An intuitive portrayal of the correlation between the carbon and energy markets is essential for risk control and green financial investment management.In this paper,we investigate the asymmetric spillovers between th...An intuitive portrayal of the correlation between the carbon and energy markets is essential for risk control and green financial investment management.In this paper,we investigate the asymmetric spillovers between the carbon mar-ket and energy market returns.To achieve that,we improve the Diebold-Yilmaz index model by a time-varying vector autoregressive(TVP-VAR)model.In a unified network,our daily dataset includes the closing prices of the Hubei carbon market,Shenzhen carbon market,coal futures,and energy stock index.The findings reveal that both the Hubei and Shen-zhen pilots typically generate net information spillovers on energy futures.In connection with energy stocks,the Hubei carbon market acts as a net receiver,while the Shenzhen carbon market is a net transmitter.Compared with the Hubei pi-lot,the Shenzhen pilot is more tightly connected to the energy markets.Furthermore,the spillovers of the carbon markets exhibit significant asymmetry.In most cases,they have more substantial impacts on the energy markets when the prices of emission allowances rise.The direction and magnitude of asymmetric spillovers across markets vary over time and can be influenced by certain economic or political events.展开更多
This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency market capitalization and covering both conventional(Bitcoin and Ethe...This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency market capitalization and covering both conventional(Bitcoin and Ethereum)and Islamic(Stellar and Ripple)cryptocurrencies.Using a novel time-varying parameter vector autoregression(TVP-VAR)asymmetric connectedness approach combined with a high frequency(hourly)dataset ranging from 1st June 2018 to 22nd July 2022,we find that(i)good and bad spillovers are time-varying;(ii)bad volatility spillovers are more pronounced than good spillovers;(iii)a strong asymmetry in the volatility spillovers exists in the cryptocurrency market;and(iv)conventional cryptocurrencies dominate Islamic cryptocurrencies.Specifically,Ethereum is the major net transmitter of positive volatility spillovers while Stellar is the main net transmitter of negative volatility spillovers.展开更多
The notion that investors shift to gold during economic market crises remains unverified for many cryptocurrency markets.This paper investigates the connectedness between the 10 most traded cryptocurrencies and gold a...The notion that investors shift to gold during economic market crises remains unverified for many cryptocurrency markets.This paper investigates the connectedness between the 10 most traded cryptocurrencies and gold as well as crude oil markets pre-COVID-19 and during COVID-19.Through the application of various statistical techniques,including cointegration tests,vector autoregressive models,vector error correction models,autoregressive distributed lag models,and Granger causality analyses,we explore the relationship between these markets and assess the safe-haven properties of gold and crude oil for cryptocurrencies.Our findings reveal that during the COVID-19 pandemic,gold is a strong safe-haven for Bitcoin,Litecoin,and Monero while demonstrating a weaker safe-haven potential for Bitcoin Cash,EOS,Chainlink,and Cardano.In contrast,gold only exhibits a strong safe-haven characteristic before the pandemic for Litecoin and Monero.Additionally,Brent crude oil emerges as a strong safe-haven for Bitcoin during COVID-19,while West Texas Intermediate and Brent crude oils demonstrate weaker safe-haven properties for Ether,Bitcoin Cash,EOS,and Monero.Furthermore,the Granger causality analysis indicates that before the COVID-19 pandemic,the causal relationship predominantly flowed from gold and crude oil toward the cryptocurrency markets;however,during the COVID-19 period,the direction of causality shifted,with cryptocurrencies exerting influence on the gold and crude oil markets.These findings provide subtle implications for policymakers,hedge fund managers,and individual or institutional cryptocurrency investors.Our results highlight the need to adapt risk exposure strategies during financial turmoil,such as the crisis precipitated by the COVID-19 pandemic.展开更多
This study examines the time-varying asymmetric interlinkages between nine US sectoral returns from January 2020 to January 2023.To this end,we used the time-varying parameter vector autoregression(TVP-VAR)asymmetric ...This study examines the time-varying asymmetric interlinkages between nine US sectoral returns from January 2020 to January 2023.To this end,we used the time-varying parameter vector autoregression(TVP-VAR)asymmetric connectedness approach of Adekoya et al.(Resour Policy 77:102728,2022a,Resour Policy 78:102877,2022b)and analyzed the time-varying transmitting/receiving roles of sectors,considering the positive and negative impacts of the spillovers.We further estimate negative spillovers networks at two burst times(the declaration of the COVID-19 pandemic by the World Health Organization on 11 March 2020 and the start of Russian-Ukrainian war on 24 February 2022,respectively).Moreover,we performed a portfolio back-testing analysis to determine the time-varying portfolio allocations and hedging the effectiveness of different portfolio construction techniques.Our results reveal that(i)the sectoral return series are strongly interconnected,and negative spillovers dominate the study period;(ii)US sectoral returns are more sensitive to negative shocks,particularly during the burst times;(iii)the overall,positive,and negative connectedness indices reached their maximums on March 16,2020;(iv)the industry sector is the largest transmitter/recipient of return shocks on average;and(v)the minimum correlation and connectedness portfolio approaches robustly capture asymmetries.Our findings provide suggestions for investors,portfolio managers,and policymakers regarding optimal portfolio strategies and risk supervision.展开更多
