Pub Date : 2023-11-01DOI: 10.37625/abr.26.2.458-474
Abdul Quadir, Alok Raj
In the paper, we analyze the problem of information sharing in a green supply chain with two competing manufacturers selling environmentally friendly substitutable products in markets through a common retailer. We develop a game-theoretic framework of a network supply chain structure. The study shows that (a) the manufacturer is better off while the retailer is worse off when the retailer shares his private information with the manufacturer; (b) the equilibrium greening levels are the highest when both the manufacturers are informed; (c) under intense competition, the retailer has an incentive to share the information with the manufacturer; (d) the equilibrium greening levels decrease with information inaccuracy. This study shows the existence of a contracting mechanism the manufacturers can employ to induce information sharing. This study’s results will be helpful to managers of green supply chain structures to make marketing and operational decisions under uncertain situations. The main contribution of this study is that it explores the problem of information sharing in a green supply chain under competition.
{"title":"Information Sharing in a Green Supply Chain with a Common Retailer","authors":"Abdul Quadir, Alok Raj","doi":"10.37625/abr.26.2.458-474","DOIUrl":"https://doi.org/10.37625/abr.26.2.458-474","url":null,"abstract":"In the paper, we analyze the problem of information sharing in a green supply chain with two competing manufacturers selling environmentally friendly substitutable products in markets through a common retailer. We develop a game-theoretic framework of a network supply chain structure. The study shows that (a) the manufacturer is better off while the retailer is worse off when the retailer shares his private information with the manufacturer; (b) the equilibrium greening levels are the highest when both the manufacturers are informed; (c) under intense competition, the retailer has an incentive to share the information with the manufacturer; (d) the equilibrium greening levels decrease with information inaccuracy. This study shows the existence of a contracting mechanism the manufacturers can employ to induce information sharing. This study’s results will be helpful to managers of green supply chain structures to make marketing and operational decisions under uncertain situations. The main contribution of this study is that it explores the problem of information sharing in a green supply chain under competition.","PeriodicalId":34785,"journal":{"name":"American Business Review","volume":"103 12","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135763678","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-11-01DOI: 10.37625/abr.26.2.475-502
Jessica R. L. Good, Parbudyal Singh, Souha Ezzedeen
This paper provides a theoretical explanation for the “black box” between “going green” and organizational performance and links individual-level behaviors with organizational-level outcomes. We argue that the adoption of an environmental sustainability strategy and high involvement green human resources management practices will have the intended impact of increasing employee green creativity and the unintended impact of increasing employee general creativity. As well, we suggest that employee green values moderate these relationships. Furthermore, the positive effects on employee creativity (green and general) are theorized to increase organizational innovation, which positively impacts organizational performance. This paper extends the research by providing a possible explanation for how the “black box” between “going green” and organizational performance is impacted by intended and unintended behaviors that are shaped by green human resources management practices.
{"title":"Environmental Sustainability Strategy, Creativity, Innovation and Organizational Performance: The Role of Green Human Resource Management","authors":"Jessica R. L. Good, Parbudyal Singh, Souha Ezzedeen","doi":"10.37625/abr.26.2.475-502","DOIUrl":"https://doi.org/10.37625/abr.26.2.475-502","url":null,"abstract":"This paper provides a theoretical explanation for the “black box” between “going green” and organizational performance and links individual-level behaviors with organizational-level outcomes. We argue that the adoption of an environmental sustainability strategy and high involvement green human resources management practices will have the intended impact of increasing employee green creativity and the unintended impact of increasing employee general creativity. As well, we suggest that employee green values moderate these relationships. Furthermore, the positive effects on employee creativity (green and general) are theorized to increase organizational innovation, which positively impacts organizational performance. This paper extends the research by providing a possible explanation for how the “black box” between “going green” and organizational performance is impacted by intended and unintended behaviors that are shaped by green human resources management practices.","PeriodicalId":34785,"journal":{"name":"American Business Review","volume":"106 9","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135763795","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-11-01DOI: 10.37625/abr.26.2.551-577
Anil Kumar Goswami, Rakesh Kumar Agrawal
The aim of the paper is to empirically investigate the influence of ethical leadership and psychological capital on knowledge sharing in business organizations. Furthermore, the paper investigates the mediating role of psychological capital and moderating role of anticipated reciprocal relationships in the relationship of ethical leadership with knowledge sharing. The analysis has been conducted on data gathered from 248 members of information technology (IT) companies by making use of survey questionnaire. Hypotheses are tested by analysing the data using structural equation modelling (SEM) and PROCESS macro. The study found that ethical leadership and psychological capital have positive effect on knowledge sharing. Ethical leadership also impacts psychological capital positively. Further, psychological capital acts as a mediator and anticipated reciprocal relationships act as moderator in the relationship of ethical leadership and knowledge sharing. This study establishes new antecedents of knowledge sharing, emphasizes the importance of ethical aspects of leadership in managing knowledge resources and enrich literature of Knowledge Management (KM), leadership, positive organizational behavior and human resources management. It further gives new perspectives to practitioners by recognizing the significance of ethical leadership, psychological capital and anticipated reciprocal relationships to enhance knowledge sharing. To the best of authors’ knowledge, this study is one of few initial studies to examine the linkages between ethical leadership, knowledge sharing and psychological capital as well as the role of anticipated reciprocal relationships therein.
