Results 111 to 120 of about 30,423 (304)

Measuring Asymmetric Price and Volatility Spillover in the South African Broiler Market [PDF]

This study investigated asymmetric price and volatility spillover in the broiler value chain. The data used for the study includes farm and retail broiler monthly prices dated from January 2000 to August 2008.
Jooste, Andre, Uchezuba, I.D., Willemse, Johan   +2 more
core   +1 more source

Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances [PDF]

, 2016
There is substantial empirical evidence that energy and financial markets are closely connected. As one of the most widely-used energy resources worldwide, natural gas has a large daily trading volume.
Chang, C-L. (Chia-Lin), McAleer, M.J. (Michael), Wang, Y. (Yanghuiting)   +2 more
core  

Volatility Spillover Effects among Securities Exchanges in East Africa

International Journal of Economics and Finance, 2019
This paper aims at examining volatility spillover effects among the returns of three out of the four securities exchanges in East Africa. Vector autoregressive model was used to model return series evolution; and, Johansen co-integration test, was further applied to examine any possibilities of co-integration.
Nelson Yunvirusaba, Jane Aduda, Ananda Kube   +2 more
openaire   +2 more sources

Effect of Prudential Policies on Sovereign Bond Markets: Evidence From the ASEAN‐4 Countries

International Journal of Finance &Economics, EarlyView.
ABSTRACT This paper examines the effects of prudential policies on the sovereign vulnerability of ASEAN‐4 countries. We measure sovereign vulnerability within the network connectedness of sovereign bonds between ASEAN‐4 countries (Indonesia, Malaysia, the Philippines and Thailand) and six other countries (the US, the UK, the European Union, China ...
Joshua Aizenman, Gazi Salah Uddin, Tianqi Luo, Ranadeva Jayasekera, Donghyun Park   +4 more
wiley   +1 more source

Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis [PDF]

This paper assesses the roles of various factors influencing the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets.
Du, Xiaodong, Hayes, Dermot J., Yu, Cindy L.   +2 more
core   +1 more source

Climate Change Laws and European Stock Markets: An Event Analysis

International Journal of Finance &Economics, EarlyView.
ABSTRACT Under the context of the climate change we assess the impact of EU's legislative initiative on European stock markets. Specifically, we focus on its impact on energy and Environmental Social Governance (ESG) sectors for equity returns and volatility for a representative basket of EU countries (participating also in Eurozone) as well as ...
Theodoros Bratis, Georgios P. Kouretas, Evangelos Salachas   +2 more
wiley   +1 more source

Gradualism, transparency and the improved operational framework: a look at the overnight volatility transmission [PDF]

This paper proposes a possible way of assessing the effect on interest rate dynamics of changes in the decision-making approach, in the communication strategy and in the operational framework of a central bank.
Andrea Zaghini, Silvio Colarossi
core  

Interplay Between Green Investment and Market Price Premia in Global Shipping

International Journal of Finance &Economics, EarlyView.
ABSTRACT Existing research emphasises that the driver of green investment is its future profitability. This paper shows that other investors' decisions also influence green investment. We take the example of scrubber installation in shipping, which is optional by regulation but has an established market for trading its underlying asset.
Yao Shi, Nikos C. Papapostolou, Malvina Marchese, Ioannis C. Moutzouris, Angelos Efstathiou   +4 more
wiley   +1 more source

Kryptonite for Cryptocurrencies? What Are the Effects of Regulatory Controls on Bitcoin Returns and Volatility?

International Journal of Finance &Economics, EarlyView.
ABSTRACT This paper examines the impact of regulatory controls on Bitcoin's excess returns and volatility. The paper innovates by proxying changes in the regulatory environment using global Google search volume intensity data. The generated regulatory indices accurately identify episodes of regulatory tightening within cryptocurrency markets.
Robert Mullings
wiley   +1 more source

Does fuel price volatility induce price instability in the agricultural commodity supply chain? Empirical evidence from Ghana

Journal of Agriculture and Food Research
Food price volatility has become a hot topic after the global food crisis of 2007/2008 and 2010/2011 due to the livelihood threat it poses, particularly to poor households.
Awura-Abena Amoah Osei, Seth Etuah, Fred Nimoh, Bright Owusu Asante, Isaac Abunyuwah, Nicholas Oppong Mensah   +5 more
doaj   +1 more source