| 1. |
- Andreasson, Pierre, et al.
(författare)
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Impact of speculation and economic uncertainty on commodity markets
- 2016
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Ingår i: International Review of Financial Analysis. - : Elsevier. - 1057-5219 .- 1873-8079. ; 43, s. 115-127
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Tidskriftsartikel (refereegranskat)abstract
- Abstract We examine the interactions between commodity futures returns and five driving factors (financial speculation, exchange rate, stock market dynamics, implied volatility for the US equity market, and economic policy uncertainty). Nonlinear causality tests are implemented after controlling for cointegration and conditional heteroscedasticity in the data over the period May 1990 – April 2014. Our results show strong evidence of unidirectional linear causality from commodity returns to excess speculation for the majority of the considered commodities, in particular for agriculture commodities. This evidence casts doubt on the claim that speculation is driving food prices. We also find unidirectional linear causality from energy futures markets to exchange rates and strong evidence of nonlinear causal dependence between commodity futures returns, on the one hand, and stock market returns and implied volatility, on the other hand. Overall, the new evidence found in this paper can be utilized for policy and investment decision-making.
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| 2. |
- Reboredo, Juan C., et al.
(författare)
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Do financial stress and policy uncertainty have an impact on the energy and metals markets? : A quantile regression approach
- 2016
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Ingår i: International Review of Economics and Finance. - : Elsevier. - 1059-0560 .- 1873-8036. ; 43, s. 284-298
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Tidskriftsartikel (refereegranskat)abstract
- Abstract This paper examines the impact of financial stress and policy uncertainty on the price dynamics of energy (crude oil, heating oil and gas) and metal (gold, silver, copper, platinum and palladium) commodity futures in the USA. Using a quantile regression approach for the period 1994–2015, our empirical results show that, after controlling for the effect of general stock market returns and interest rates, there is neither co-movement nor Granger causality between commodity futures prices and financial uncertainty as measured by the VIX or between commodity prices and policy uncertainty. However, we find evidence that financial stress had Granger causality effects in intermediate and upper commodity return quantiles, but no evidence of co-movement. We also show that the impact of the global financial crisis on commodity returns differed across quantiles, only having a negative impact in upper quantiles. Our results indicate that general stock market uncertainty conditions are not so crucial in determining commodity futures prices.
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| 3. |
- Uddin, Gazi Salah, 1979-, et al.
(författare)
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Investment opportunities in the energy market : What can be learnt from different energy sectors
- 2023
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Ingår i: International journal of finance and economics. - : John Wiley & Sons. - 1076-9307 .- 1099-1158. ; 28:4, s. 3611-3636
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Tidskriftsartikel (refereegranskat)abstract
- We construct portfolio strategies consisting of different stocks from four main energy market sectors, including oil and gas, oil and gas related equipment and services, multiline utilities and renewable energy. To construct portfolio strategies, we first forecast assets' returns by using multivariate copula models. These forecasting frameworks enable us to undertake both symmetric and asymmetric tail connectedness in simulating from the joint distribution. Second, we applied four major risk measures including volatility, mean absolute deviation, conditional value-at-risk and conditional drawdown-at-Risk. Our findings indicate that the consideration of homogeneity of oil and gas sector and oil and gas related equipment and services sector, together with the heterogeneity of multiline utilities sector and renewable energy sector should lead to information decoupling among these sectors, thereby providing portfolio diversification. The mixed copula model results in better out-of-sample economic performance, indicating the advantage obtained from modelling both symmetric and asymmetric tail dependence. Our analysis of the portfolio weights, among the energy market sectors, shows that for optimal portfolios, multiline utilities and renewable energy sectors constitute higher portion of the invested assets. The study results provide an encouraging guideline for developing renewable energy sector from the perspective of financial market.