{"title":"Can Ethical Leaders Enhance Knowledge Sharing? The Role of Psychological Capital and Anticipated Reciprocal Relationships","authors":"Anil Kumar Goswami, Rakesh Kumar Agrawal","doi":"10.37625/abr.26.2.551-577","DOIUrl":"https://doi.org/10.37625/abr.26.2.551-577","url":null,"abstract":"The aim of the paper is to empirically investigate the influence of ethical leadership and psychological capital on knowledge sharing in business organizations. Furthermore, the paper investigates the mediating role of psychological capital and moderating role of anticipated reciprocal relationships in the relationship of ethical leadership with knowledge sharing. The analysis has been conducted on data gathered from 248 members of information technology (IT) companies by making use of survey questionnaire. Hypotheses are tested by analysing the data using structural equation modelling (SEM) and PROCESS macro. The study found that ethical leadership and psychological capital have positive effect on knowledge sharing. Ethical leadership also impacts psychological capital positively. Further, psychological capital acts as a mediator and anticipated reciprocal relationships act as moderator in the relationship of ethical leadership and knowledge sharing. This study establishes new antecedents of knowledge sharing, emphasizes the importance of ethical aspects of leadership in managing knowledge resources and enrich literature of Knowledge Management (KM), leadership, positive organizational behavior and human resources management. It further gives new perspectives to practitioners by recognizing the significance of ethical leadership, psychological capital and anticipated reciprocal relationships to enhance knowledge sharing. To the best of authors’ knowledge, this study is one of few initial studies to examine the linkages between ethical leadership, knowledge sharing and psychological capital as well as the role of anticipated reciprocal relationships therein.","PeriodicalId":34785,"journal":{"name":"American Business Review","volume":"109 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135763931","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-11-01DOI: 10.37625/abr.26.2.448-457
Amanjot Singh
This study examines how capital age affects the efficiency of corporate labor investments. Using a sample of 1,588 US firms from 1991 to 2016, we find that the efficiency of labor investments increases as technology ages. Subsample analysis on labor investment efficiency suggests that old capital decreases labor over- and underinvestment. Our results remain robust to alternative specifications and restricted to small firms and industries requiring high labor skills. These findings add to the growing literature examining how learning affects a variety of phenomena in finance. Managers' increased understanding of their capital over time facilitates the efficiency of corporate labor investments.