This study examines the dynamic connectedness and hedging opportunities between CSI300(China Security Index 300)and copper,gold,PTA(purified terephthalic acid),and soybean in China from January 09,2008,to June 30,2023...This study examines the dynamic connectedness and hedging opportunities between CSI300(China Security Index 300)and copper,gold,PTA(purified terephthalic acid),and soybean in China from January 09,2008,to June 30,2023.A TVP-VAR and cDCC-FIAPARCH modeling framework was used for the empirical investigation.The results show that the total connectedness index can effectively capture cross-asset information transmission in China’s financial markets.Copper returns are the dominant volatility transmitters,while CSI300,gold,and soybean returns are net recipients.The Russian-Ukraine war reinforced the safe-haven role of gold.Finally,investors with CSI300 long positions may benefit from prioritizing gold for hedging,while those with CSI300 short positions profit more from allocating gold to PTA.Portfolio managers and investors can use the findings to track the dynamics of systemic risk and adjust their long/short positions when investing in China's stock and commodity markets.展开更多
This paper analyzes the degree of dynamic connectedness between energy and metal commodity prices in the pre and post-COVID-19 era,using the time-varying parameter vector autoregressive connectedness approach of Anton...This paper analyzes the degree of dynamic connectedness between energy and metal commodity prices in the pre and post-COVID-19 era,using the time-varying parameter vector autoregressive connectedness approach of Antonakakis et al.(J Risk Financ Manag 13(4):84,2020).The results suggest that market interconnectedness increased slightly following the outbreak of COVID-19,although this increase was lower and less persistent than that observed after the Global Financial Crisis of 2008.Furthermore,we find that crude oil was the main net transmitter of shocks before COVID-19 while heating oil,gold,and silver were the main net transmitters of shocks during the COVID-19 pandemic.In contrast,natural gas and palladium were the main net receivers of shocks during the entire sample period,making these two commodities attractive hedging and safe haven options for investors during the pandemic.Overall,our results suggest that hedging and diversification opportunities decrease during crises.Furthermore,they indicate that accurate forecasts of the volatility of several commodities,such as natural gas and different metals,can be obtained by exploiting the information content of crude oil.However,they also reveal that crude oil lost its leading position as a net shock transmitter during the COVID-19 pandemic.展开更多
We analyze the connectedness between major cryptocurrencies and nonfungible tokens(NFTs)for different quantiles employing a time-varying parameter vector autoregression approach.We find that lower and upper quantile s...We analyze the connectedness between major cryptocurrencies and nonfungible tokens(NFTs)for different quantiles employing a time-varying parameter vector autoregression approach.We find that lower and upper quantile spillovers are higher than those at the median,meaning that connectedness augments at extremes.For normal,bearish,and bullish markets,Bitcoin Cash,Bitcoin,Ethereum,and Litecoin consistently remain net transmitters,while NFTs receive innovations.However,spillover topology at both extremes becomes simpler—from cryptocurrencies to NFTs.We find no markets useful for mitigating BTC risks,whereas BTC is capable of reducing the risk of other digital assets,which is a valuable insight for market players and investors.展开更多
Analyzing the interdependencies among financial institutions is critical for designing systemic risk monitoring mechanisms;however,most existing research focuses on the first moment of the return distribution,which fa...Analyzing the interdependencies among financial institutions is critical for designing systemic risk monitoring mechanisms;however,most existing research focuses on the first moment of the return distribution,which falls into the conventional models of choice under risk.Previous literature has observed the scarcity of investors’attention and processing power,which makes the traditional theory of choice under risk more vulnerable and brings the salience theory that accommodates investors’cognitive limitations to our attention.Motivated by evidence of salience theory value(STV)containing unique information not captured by traditional higher-order moments,we employ a quantile connectedness approach to examine the STV interconnectedness of China’s systemically important banks(C-SIBs).The quantile approach allows us to uncover the dynamic STV interconnectedness of C-SIBs under normal,bearish,and bullish market conditions and is well-suited to extreme risk problems.Our results show that the C-SIBs system is asymmetrically interconnected across quantiles and at higher levels under bullish than bearish market conditions.Principally,a bank’s performance in the C-SIBs system depends on its systemic importance and market conditions.Furthermore,the comparative analysis indicates that STV could provide more information than higher-order moments in capturing the dynamic change in the C-SIBs system and detecting some market events more precisely.These results have important implications for policymakers and market participants to formulate regulatory policy and design risk management strategies.展开更多
基金supported by the National Natural Science Foundation of China(71973001).