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| 4. |
- Uddin, Gazi Salah
(författare)
-
Nonlinear and Nonparametric Dynamical Methods in Economics and Finance
- 2016
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- The objectives of the thesis - which comprises six parts – can be summarized in i) implementing linear and nonlinear/nonparametric approaches toward detecting, measuring and analyzing the nature and directionality of causal relationships in financial markets, ii) elaborating on modern topics in financial investment analysis, iii) probing into the role of commodity futures in constructing optimal portfolios as well as iv) investigating growth dynamics via aggregated and disaggregated indices.The first paper named “Analyzing causal interactions between sectoral equity returns and commodity futures returns in the aftermath of the global financial crisis: The case of the US and EU equity returns”, aims to explore and compare the dependence and co-movement structure between commodity and various asset classes’ returns including the USA and EU stock markets via the use of linear and non-linear causality testing in a comparative context with the additional adjustment for cointegration and conditional heteroscedasticity. The findings provide important implications for optimal asset allocation and portfolio diversification with respect to various market conditions, namely both in “good” and “bad” (crisis) times.The second paper is entitled “On the time scale behaviour of Equity-Commodity links: Implications for Portfolio Management”, and has been published in the Journal of International Financial Markets, Institutions and Money (2016). The study is co-authored with Professors S. Bekiros, D.K. Nguyen, and B. Sjö. It develops a holistic framework for the investigation of the multi-horizon and intra-frequency causal directionalities of various asset classes, by means of multi-resolution analysis. The results verify the assumption that financial markets exhibit time-varying co-movement patterns, which are fundamentally important in a) generating profitable trading strategies according to different investor horizon expectations and b) decoding the financialization mechanism across various asset classes.The third paper entitled “Business Cycle (de) Synchronization in the aftermath of the Global Financial Crisis: Implications for the Euro Area”, was published at Studies in Nonlinear Dynamics and Econometrics (2015) and is co-authored with S. Bekiros, D.K Nguyen and B. Sjö. In this work, the scale-dependent time-varying (de)synchronization effects between the Eurozone and the broad Euro area business cycles are revealed, before and after the global financial crisis. The results, which point towards an increased observed comovement during the crisis period for the Euro area, could be catalytic for the introduction of a more efficient monetary policy by EU institutions and in particular by the European Central Bank.In the fourth paper, “Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach”, which was published in the International Review of Economics and Finance (2016) and co-authored with J.C. Reboredo, the financial and policy uncertainty is investigated in relation to the price dynamics of energy and metal commodity futures’ markets. This work lead to the analysis of the asymmetric interrelationships with respect to changes in the perceptions of various risk measures, covering various periods, i.e., “normal” vs. “turbulent” such as upward or downward market episodes.The fifth paper, co-authored with P. Andreasson, S. Bekiros and D.K. Nguyen, is entitled “The impact of speculation and economic uncertainty on commodity markets”, and is published in the International Review of Financial Analysis (2016). This paper attempts a novel methodological approach to measuring speculation in commodity markets, in particular whether market speculation drives agricultural commodity prices or viceversa. The assessment of the empirical analysis demonstrates that agricultural prices are not affected by speculation.Finally, the sixth paper “Energy and Output Dynamics in Bangladesh”, co-authored with B.P. Paul, was published in Energy Economics (2011) and explores the relationship between energy utilization and economic growth in Bangladesh. Specifically, it deals with the important issue of whether energy consumption can be reduced without affecting economic growth while at the same time implicitly may lead to poverty reduction. The findings substantiate the fact that a) energy usage has become more efficient in recent times, as well as indicate that b) fluctuations in energy consumption did not have a significant impact on economic output.
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| 5. |
- Vidal-Garcia, Javier, et al.
(författare)
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The short-term persistence of international mutual fund performance
- 2016
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Ingår i: Economic Modelling. - : ELSEVIER SCIENCE BV. - 0264-9993 .- 1873-6122. ; 52:part B, s. 926-938
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Tidskriftsartikel (refereegranskat)abstract
- This paper examines the short-term persistence in performance of equity mutual funds around the world between 1990 and 2013. Using a large survivorship bias-free sample of 35 countries, we document strong evidence of persistence in daily mutual fund returns over quarterly measurement periods. We rank countries by abnormal return and estimate the performance of each country for the following quarter. We find statistically and economically significant performance persistence that is more pronounced for the top and bottom countries. The post-ranking abnormal return disappears when performance is examined over longer time periods. Thus, our results confirm that superior performance is a short-lived phenomenon. (C) 2015 Elsevier B.V. All rights reserved.
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| 6. |
- Bekiros, Stelios, et al.
(författare)
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On the time scale behavior of equity-commodity links: Implications for portfolio management
- 2016
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Ingår i: Journal of international financial markets, institutions, and money. - : Elsevier. - 1042-4431 .- 1873-0612. ; 41, s. 30-46
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Tidskriftsartikel (refereegranskat)abstract
- We investigate the time-scale relationships between US equity and commodity markets. The empirical evidence from the risk-return profitability analysis based on the wavelet coherence measure shows that equity and commodity markets exhibit time-varying comovement patterns and behave differently across investment horizons. Moreover, we find evidence of time-frequency causality between the two investigated markets. Our results can have important implications for optimal asset allocation and portfolio diversification.
