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The local innovation spillovers of listed firms

Journal of Financial Economics, 2021
This paper provides evidence of local innovation spillovers (i.e., innovation by one firm fostering innovation by neighboring firms). First, I document that exogenous shocks to innovation by listed firms affect innovation by private firms in the same ...
Adrien Matray
exaly   +2 more sources

Spillovers in higher moments and jumps across US stock and strategic commodity markets

Resources Policy, 2021
This paper examines the dynamics of spillover effects on realized estimators of return distributions across US stock, crude oil and gold markets. Using 5-min data from April 11, 2006 to April 29, 2019, daily realized volatility, realized skewness ...
Elie Bouri, Xiaojie Lei, Naji Jalkh
exaly   +2 more sources

Do climate policy uncertainty and investor sentiment drive the dynamic spillovers among green finance markets?

Journal of Environmental Management, 2023
Green finance is an essential instrument for improving the environment and addressing climate change. This study investigates the dynamic spillovers among green finance markets using time-varying parameter vector autoregression (TVP-VAR) spillover ...
Ruirui Wu, Bing-Yue Liu
semanticscholar   +1 more source

Quantile risk spillovers between energy and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak

Energy Economics, 2022
The spillover effect is a significant factor impacting the volatility of commodity prices. Unlike earlier studies, this research uses the rolling window-based Quantile VAR (QVAR) model to describe the conditional volatility spillover between energy ...
A. Tiwari   +3 more
semanticscholar   +1 more source

Time-frequency spillovers among carbon, fossil energy and clean energy markets: The effects of attention to climate change

International Review of Financial Analysis, 2022
Carbon markets are closely connected to fossil energy and clean energy markets, but few studies focus on the size and direction of time-frequency spillovers among these markets and the role of climate change attention.
Qian Ding, Jian-bai Huang, Hongwei Zhang
semanticscholar   +1 more source

Dynamic volatility spillovers across oil and natural gas futures markets based on a time-varying spillover method

International Review of Financial Analysis, 2021
This paper analyzes dynamic volatility spillovers between four major energy commodities (i.e., crude oil, gasoline, heating oil and natural gas) in the oil-natural gas future markets.
Xu Gong, Yun Liu, Xiong Wang
semanticscholar   +1 more source

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