| 1. |
- Andreasson, Pierre, et al.
(author)
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Impact of speculation and economic uncertainty on commodity markets
- 2016
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In: International Review of Financial Analysis. - : Elsevier. - 1057-5219 .- 1873-8079. ; 43, s. 115-127
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Journal article (peer-reviewed)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. |
- Bekiros, Stelios, et al.
(author)
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Black swan events and safe havens: The role of gold in globally integrated emerging markets
- 2017
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In: Journal of International Money and Finance. - : ELSEVIER SCI LTD. - 0261-5606 .- 1873-0639. ; 73, s. 317-334
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Journal article (peer-reviewed)abstract
- There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification roles of gold by analyzing its interaction with the stock markets of the leading emerging economies, the BRICS. While they generally exhibit a high growth rate, these economies still experience a pronounced vulnerability to external shocks, particularly to commodity price fluctuations. Using a multi-scale wavelet approach and a GARCH-based copula methodology, we mainly show evidence of: (i) the time-scale co-evolvement patterns between BRICS stock markets and gold market, with some profound regions of concentrated extreme variations; and (ii) a strong time-varying asymmetric dependence structure between those markets. These findings are essential for risk diversification and portfolio hedging strategies among the investigated markets. (C) 2017 Elsevier Ltd. All rights reserved.
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| 3. |
- Bekiros, Stelios, et al.
(author)
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BUSINESS CYCLE (DE)SYNCHRONIZATION IN THE AFTERMATH OF THE GLOBAL FINANCIAL CRISIS: IMPLICATIONS FOR THE EURO AREA
- 2015
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In: Studies in Nonlinear Dynamics and Econometrics. - : De Gruyter. - 1081-1826 .- 1558-3708. ; 19:5, s. 609-624
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Journal article (peer-reviewed)abstract
- The introduction of Euro currency was a game-changing event intended to induce convergence of Eurozone business cycles on the basis of greater monetary and fiscal integration. The benefit of participating into a common currency area exceeds the cost of losing autonomy in national monetary policy only in case of cycle co-movement. However, synchronization was put back mainly due to country-specific differences and asymmetries in terms of trade and fiscal policies that became profound at the outset of the global financial crisis. As opposed to previous studies that are mostly based on linear correlation or causality modeling, we utilize the cross-wavelet coherence measure to detect and identify the scale-dependent time-varying (de)synchronization effects amongst Eurozone and the broad Euro area business cycles before and after the financial crisis. Our results suggest that the inforcement of an active monetary policy by the ECB during crisis periods could provide an effective stabilization instrument for the entire Euro area. However, as dynamic patterns in the lead-lag relationships of the European economies are revealed, (de)synchronization varies across different frequency bands and time horizons.
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| 4. |
- Bekiros, Stelios, et al.
(author)
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Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets
- 2017
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In: European Journal of Operational Research. - : Elsevier. - 0377-2217 .- 1872-6860. ; 256:3, s. 945-961
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Journal article (peer-reviewed)abstract
- This paper investigates the dynamic causal linkages among U.S. equity and commodity futures markets via the utilization of complex network theory. We make use of rolling estimations of extended matrices and time-varying network topologies to reveal the temporal dimension of correlation and entropy relationships. A simulation analysis using randomized time series is also implemented to assess the impact of de-noising on the data dependence structure. We mainly show evidence of emphasized disparity of correlation and entropy-based centrality measurements for all markets between pre- and post-crisis periods. Our results enable the robust mapping of network influences and contagion effects while incorporating agent expectations.
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| 5. |
- Bekiros, Stelios, et al.
(author)
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On the time scale behavior of equity-commodity links: Implications for portfolio management
- 2016
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In: Journal of international financial markets, institutions, and money. - : Elsevier. - 1042-4431 .- 1873-0612. ; 41, s. 30-46
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Journal article (peer-reviewed)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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| 6. |
- Chevallier, Julien, et al.