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| 7. |
- Salah Uddin, Gazi, et al.
(författare)
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Analysis of Forecasting Models in Electricity Market Under Volatility : What We Learn from Sweden
- 2022
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Ingår i: Revisiting Electricity Market Reforms. - Singapore : Springer. - 9789811942662 - 9789811942655 ; , s. 117-142
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Bokkapitel (refereegranskat)abstract
- Understanding short-term electricity price forecasting has received considerable attention in recent years. Despite this increased interest, the litera-ture lacks concrete consensus on the best-suited forecasting approach. This study conducts an extensive empirical analysis to evaluate the short-term price forecasting dynamics of different regions in the Swedish electricity market (SEM). We utilise several forecasting approaches ranging from standard conditional volatility models to wavelet-based forecasting. In addition, we perform out-of-sample forecasting and back-testing, and evaluate the performance of these models. Our empirical analysis indicates that the ARMA-GARCH model with the Student’s t-distribution signifi-cantly outperforms other frameworks. Wavelet-based forecasting is only performed based on the mean absolute percent error (MAPE). Our results of the robust fore-casting methods can display the importance of proper forecasting process design, policy implications for market efficiency, and predictability in SEM.
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| 8. |
- Allard, Alexandra, 1994-, et al.
(författare)
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The N-shaped environmental Kuznets curve : an empirical evaluation using a panel quantile regression approach
- 2018
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Ingår i: Environmental Science and Pollution Research. - Heidelberg : Springer Verlag. - 0944-1344 .- 1614-7499. ; 25:6, s. 5848-5861
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Tidskriftsartikel (refereegranskat)abstract
- We evaluate the N-shaped environmental Kuznets curve (EKC) using panel quantile regression analysis. We investigate the relationship between CO2 emissions and GDP per capita for 74 countries over the period of 1994–2012. We include additional explanatory variables, such as renewable energy consumption, technological development, trade, and institutional quality. We find evidence for the N-shaped EKC in all income groups, except for the upper-middle-income countries. Heterogeneous characteristics are, however, observed over the N-shaped EKC. Finally, we find a negative relationship between renewable energy consumption and CO2 emissions, which highlights the importance of promoting greener energy in order to combat global warming.
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| 9. |
- Uddin, Gazi Salah, 1979-, et al.
(författare)
-
Analysis of forecasting models in an electricity market under volatility
- 2021
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- Short-term electricity price forecasting has received considerable attention in recent years. Despite this increased interest, the literature lacks a concrete consensus on the most suitable forecasting approach. This study reports an extensive empirical analysis that we conducted to evaluate the short-term price forecasting dynamics of different regions in the Swedish electricity market (SEM). We utilized several forecasting approaches ranging from standard conditional volatility models to wavelet-based forecasting. In addition, we performed out-of-sample forecasting and back-testing, and we evaluated the performance of these models. Our empirical analysis indicates that an ARMA-GARCH framework with the Student’s t-distribution significantly outperforms other frameworks. We only performed wavelet-based forecasting based on the MAPE. The results of the robust forecasting methods are capable of displaying the importance of proper forecasting process design, policy implications for market efficiency, and predictability in the SEM.
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| 10. |
- Ahmad, Wasim, et al.
(författare)
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On the intraday dynamics of oil price and exchange rate: What can we learn from China and India?
- 2020
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Ingår i: Energy Economics. - : ELSEVIER. - 0140-9883 .- 1873-6181. ; 91
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Tidskriftsartikel (refereegranskat)abstract
- The main aim of this paper is to investigate the volatility determinants of crude oil and foreign exchange markets and jump spillover between them. We consider currencies of two major oil-importing countries (India and China) over the sample period of January 1.2013 to October 31, 2019. We find evidence of positive return spillover from the oil to the foreign exchange market; however, there is a lack of return spillover in the other direction. Oil jumps appear to have a negative impact on exchange rate conditional volatility, and the latter responds asymmetrically to disentangled (positive and negative) oil price jumps. We also report disentangled exchange rate jumps significant impact on conditional oil price volatility. These results, however, are asymmetric based on the nature of jumps and alternative oil price series. Finally, we do not find evidence of co-jump between the oil and foreign exchange markets. These results have important implications for investors and policymakers. (C) 2020 Elsevier B.V. All rights reserved.
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