{"title":"Capital Age and Labor Investment Efficiency","authors":"Amanjot Singh","doi":"10.37625/abr.26.2.448-457","DOIUrl":"https://doi.org/10.37625/abr.26.2.448-457","url":null,"abstract":"This study examines how capital age affects the efficiency of corporate labor investments. Using a sample of 1,588 US firms from 1991 to 2016, we find that the efficiency of labor investments increases as technology ages. Subsample analysis on labor investment efficiency suggests that old capital decreases labor over- and underinvestment. Our results remain robust to alternative specifications and restricted to small firms and industries requiring high labor skills. These findings add to the growing literature examining how learning affects a variety of phenomena in finance. Managers' increased understanding of their capital over time facilitates the efficiency of corporate labor investments.","PeriodicalId":34785,"journal":{"name":"American Business Review","volume":"107 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135763793","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-11-01DOI: 10.37625/abr.26.2.269-287
Neethu Mohammed, Abraham Cyril Issac
Drawing on affective events theory, this study considers knowledge sharing as an outcome of emotional responses resulting from an individual’s experience of workplace events. This study aimed to empirically examine how coworker support as a work event encourages employees’ knowledge contribution and knowledge-seeking behaviors through feelings of vitality. A structured, questionnaire-based survey was administered to 430 employees of knowledge-based organizations in India. The retrieved data were further analyzed using structural equation modeling. The results indicate that perceived coworker support positively influences the knowledge contribution and knowledge-seeking behavior of individuals in the workplace. Furthermore, vitality mediated the positive association between perceived coworker support and knowledge sharing. This implies that the perception of coworker support in the workplace augments employees’ feelings of vitality, which further motivates them to contribute to and seek knowledge from coworkers. Therefore, this study critically underscores the existence of a “performance loop” in knowledge sharing, as coworkers find it difficult to bypass an employee because of their outstanding performance and the fact that the same virtuous cycle elicits greater knowledge sharing by coworkers. Such perceived goodwill makes employees so good that they cannot be ignored within an organizational setting. This is a pioneering study investigating how coworker support in the workplace stimulates knowledge sharing among employees by considering the mediating effect of feelings of vitality. This study also contributes to the positive psychology and knowledge management literature by revealing the implications of vitality for extra-role behaviors such as knowledge sharing.
{"title":"Are You So Good That They Cannot Ignore You? Effect of Coworker Support on Knowledge Sharing Through an Affective Events Theory Perspective","authors":"Neethu Mohammed, Abraham Cyril Issac","doi":"10.37625/abr.26.2.269-287","DOIUrl":"https://doi.org/10.37625/abr.26.2.269-287","url":null,"abstract":"Drawing on affective events theory, this study considers knowledge sharing as an outcome of emotional responses resulting from an individual’s experience of workplace events. This study aimed to empirically examine how coworker support as a work event encourages employees’ knowledge contribution and knowledge-seeking behaviors through feelings of vitality. A structured, questionnaire-based survey was administered to 430 employees of knowledge-based organizations in India. The retrieved data were further analyzed using structural equation modeling. The results indicate that perceived coworker support positively influences the knowledge contribution and knowledge-seeking behavior of individuals in the workplace. Furthermore, vitality mediated the positive association between perceived coworker support and knowledge sharing. This implies that the perception of coworker support in the workplace augments employees’ feelings of vitality, which further motivates them to contribute to and seek knowledge from coworkers. Therefore, this study critically underscores the existence of a “performance loop” in knowledge sharing, as coworkers find it difficult to bypass an employee because of their outstanding performance and the fact that the same virtuous cycle elicits greater knowledge sharing by coworkers. Such perceived goodwill makes employees so good that they cannot be ignored within an organizational setting. This is a pioneering study investigating how coworker support in the workplace stimulates knowledge sharing among employees by considering the mediating effect of feelings of vitality. This study also contributes to the positive psychology and knowledge management literature by revealing the implications of vitality for extra-role behaviors such as knowledge sharing.","PeriodicalId":34785,"journal":{"name":"American Business Review","volume":"106 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135763800","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-11-01DOI: 10.37625/abr.26.2.431-447
Shannon Danysh-Hashemi
This study investigates whether the COVID-19 pandemic, government Covid aids and incentive policies, and executive compensation affected the quality of the reported earnings in the leisure and hospitality industry. The pattern of changes in the Discretionary Accrual, DACC, was used as a proxy for the quality of reported earnings. It was examined whether this pattern changed during COVID-19 and was affected by government aid policies and executive compensation. An empirical analysis of 324 American leisure and travel industry data was conducted using multiple regression analysis for the pre-Pandemic period of 2018-2019 and the Pandemic period of 2020-2021. The results indicate that the pattern of DACC changed during the Pandemic period, and firms engaged in income-decreasing earnings management (EM). Furthermore, the change in the pattern was significantly affected by government aid and incentives policies and executive compensation.
