| 1. |
- Andersson, Emil, et al.
(författare)
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ESG investment: What do we learn from its interaction with stock, currency and commodity markets?
- 2022
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Ingår i: International journal of finance and economics. - : WILEY. - 1076-9307 .- 1099-1158. ; 27, s. 3623-3639
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Tidskriftsartikel (refereegranskat)abstract
- This paper examines ESG portfolios causal relationship with conventional and ethical equity prices, exchange rates and commodity prices. Using multi-scale wavelet decomposition, asset returns are decomposed into three timescales (short-, medium- and long-term), and a three-step filtered framework is used to explore dynamic non-linear linkages. We document significant bidirectional causal relationship between ESG, conventional and ethical equity portfolio returns. While the causality persists from the short- to medium-term, it is relatively weaker in the long-term. We further observe statistically significant causality running from ESG portfolio returns to currency and commodity returns. This causality is strongest in the short-term, turns weaker in the medium-term and, in some instances, disappears in the long-term. These results are generally robust for the use of original returns and VAR-filtered returns. However, as we control for conditional heteroskedasticity in the return series, the causality appears weaker particularly between ESG portfolio and commodity returns. Our results have important implications for planning portfolio allocation and devising hedging and diversification strategies.
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| 2. |
- Baltas, Konstantinos, et al.
(författare)
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The role of resource orchestration in humanitarian operations : a COVID-19 case in the US healthcare
- 2022
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Ingår i: Annals of Operations Research. - : Springer. - 0254-5330 .- 1572-9338.
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Tidskriftsartikel (refereegranskat)abstract
- This paper investigates the role of resource allocation in alleviating the impact on from disruptions in healthcare operations. We draw on resource orchestration theory and analyse data stemming from US healthcare to discuss how the US healthcare system structured, bundled and reconfigured resources (i.e. number of hospital beds, and vaccines) during the COVID-19 pandemic. Following a comprehensive and robust econometric analysis of two key resources (i.e. hospital beds and vaccines), we discuss its effect on the outcomes of the pandemic measured in terms of confirmed cases and deaths, and draw insights on how the learning curve effect and other factors might influence in the efficient and effective control of the pandemic outcomes through the resource usage. Our contribution lies in revealing how different resources are orchestrated (structured, bundled, and leveraged) to help planning responses to and dealing with the disruptions to create resilient humanitarian operations. Managerial implications, limitations and future research directions are also discussed.
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| 3. |
- Bekiros, Stelios, et al.
(författare)
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A tale of two shocks: The dynamics of international real estate markets
- 2020
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Ingår i: International journal of finance and economics. - : WILEY. - 1076-9307 .- 1099-1158. ; 25:1
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Tidskriftsartikel (refereegranskat)abstract
- We examine the major potential drivers of five international housing markets utilizing a quantile regression approach. In particular, we investigate property market dynamics during three variant market environments, namely, under downward (bearish), normal (median), and upward (bullish) trending conditions. Monthly data series for the United States, United Kingdom, Australia, Singapore, and Hong Kong are analysed, in an attempt to quantify uncertainty and detect trading patterns for the largest securitized real estate markets. We find that the stock market volatility, measured by the "pushing factor" VIXSamp;P500, provides agents with the most reliable and efficient information in terms of predicting market returns during bear market conditions, whereas "pulling factors" such as money supply, treasury yields, and unemployment explain the main stylized facts, incorporating contagion and diverse endogenous and exogenous shocks. Our work provides a richer understanding on comovements in house prices, allowing policy makers to anticipate shocks in global markets in a timely manner.
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| 4. |
- Forsström, Viktor, et al.
(författare)
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Making sense of uncertainty: An application to the Scandinavian banking sector
- 2023
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Ingår i: International journal of finance and economics. - : WILEY. - 1076-9307 .- 1099-1158.
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Tidskriftsartikel (refereegranskat)abstract
- We study the impact of different sources of global, regional and local uncertainty on the seven largest Scandinavian banks over the period 2005-2018. Using a spillover approach and network analysis, we find that Swedish banks are the main source of contagion in the region and spillovers tend to increase in times of heightened uncertainty. Global economic policy uncertainty, global financial uncertainty and local housing market uncertainty affect the Scandinavian banking sector the most. By contrast, geopolitical risk spillovers are limited.
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| 5. |
- Jayasekera, Ranadeva, et al.
