying
dependence
of
Chinese
stock
market
its
important
trading
partners
along
Belt
Road
around
COVID-19
crisis.
We
use
multiple
methods
-
DY
(12)
BK
(18)
connectedness
approaches
that
investigate
dynamic
frequency
connectedness;
wavelet
coherence
CoVaR
to
examine
connection
between
price
lead
lags
systemic
risk
spillovers.
Our
empirical
results
show
spillovers
be
asymmetric,
short-term
dominating.
Meanwhile,
level
in
system
increased
sharply
after
COVID-19.
In
medium
long-term
domains,
reveals
strong
co-movement
major
partners.
see
highest
systematic
occurs
at
beginning
outbreak.
Finally,
weighting
effective
portfolio
rises
Язык: Английский