We study the time varying co-movement patterns of the crypto-currency prices with the help of wavelet-based methods;employing daily bilateral exchange rate of four major crypto-currencies namely Bitcoin,Ethereum,Lite ...We study the time varying co-movement patterns of the crypto-currency prices with the help of wavelet-based methods;employing daily bilateral exchange rate of four major crypto-currencies namely Bitcoin,Ethereum,Lite and Dashcoin.First,we identify Bitcoin as potential market leader using Wavelet multiple correlation and Cross correlation.Further,Wavelet Local Multiple Correlation for the given cryptocurrency prices are estimated across different time-scales.From the results,it is found that that the correlation follows an aperiodic cyclical nature,and the crypto-currency prices are driven by Bitcoin price movements.Based on the results obtained,we suggest that constructing a portfolio based on crypto-currencies may be risky at this point of time as the other crypto-currency prices are mainly driven by Bitcoin prices,and any shocks in the latter is immediately transformed to the former.展开更多
This paper investigates the impact of the US stock market on the co-movements among the BRIC stock markets using conditional Granger causality which allows a comprehensive exploration on direct and indirect causality....This paper investigates the impact of the US stock market on the co-movements among the BRIC stock markets using conditional Granger causality which allows a comprehensive exploration on direct and indirect causality. The results from linear conditional causality test show a strong influence of the US stock market on the co-movements of BRIC. Our findings identify the US stock market which is the main inner factor making major contributions to the co-movements among the BRIC stock markets. Further, this study provides robust evidence that the co-movements cannot be significantly influenced by the common information factor. These findings show a more complete picture of the relationships between the US and the BRIC stock markets, offering important implications for policymakers and investors.展开更多
This study uses complex network analysis to investigate global stock market co-movement during the black swan event of the Coronavirus Disease 2019(COVID-19)pandemic.We propose a novel method for calculating stock pri...This study uses complex network analysis to investigate global stock market co-movement during the black swan event of the Coronavirus Disease 2019(COVID-19)pandemic.We propose a novel method for calculating stock price index correlations based on open-high-low-close(OHLC)data.More intraday information can be utilized compared with the widely used return-based method.Hypothesis testing was used to select the edges incorporated in the network to avoid a rigid setting of the artificial threshold.The topologies of the global stock market complex network constructed using 70 important global stock price indices before(2017-2019)and after(2020-2022)the COVID-19 outbreak were examined.The evidence shows that the degree centrality of the OHLC data-based global stock price index complex network has better power-law distribution characteristics than a return-based network.The global stock market co-movement characteristics are revealed,and the financial centers of the developed,emerging,and frontier markets are identified.Using centrality indicators,we also illustrate changes in the importance of individual stock price indices during the COVID-19 pandemic.Based on these findings,we provide suggestions for investors and policy regulators to improve their international portfolios and strengthen their national financial risk preparedness.展开更多
The increasing importance of minor metals in cutting-edge technologies and high volatility of their prices make a precise examination of co-movement in minor metal prices extremely important.This paper investigates co...The increasing importance of minor metals in cutting-edge technologies and high volatility of their prices make a precise examination of co-movement in minor metal prices extremely important.This paper investigates co-movements in minor metal prices at different frequency and time period.The novelty of our method lies in the application ofwavelets analysis and Toeplitz inverse covariance-based clustering to minor metal prices.We show that most of low-frequency co-movements are limited to a certain group of minor metals and the distribution of their structural breaks are closely related to important international events.High-frequency co-movements in minor metal prices are relatively stable during 2008 and 2013 and mainly perform as two types of co-movements.Moreover,during other periods,high-frequency co-movements in minor metal prices shifts among several types of co-movements.These findings equip policymakers with a framework to preempt supply chain disruptions,enable manufacturers to develop dynamic inventory strategies responsive to co-movement regimes,and provide investors with frequency-aware hedging tools tailored for minor metal portfolios.展开更多