文摘An intuitive portrayal of the correlation between the carbon and energy markets is essential for risk control and green financial investment management.In this paper,we investigate the asymmetric spillovers between the carbon mar-ket and energy market returns.To achieve that,we improve the Diebold-Yilmaz index model by a time-varying vector autoregressive(TVP-VAR)model.In a unified network,our daily dataset includes the closing prices of the Hubei carbon market,Shenzhen carbon market,coal futures,and energy stock index.The findings reveal that both the Hubei and Shen-zhen pilots typically generate net information spillovers on energy futures.In connection with energy stocks,the Hubei carbon market acts as a net receiver,while the Shenzhen carbon market is a net transmitter.Compared with the Hubei pi-lot,the Shenzhen pilot is more tightly connected to the energy markets.Furthermore,the spillovers of the carbon markets exhibit significant asymmetry.In most cases,they have more substantial impacts on the energy markets when the prices of emission allowances rise.The direction and magnitude of asymmetric spillovers across markets vary over time and can be influenced by certain economic or political events.
文摘This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency market capitalization and covering both conventional(Bitcoin and Ethereum)and Islamic(Stellar and Ripple)cryptocurrencies.Using a novel time-varying parameter vector autoregression(TVP-VAR)asymmetric connectedness approach combined with a high frequency(hourly)dataset ranging from 1st June 2018 to 22nd July 2022,we find that(i)good and bad spillovers are time-varying;(ii)bad volatility spillovers are more pronounced than good spillovers;(iii)a strong asymmetry in the volatility spillovers exists in the cryptocurrency market;and(iv)conventional cryptocurrencies dominate Islamic cryptocurrencies.Specifically,Ethereum is the major net transmitter of positive volatility spillovers while Stellar is the main net transmitter of negative volatility spillovers.
基金the financial support of the Chaire Fintech AMF—Finance Montréal,Canada.Contract number 0007.
文摘The notion that investors shift to gold during economic market crises remains unverified for many cryptocurrency markets.This paper investigates the connectedness between the 10 most traded cryptocurrencies and gold as well as crude oil markets pre-COVID-19 and during COVID-19.Through the application of various statistical techniques,including cointegration tests,vector autoregressive models,vector error correction models,autoregressive distributed lag models,and Granger causality analyses,we explore the relationship between these markets and assess the safe-haven properties of gold and crude oil for cryptocurrencies.Our findings reveal that during the COVID-19 pandemic,gold is a strong safe-haven for Bitcoin,Litecoin,and Monero while demonstrating a weaker safe-haven potential for Bitcoin Cash,EOS,Chainlink,and Cardano.In contrast,gold only exhibits a strong safe-haven characteristic before the pandemic for Litecoin and Monero.Additionally,Brent crude oil emerges as a strong safe-haven for Bitcoin during COVID-19,while West Texas Intermediate and Brent crude oils demonstrate weaker safe-haven properties for Ether,Bitcoin Cash,EOS,and Monero.Furthermore,the Granger causality analysis indicates that before the COVID-19 pandemic,the causal relationship predominantly flowed from gold and crude oil toward the cryptocurrency markets;however,during the COVID-19 period,the direction of causality shifted,with cryptocurrencies exerting influence on the gold and crude oil markets.These findings provide subtle implications for policymakers,hedge fund managers,and individual or institutional cryptocurrency investors.Our results highlight the need to adapt risk exposure strategies during financial turmoil,such as the crisis precipitated by the COVID-19 pandemic.
文摘This study examines the time-varying asymmetric interlinkages between nine US sectoral returns from January 2020 to January 2023.To this end,we used the time-varying parameter vector autoregression(TVP-VAR)asymmetric connectedness approach of Adekoya et al.(Resour Policy 77:102728,2022a,Resour Policy 78:102877,2022b)and analyzed the time-varying transmitting/receiving roles of sectors,considering the positive and negative impacts of the spillovers.We further estimate negative spillovers networks at two burst times(the declaration of the COVID-19 pandemic by the World Health Organization on 11 March 2020 and the start of Russian-Ukrainian war on 24 February 2022,respectively).Moreover,we performed a portfolio back-testing analysis to determine the time-varying portfolio allocations and hedging the effectiveness of different portfolio construction techniques.Our results reveal that(i)the sectoral return series are strongly interconnected,and negative spillovers dominate the study period;(ii)US sectoral returns are more sensitive to negative shocks,particularly during the burst times;(iii)the overall,positive,and negative connectedness indices reached their maximums on March 16,2020;(iv)the industry sector is the largest transmitter/recipient of return shocks on average;and(v)the minimum correlation and connectedness portfolio approaches robustly capture asymmetries.Our findings provide suggestions for investors,portfolio managers,and policymakers regarding optimal portfolio strategies and risk supervision.