(author)
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Market integration and financial linkages among stock markets in Pacific Basin countries
- 2018
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In: Journal of Empirical Finance. - : ELSEVIER SCIENCE BV. - 0927-5398 .- 1879-1727. ; 46, s. 77-92
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Journal article (peer-reviewed)abstract
- Financial development and globalization have significantly integrated stock markets around the world. This higher degree of interdependence and integration not only provides firms with higher access to international capital markets with lower cost of equity but also generates upward vulnerabilities for local markets due to their exposure to global and regional shocks. This article focuses on the level of interdependence across the Pacific Basin stock markets using the return spillover measure proposed by Diebold and Yilmaz (2009, 2012), given their increasing role in global trade and finance. We are also interested in investigating the effect of shocks affecting the United States and the Japanese stock markets as well as their transmission to the emerging markets. We mainly find that: (1) the interdependence of the emerging stock markets in the ASEAN countries is driven by a higher exposure to the US shocks than to shocks affecting the developed economies of East Asia, and (ii) the cross-market linkages in the Pacific Basin region have become stronger over time, which may reduce the benefit of regional diversification strategies and expose the countries of the region to increasing contagion risk. These results have important implications for public policies related to the issue of regional and global financial integration. (C) 2017 Elsevier B.V. All rights reserved.
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| 7. |
- Hussaini, Mussa, 1985, et al.
(author)
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Is corporate social responsibility an agency problem? An empirical note from takeovers
- 2021
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In: Finance Research Letters. - : Elsevier BV. - 1544-6123. ; 43
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Journal article (peer-reviewed)abstract
- We rely on the agency motives of the takeover premium to empirically examine whether and how the acquirer's corporate social responsibility (CSR) performance influences the premiums paid in takeovers. Using a large sample of US takeovers that took place over the period from 1992 to 2014, our results mainly reveal that higher CSR performance at the acquirer level is associated with higher takeover premium which is consistent with the shareholder expense view. Our results continue to hold after a battery of additional analyses.
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| 8. |
- Khuong Nguyen, Duc, et al.
(author)
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Testing for asymmetric causality between US equity returns and commodity futures returns
- 2015
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In: Finance Research Letters. - : Elsevier. - 1544-6123 .- 1544-6131. ; 12, s. 38-47
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Journal article (peer-reviewed)abstract
- This paper examines the causal relationships between the U.S. equity returns and the returns of energy, metal and agricultural commodity futures. Using an analytical framework that accounts for seasonal effects on commodity returns, we find that asymmetry plays an important role in these two-way around relationships. This asymmetry seems to be more relevant since 2000 than in the nineties, and the asymmetric linkages are observed both when returns are measured in nominal and real terms.
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| 9. |
- Khuong Nguyen, Duc, et al.
(author)
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US equity and commodity futures markets: Hedging or financialization?
- 2020
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In: Energy Economics. - : ELSEVIER. - 0140-9883 .- 1873-6181. ; 86
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Journal article (peer-reviewed)abstract
- In this paper, we investigate the hedging versus the financialization nature of commodity futures vis-avis the equity market using a ARMA filter-based correlation approach. Our results suggest that while gold futures are typically seen as a hedge against unfavorable fluctuations in the stock market, the majority of commodity futures appears to be treated as a separate asset class in line with their increasing financialization. Our results are robust to the presence of inflation, highlight the hedging role played by fuel (energy) commodity futures in the nineties, and reveal that the commodity financialization boosted since the 2000s. We also show that gold futures are partially a safe haven for equity investments in the short-term, but not in the mid-term. Finally, we uncover some hedging (financialization) of crude oil futures associated to global demand (oil supply) shocks. (C) 2019 Elsevier B.V. All rights reserved.
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| 10. |
- Lean, Hooi Hooi, et al.
(author)
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On the role of commodity futures in portfolio diversification
- 2023
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In: International Transactions in Operational Research. - : WILEY. - 0969-6016 .- 1475-3995. ; 30:5, s. 2374-2394
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Journal article (peer-reviewed)abstract
- The last two decades have witnessed major financial crises that led investors to seek alternative assets and investment strategies to reduce their portfolio risk. In this article, we provide information on the role of commodity futures in designing portfolios and managing risk based on an appealing operational framework. Using more than 20 years of sample data, we first investigate the conditional mean and volatility dynamics of equity and commodity futures markets within a dynamic conditional correlation model setup. We then form alternative equity-commodity futures portfolios by changing the weights of commodity futures and examine if the diversified commodity-equity portfolios perform superior to the all-equity portfolios and four well-known investment strategies that suit most practitioners. Stochastic dominance approach shows that including commodity futures in diversified portfolios does not always improve the risk-return performance, except for gold in some particular portfolio setups. Accordingly, commodity assets have behaved like financial assets (stocks) and tend to be driven by the same pricing factors in general, which reduces the benefits of diversification.
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