This paper analyzes the process of long-run co-movements and stock market globalization on the basis of cointegration tests and vector error correction (VEC) models. The cointegration tests used here allow for structu...This paper analyzes the process of long-run co-movements and stock market globalization on the basis of cointegration tests and vector error correction (VEC) models. The cointegration tests used here allow for structural breaks to be explicitly modeled and breakpoints to be computed on a relative-time basis. The data used in our empirical analysis were drawn from Datastream and comprise the natural logarithms of relative stock market indexes since 1973 for the G7 countries. The main results point to the conclusion that significant causal cointegration effects occur in this context and that there is a long-run relationship that governs the worldwide process of market integration. Globalization, however, is a complex adjustment process and in many cases there is only evidence of weak market integration which means that non-proportional price transmission occurs in the market along with proportional changes. The worldwide markets, as expected, appear to be driven in general by the US stock market.展开更多
The objective stress rate is a rather important problem in mechanics of finite deformation. In this paper, the objective stress rate in co-moving coordinate is derived by applying nonlinear geometric field theory of d...The objective stress rate is a rather important problem in mechanics of finite deformation. In this paper, the objective stress rate in co-moving coordinate is derived by applying nonlinear geometric field theory of deformation. Problems, such ax targe extension coupled with rotation, and large shear deformation, are exemplified by using the new formula. Comparing with Jaumann 's stress rate and other formulae presented in current literature, the new result appears to be the reasonable one in co-moving coordinate system.展开更多
Using VAR-DCC-GARCH model,the literature on commodity price was extended by exploring the co-movement between Chinese nonferrous metal prices and global nonferrous metal prices represented by the nonferrous metal pric...Using VAR-DCC-GARCH model,the literature on commodity price was extended by exploring the co-movement between Chinese nonferrous metal prices and global nonferrous metal prices represented by the nonferrous metal prices from London Metal Exchange(LME).The results show that LME nonferrous metals prices still have a greater impact on Chinese nonferrous metals prices.However,the impact of Chinese nonferrous metals prices on LME nonferrous metals prices is still weak except for lead price.The co-movement of nonferrous metal prices between LME and China presents hysteretic nature,and it lasts for 7-8trading days.Furthermore,the co-movement between LME nonferrous metals prices and Chinese nonferrous metals prices has the characteristics of time-varying,and the correlation of lead prices between LME and China is the more stable than all other nonferrous metals prices.展开更多
文摘We study the time varying co-movement patterns of the crypto-currency prices with the help of wavelet-based methods;employing daily bilateral exchange rate of four major crypto-currencies namely Bitcoin,Ethereum,Lite and Dashcoin.First,we identify Bitcoin as potential market leader using Wavelet multiple correlation and Cross correlation.Further,Wavelet Local Multiple Correlation for the given cryptocurrency prices are estimated across different time-scales.From the results,it is found that that the correlation follows an aperiodic cyclical nature,and the crypto-currency prices are driven by Bitcoin price movements.Based on the results obtained,we suggest that constructing a portfolio based on crypto-currencies may be risky at this point of time as the other crypto-currency prices are mainly driven by Bitcoin prices,and any shocks in the latter is immediately transformed to the former.
文摘This paper investigates the impact of the US stock market on the co-movements among the BRIC stock markets using conditional Granger causality which allows a comprehensive exploration on direct and indirect causality. The results from linear conditional causality test show a strong influence of the US stock market on the co-movements of BRIC. Our findings identify the US stock market which is the main inner factor making major contributions to the co-movements among the BRIC stock markets. Further, this study provides robust evidence that the co-movements cannot be significantly influenced by the common information factor. These findings show a more complete picture of the relationships between the US and the BRIC stock markets, offering important implications for policymakers and investors.
基金the financial support from the Beijing Municipal Social Science Foundation(No.20GLC054)the National Natural Science Foundation of China(Nos.72021001,72174020,71904009)+1 种基金the Natural Science Foundation of Beijing Municipality(No.9232014)the Humanities and Social Science Fund of Ministry of Education of China(No.18YJC840041).