基金support by the Humanities and Social Science Fund of Ministry of Education of China[Grant Number:23YJC850005]the Federal Ministry of Education,Science and Research(BMBWF)through Austria's Agency for Education and Internationalization(OeAD)[Grant Number:TW 01/2021].
文摘This study examines the dynamic connectedness and hedging opportunities between CSI300(China Security Index 300)and copper,gold,PTA(purified terephthalic acid),and soybean in China from January 09,2008,to June 30,2023.A TVP-VAR and cDCC-FIAPARCH modeling framework was used for the empirical investigation.The results show that the total connectedness index can effectively capture cross-asset information transmission in China’s financial markets.Copper returns are the dominant volatility transmitters,while CSI300,gold,and soybean returns are net recipients.The Russian-Ukraine war reinforced the safe-haven role of gold.Finally,investors with CSI300 long positions may benefit from prioritizing gold for hedging,while those with CSI300 short positions profit more from allocating gold to PTA.Portfolio managers and investors can use the findings to track the dynamics of systemic risk and adjust their long/short positions when investing in China's stock and commodity markets.
基金financial support from Ministerio de Ciencia e Innovación(MCIN/AEI/10.13039/501100011033)。
文摘This paper analyzes the degree of dynamic connectedness between energy and metal commodity prices in the pre and post-COVID-19 era,using the time-varying parameter vector autoregressive connectedness approach of Antonakakis et al.(J Risk Financ Manag 13(4):84,2020).The results suggest that market interconnectedness increased slightly following the outbreak of COVID-19,although this increase was lower and less persistent than that observed after the Global Financial Crisis of 2008.Furthermore,we find that crude oil was the main net transmitter of shocks before COVID-19 while heating oil,gold,and silver were the main net transmitters of shocks during the COVID-19 pandemic.In contrast,natural gas and palladium were the main net receivers of shocks during the entire sample period,making these two commodities attractive hedging and safe haven options for investors during the pandemic.Overall,our results suggest that hedging and diversification opportunities decrease during crises.Furthermore,they indicate that accurate forecasts of the volatility of several commodities,such as natural gas and different metals,can be obtained by exploiting the information content of crude oil.However,they also reveal that crude oil lost its leading position as a net shock transmitter during the COVID-19 pandemic.
基金supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea(NRF-2022S1A5A2A01038422)partly funded by the University of Economics Ho Chi Minh City,Vietnam.
文摘We analyze the connectedness between major cryptocurrencies and nonfungible tokens(NFTs)for different quantiles employing a time-varying parameter vector autoregression approach.We find that lower and upper quantile spillovers are higher than those at the median,meaning that connectedness augments at extremes.For normal,bearish,and bullish markets,Bitcoin Cash,Bitcoin,Ethereum,and Litecoin consistently remain net transmitters,while NFTs receive innovations.However,spillover topology at both extremes becomes simpler—from cryptocurrencies to NFTs.We find no markets useful for mitigating BTC risks,whereas BTC is capable of reducing the risk of other digital assets,which is a valuable insight for market players and investors.
文摘Analyzing the interdependencies among financial institutions is critical for designing systemic risk monitoring mechanisms;however,most existing research focuses on the first moment of the return distribution,which falls into the conventional models of choice under risk.Previous literature has observed the scarcity of investors’attention and processing power,which makes the traditional theory of choice under risk more vulnerable and brings the salience theory that accommodates investors’cognitive limitations to our attention.Motivated by evidence of salience theory value(STV)containing unique information not captured by traditional higher-order moments,we employ a quantile connectedness approach to examine the STV interconnectedness of China’s systemically important banks(C-SIBs).The quantile approach allows us to uncover the dynamic STV interconnectedness of C-SIBs under normal,bearish,and bullish market conditions and is well-suited to extreme risk problems.Our results show that the C-SIBs system is asymmetrically interconnected across quantiles and at higher levels under bullish than bearish market conditions.Principally,a bank’s performance in the C-SIBs system depends on its systemic importance and market conditions.Furthermore,the comparative analysis indicates that STV could provide more information than higher-order moments in capturing the dynamic change in the C-SIBs system and detecting some market events more precisely.These results have important implications for policymakers and market participants to formulate regulatory policy and design risk management strategies.
