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21.
Shawkat M. Hammoudeh Yuan Yuan Michael McAleer 《The Quarterly Review of Economics and Finance》2009,49(3):829-842
The major objectives of this study are twofold. The first objective is to examine the dynamic volatility and volatility transmission in a multivariate setting using the VAR(1)–GARCH(1,1) model for three major sectors, namely, Service, Banking and Industrial/or Insurance, in four Gulf Cooperation Council (GCC)’s economies (Kuwait, Qatar, Saudi Arabia and UAE). The second is to use the models’ results to compute and analyze the optimal weights and hedge ratios for two-sector portfolio holdings, comprised of the three sectors for each country. The results suggest that past own volatilities matter more than past shocks and there are moderate volatility spillovers between the sectors within the individual countries, with the exception of Qatar. Moreover, the values for ratios of hedging long positions with short positions in the GCC sectors are smaller than those for the US equity sectors. The optimal portfolio weights favor the Banking/financial sector for Qatar, Saudi Arabia and UAE and the Industrial sector for Kuwait. 相似文献
22.
Sangram Keshari Jena Aviral Kumar Tiwari Shawkat Hammoudeh Muhammad Shahbaz 《The World Economy》2020,43(8):2263-2284
We apply the wavelet coherency and phase difference methodology to explore the nature of the relationship and the direction of causality between foreign institutional investment (FII) flows and stock market returns across time and frequency domain for the fast-growing Indian economy. Since both variables are affected by economic uncertainty, we have estimated the partial wavelet coherency and the phase difference to discern the impact of economic uncertainty on the dynamic relationship and causality between those variables. Both the FII flows and the stock market return move together during the periods of the global financial crisis and the European sovereign debt crisis without any causality in the short run, but the stock market leads the FII inflows in the long run. However, in the bull market the stock market Granger causes the FII inflows both in the short run and in the long run. Nonetheless, economic uncertainty drives the co-movement and also masks the causality effect between those two variables. Thus, the results require policymakers to set out a transparent economic environment to reap the benefits of FII flows. As far as the FII outflows are concerned, profit booking and economic uncertainty drive the relationship and the causality in the short run. Hence, policymakers and portfolio managers should be concerned about FII outflows in the long run, while in the short run, it is a normal trading activity. 相似文献
23.
Jana R. K. Tiwari Aviral Kumar Hammoudeh Shawkat 《Journal of quantitative economics》2019,17(2):447-457
We analyze the informational efficiency of Litecoin using computationally efficient and robust estimators of long-range dependence for a sample period spanning over April 28, 2013 to November 27, 2017. We show evidence of market inefficiency. However, some short periods with negligible inefficiency are also observed. We also find evidence of multifractality of Litecoin returns.
相似文献24.
This paper examines the relationship between beta risk and realized stock index return in the presence of oil and exchange rate sensitivities for 15 countries in the Asia-Pacific region using the international factor model. Thirteen of the 15 countries have the expected beta signs and show significant sensitivity to domestic risk when the world stock market is in both up and down modes. In terms of oil sensitivity, only the Philippines and South Korea are oil-sensitive to changes in the oil price in the short run, when the price is expressed in local currency only. Basically no country shows sensitivity to oil price measured in US dollar regardless whether the oil market is up or down. Nine countries are affected by changes in the exchange rate. In terms of relative factor sensitivity distribution, one is willing to conclude that these stock markets are more conditionally sensitive to local currency oil price changes than to beta risk wherever the relationships are significant. 相似文献
25.
The objectives are to discern how the three financial sectors’ credit default swap (CDS) spreads interrelate to each other and with three other risks in terms of possible contagion, competition, interdependence and independence relations under the full sample and two subperiods: the 2007 Great Recession and the 2009 Recovery, and to assess the impact of QE1 on those risks in the second subperiod. The results indicate that the own and cross‐effects among the CDSs and the other risk measures are significant and mixed, but all in all contagion is dominant. The system has become less stable and less adjusting to the equilibrium in the first subperiod. QE1 in the second period decreases risks but increases inflationary expectations. 相似文献
26.
Li-Hsueh Chen Shawkat Hammoudeh Yuan Yuan 《The Quarterly Review of Economics and Finance》2011,51(4):408-418
This study examines the asymmetric adjustments to the long-run equilibrium for credit default swap (CDS) sector indexes of three financial sectors – banking, financial services and insurance – in the presence of a threshold effect. The results of the momentum-threshold autoregression (M-TAR) models demonstrate that asymmetric cointegration exists for all pairs comprised of those three CDS indexes. The speeds of adjustment in the long-run are much higher in the case of adjustments from below the threshold than from above for all the pairs. The estimates of The MTAR-VEC models suggest that the dual CDS index return in each sector pair participates in the adjustment to equilibrium in the short- and long-run taken together. But in the long-run alone, only one of the two spreads in each pair participates. Policy implications are also provided. 相似文献
27.
This paper investigates the possibility of a long-run relationship between the Economic Freedom Index (EFI), Foreign Direct Investment (FDI) and value added components of GDP in thirty Eastern, Central and Western European countries. The study further examines whether the FDI and sector-specific components of GDP have any significant impact on economic freedom for these countries. We use annual data and employ Pedroni and KAO panel cointegration analyses to assess the long-run relationships. The results indicate that there is a significant long-run relationship between the variables under study. Moreover, the evidence shows that the service and industry value added components positively affect EFI, while the agriculture value added component has a negative effect on EFI. However, contrary to the prior literature, we observe a marginally significant and negative relationship between EFI and FDI in the random effects model. 相似文献