文摘This study uses complex network analysis to investigate global stock market co-movement during the black swan event of the Coronavirus Disease 2019(COVID-19)pandemic.We propose a novel method for calculating stock price index correlations based on open-high-low-close(OHLC)data.More intraday information can be utilized compared with the widely used return-based method.Hypothesis testing was used to select the edges incorporated in the network to avoid a rigid setting of the artificial threshold.The topologies of the global stock market complex network constructed using 70 important global stock price indices before(2017-2019)and after(2020-2022)the COVID-19 outbreak were examined.The evidence shows that the degree centrality of the OHLC data-based global stock price index complex network has better power-law distribution characteristics than a return-based network.The global stock market co-movement characteristics are revealed,and the financial centers of the developed,emerging,and frontier markets are identified.Using centrality indicators,we also illustrate changes in the importance of individual stock price indices during the COVID-19 pandemic.Based on these findings,we provide suggestions for investors and policy regulators to improve their international portfolios and strengthen their national financial risk preparedness.
基金supported by the Science and Technology Project of State Grid Corporation of China(Research on the Optimization Technology of Power Grid Material Procurement Cost Based on the Linkage between Demand and Price)under Award No.5108-202218280A-2-433-XG.
文摘The increasing importance of minor metals in cutting-edge technologies and high volatility of their prices make a precise examination of co-movement in minor metal prices extremely important.This paper investigates co-movements in minor metal prices at different frequency and time period.The novelty of our method lies in the application ofwavelets analysis and Toeplitz inverse covariance-based clustering to minor metal prices.We show that most of low-frequency co-movements are limited to a certain group of minor metals and the distribution of their structural breaks are closely related to important international events.High-frequency co-movements in minor metal prices are relatively stable during 2008 and 2013 and mainly perform as two types of co-movements.Moreover,during other periods,high-frequency co-movements in minor metal prices shifts among several types of co-movements.These findings equip policymakers with a framework to preempt supply chain disruptions,enable manufacturers to develop dynamic inventory strategies responsive to co-movement regimes,and provide investors with frequency-aware hedging tools tailored for minor metal portfolios.
基金supported by FCT-Fundao para a Ciência e Tecnologia (PTDC/GES/73418/2006, PTDC/GES/70529/2006, and FCOMP-01-0124- FEDER-007350)
文摘This paper analyzes the process of long-run co-movements and stock market globalization on the basis of cointegration tests and vector error correction (VEC) models. The cointegration tests used here allow for structural breaks to be explicitly modeled and breakpoints to be computed on a relative-time basis. The data used in our empirical analysis were drawn from Datastream and comprise the natural logarithms of relative stock market indexes since 1973 for the G7 countries. The main results point to the conclusion that significant causal cointegration effects occur in this context and that there is a long-run relationship that governs the worldwide process of market integration. Globalization, however, is a complex adjustment process and in many cases there is only evidence of weak market integration which means that non-proportional price transmission occurs in the market along with proportional changes. The worldwide markets, as expected, appear to be driven in general by the US stock market.
文摘The objective stress rate is a rather important problem in mechanics of finite deformation. In this paper, the objective stress rate in co-moving coordinate is derived by applying nonlinear geometric field theory of deformation. Problems, such ax targe extension coupled with rotation, and large shear deformation, are exemplified by using the new formula. Comparing with Jaumann 's stress rate and other formulae presented in current literature, the new result appears to be the reasonable one in co-moving coordinate system.
基金Project(71073177)supported by the National Natural Science Foundation of ChinaProject(12JJ4077)supported by the Natural Science Foundation of Hunan Province of ChinaProject(2012zzts002)supported by the Fundamental Research Funds of Central South University,China
文摘Using VAR-DCC-GARCH model,the literature on commodity price was extended by exploring the co-movement between Chinese nonferrous metal prices and global nonferrous metal prices represented by the nonferrous metal prices from London Metal Exchange(LME).The results show that LME nonferrous metals prices still have a greater impact on Chinese nonferrous metals prices.However,the impact of Chinese nonferrous metals prices on LME nonferrous metals prices is still weak except for lead price.The co-movement of nonferrous metal prices between LME and China presents hysteretic nature,and it lasts for 7-8trading days.Furthermore,the co-movement between LME nonferrous metals prices and Chinese nonferrous metals prices has the characteristics of time-varying,and the correlation of lead prices between LME and China is the more stable than all other nonferrous metals prices.