(författare)
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Green bond underlying volatility swaps in China
- 2024
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Ingår i: <em>Green Finance and Renewable Energy in ASEAN and East Asia</em>. - : Routledge. ; , s. 80-103
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Bokkapitel (refereegranskat)abstract
- China is promoting carbon neutrality to cope with environmental degradation and economic loss, issuing more green bonds than any other country to finance its green transformation. Uncertainty affects green bonds more than traditional bonds, including policy uncertainty, natural disasters, and energy crises. This chapter advocates green bond underlying volatility swaps, a derivative that allows investors to trade green bond price volatility, which market participants can use for hedging. We propose a framework for forecasting realized volatility by demonstrating that Chinese green bonds are highly homogeneous, making them useful in such forecasting and thus guiding trading in such swaps. We also examine the forecasting performance of a novel model, RVNET-GARCH, which synthesizes multiple green bonds’ historical realized volatility into a network factor. Testing for robustness with three Monte Carlo simulations and six rolling horizons shows that the proposed methodology can provide reliable results.
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| 6. |
- Lindman, Sebastian, et al.
(författare)
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Market Impact on financial market integration: Cross-quantilogram analysis of the global impact of the euro
- 2020
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Ingår i: Journal of Empirical Finance. - : ELSEVIER. - 0927-5398 .- 1879-1727. ; 56, s. 42-73
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Tidskriftsartikel (refereegranskat)abstract
- We contribute to the literature by providing a more comprehensive understanding of the impact the euro has had on financial market integration with economies of different characteristics outside and within the European market via inclusion of market conditions influence on the level of financial integration. Our paper employs the recently developed cross-quantilogram (Han et al., 2016) approach to examine quantile dependence between the conditional stock return distributions of Germany and the UK with that of three common currency groups within EMU (Finland, France, and Italy), two global leading markets (the US and Japan), and two of the most promising emerging markets (China and India). We find three key results. First, both the EU membership and the common currency union affect the degree of financial market integration. Nevertheless, disentangling the effects of EU membership from the common currency shows that the common currency group has an additional impact on financial integration, as the degree of dependence is stronger in the common currency group than in the sovereign currency group and other groups. Second, there is a heterogeneous dependence structure, which is strongly observed for the UK and German stock returns with that of developed (the US and Japan) and emerging markets (India and China). Third, cross-quantile correlations change over time, especially in low and high quantiles, indicating that they are prone to jumps and discontinuities in the dependence structure. As far as we are aware, this is the first study in this field employing a cross-quantilogram method to examine the impact of different market conditions on the correlations, making our study a pioneer in the field of stock market integration.
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| 7. |
- Sahamkhadam, Maziar
(författare)
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Copula-based Portfolio Optimization
- 2021
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis studies and develops copula-based portfolio optimization. The overall purpose is to clarify the effects of copula modeling for portfolio allocation andsuggest novel approaches for copula-based optimization. The thesis is a compilation of five papers. The first and second papers study and introduce copula-based methods; the third, fourth, and fifth papers extend their applications to the Black-Litterman (BL) approach, expectile Value-at-Risk (EVaR), and multicriteria optimization, respectively.The first paper focuses on applying copula-based forecasting models and studying tail dependence and how the risk model choice affects asset allocation. Using international stock markets, an analysis of the performance of several risk modeling portfolio strategies indicates that GARCH-EVT forecasting models, which use Gaussian or Student-t copulas, are best at reducing portfolio risk.In the second paper, vine copulas are applied to study portfolio strategies during the global financial and COVID-19 crises. Overall, we find that the Student-t drawable vine copula models perform best with regard to risk reduction, both for the entire 2005–2012 period as well as during the global financial crisis. For the COVID-19 crisis, however, we find that the asymmetric Joe C-vine copula model performs bestin reducing downside portfolio risk.The third paper includes a methodological contribution in that it incorporates dependency structure modeling with the BL approach and applying tail constraintsin reward-risk maximization. Our empirical analysis and robustness check indicate better performance for the CBL portfolios in terms of lower tail risk and higher risk-adjusted returns compared to the benchmark strategies.The fourth paper investigates EVaR as the risk measure in dynamic copula-based portfolio optimization and compares it to the common variance and conditional Value-at-Risk (CVaR). Using ten S&P 500 industry sectors, EVaR leads to a min-risk dynamic generalized additive models (GAMC-vine) portfolio that achieves higher out-of-sample average return and risk-adjusted ratios. Furthermore, EVaR shows a better portfolio ranking than CVaR and the copula-based variance and EVaR portfolios show higher-order stochastic dominance over CVaR strategies.The fifth paper develops a copula-based multi-objective portfolio (MOP) optimization. Applying the copula-based multi-objective portfolio optimization (MOP) optimization model, we investigate the impacts of objective functions and several multivariate risk models on portfolio performance. In general, there isevidence that the copula-based multicriteria portfolios perform better than those produced using the other predictive models in terms of the downside risk. With regard to portfolio attributes, the dividend yield and beta coefficient significantly reduce portfolio tail risk measures.
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| 8. |
- Uddin, Gazi Salah, et al.
(författare)
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Go green or stay black : Bond market dynamics in Asia
- 2022
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Ingår i: International Review of Financial Analysis. - : Elsevier Science Inc. - 1057-5219 .- 1873-8079. ; 81
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Tidskriftsartikel (refereegranskat)abstract
- This paper presents a picture of the risk spillover relationship of green & black bonds in Asia. In normal situations and the long-term horizon, green bonds and black bonds have similar impacts with each other, with a slight predominance of black bonds. Based on the dynamic connectedness results, we classify the sample period into three stages. The first stage is a period with equal role of green and black bonds from Jan 2018 to Feb 2020, which is regarded as a normal situation of the bond market. The second stage is an unbalanced period with a pivotal point of the Covid-19, demonstrating an increased gap of the connectedness exported by green and black bonds. The third stage is the recovery period after Oct 2020, where we see a correction with the role of green and black bonds recovering gradually to the equal status. In addition, the green-to-black connectedness in longer term witnesses faster and stronger recovery, which suggests that the long-term influences of green bonds are relatively stable than the short-term influences. Moreover, the paper tests the effects of the same issuer. Our analysis shows that there are strong connections among bonds in the Philippines that are issued by the same institution. However, the same issuer is not a sufficient condition for a strong connectedness. Furthermore, our analysis in China Mainland, reveals that the green policy will firstly cause the change of green bonds price and then spillover the impact to conventional markets. Through the study of the drivers of connectedness dynamics in four directions (green-to-green, black-to-black, green-to-black, black-to-green), we present empirical findings that are crucial for investors and policymakers in risk management, hedging strategy, and green investment acceleration.
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| 9. |
- Uddin, Gazi Salah, et al.
(författare)
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Risk network of global energy markets
- 2023
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Ingår i: Energy Economics. - : ELSEVIER. - 0140-9883 .- 1873-6181. ; 125
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Tidskriftsartikel (refereegranskat)abstract
- This study evaluates extreme uncertainty connectedness among top global energy firms. The sample comprises of 68 firms from four energy-related subsectors (oil & gas, oil & gas related equipment and services, multiline utilities, and renewable energy). To provide an overview of tail connectedness, we construct a high-dimensional network between firms by utilizing a generalized error decomposition and a sparse vector autoregression framework with a latent common factor. Our empirical results indicate that between the four subsectors, the renewable energy subsector exhibits the highest uncertainty transmission to other underlying subsectors, primarily credited to an increased within-subsector idiosyncratic uncertainty before the COVID-19 crisis. After the burst of the COVID-19 pandemic, due to the higher connectedness, the role of the renewable energy companies in the spillover network is further intensified. The uncertainty connectedness demonstrates a time-varying trait. While the oil and gas subsector exhibits greater long-term linkages with the oil and gas related equipment and services subsector, the long-run dynamics exhibit a lower interconnectedness as compared to the short-run. Finally, there is an increased connectedness among companies operating in the same subsector with similar size, attributing to similarity and competition.
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| 10. |
- Wadström, Christoffer, et al.
(författare)
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Role of renewable energy on industrial output in Canada
- 2019
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Ingår i: Energy Economics. - Amsterdam, Netherlands : Elsevier. - 0140-9883 .- 1873-6181. ; 81, s. 626-638
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Tidskriftsartikel (refereegranskat)abstract
- Several scholars have highlighted the idea that energy consumption in general and consumption of renewable energy (RE) in particular may be a potential driver of economic growth. In this paper, we examine the relationship between RE production and economic activity in Canada between May 1966 and December 2015. By applying quantile causality (Troster, 2018), we adopt a nonlinear approach considering all quantiles of the distribution and analysing monthly data consisting of RE production and the Canadian Industrial Production Index (IPI). We find evidence of a nonlinear relationship in Canada, an important result that widely-used linear models fail to capture. Our main findings imply a unidirectional relationship going from the IPI to RE production, which supports the Conservation hypothesis. The directionality between RE and economic growth is sensitive to the market conditions in Canada.
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