{"title":"The Interactive Effect of Covid-19 Pandemic, Political Cost, and Executive Compensation on Earnings Management","authors":"Shannon Danysh-Hashemi","doi":"10.37625/abr.26.2.431-447","DOIUrl":"https://doi.org/10.37625/abr.26.2.431-447","url":null,"abstract":"This study investigates whether the COVID-19 pandemic, government Covid aids and incentive policies, and executive compensation affected the quality of the reported earnings in the leisure and hospitality industry. The pattern of changes in the Discretionary Accrual, DACC, was used as a proxy for the quality of reported earnings. It was examined whether this pattern changed during COVID-19 and was affected by government aid policies and executive compensation. An empirical analysis of 324 American leisure and travel industry data was conducted using multiple regression analysis for the pre-Pandemic period of 2018-2019 and the Pandemic period of 2020-2021. The results indicate that the pattern of DACC changed during the Pandemic period, and firms engaged in income-decreasing earnings management (EM). Furthermore, the change in the pattern was significantly affected by government aid and incentives policies and executive compensation.","PeriodicalId":34785,"journal":{"name":"American Business Review","volume":"101 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135763550","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-11-01DOI: 10.37625/abr.26.2.355-384
Abhinava Tripathi, Alok Dixit
We examine the impact of the global component of sentiment on the price return and volatility of 25 major futures market indices across the globe, during the Covid-19 pandemic. The global component of sentiment causes investor overreactions. These overreactions accelerate the fall in prices and contribute to the rising volatility levels. The futures prices revert, though gradually, to their fundamental values as information from more reliable sources becomes available. This leads to price recovery and lower volatility levels.
{"title":"Global Component of Sentiment in Futures Markets: Evidence from Covid-19 Pandemic","authors":"Abhinava Tripathi, Alok Dixit","doi":"10.37625/abr.26.2.355-384","DOIUrl":"https://doi.org/10.37625/abr.26.2.355-384","url":null,"abstract":"We examine the impact of the global component of sentiment on the price return and volatility of 25 major futures market indices across the globe, during the Covid-19 pandemic. The global component of sentiment causes investor overreactions. These overreactions accelerate the fall in prices and contribute to the rising volatility levels. The futures prices revert, though gradually, to their fundamental values as information from more reliable sources becomes available. This leads to price recovery and lower volatility levels.","PeriodicalId":34785,"journal":{"name":"American Business Review","volume":"107 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135763792","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-11-01DOI: 10.37625/abr.26.2.519-550
Ranjan DasGupta, Arup Roy
In this study, we have examined two specific research questions. First, whether firms around the world with negative performance feedback would resort to more environmental, social, governance [ESG] performance or otherwise. Second, we examine whether firms’ ESG controversies and stakeholder orientation in a cross-country context, with distinctive legal system and ethical behaviour, would motivate them to undertake more ESG performance in such negative performance feedback conditions. Our primary findings show that negative performance feedback of a firm impacts its ESG performance in a strongly negative manner. Furthermore, we prove that both high stakeholder orientation and high ESG controversies significant negatively moderate firms’ ESG inclinations. This holds true irrespective of country-specific legal system and ethical behaviour contexts.
{"title":"Environmental, Social, Governance Performance and Negative Performance Feedback: Firm Moderators in a Cross-country Context","authors":"Ranjan DasGupta, Arup Roy","doi":"10.37625/abr.26.2.519-550","DOIUrl":"https://doi.org/10.37625/abr.26.2.519-550","url":null,"abstract":"In this study, we have examined two specific research questions. First, whether firms around the world with negative performance feedback would resort to more environmental, social, governance [ESG] performance or otherwise. Second, we examine whether firms’ ESG controversies and stakeholder orientation in a cross-country context, with distinctive legal system and ethical behaviour, would motivate them to undertake more ESG performance in such negative performance feedback conditions. Our primary findings show that negative performance feedback of a firm impacts its ESG performance in a strongly negative manner. Furthermore, we prove that both high stakeholder orientation and high ESG controversies significant negatively moderate firms’ ESG inclinations. This holds true irrespective of country-specific legal system and ethical behaviour contexts.","PeriodicalId":34785,"journal":{"name":"American Business Review","volume":"106 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135763799","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper examines the dynamic linkages of volatility of energy commodities with bullion and the metal market. The proxies of energy commodities are crude oil and natural gas; bullion markets are Gold, silver and platinum and metal markets are copper and zinc. We collect daily data extending from March 18, 2010, to January 15, 2021, a period for about 12 years and employ Granger causality, Dynamic Conditional Correlation (DCC), Diebold Yilmaz (2012), Baruník & Křehlík (2018), and Network analysis for the purpose of examining spillover effect in the data considered. It is observed that there are short-run dynamic spillovers from energy (crude oil) to metal (copper) while long-run linkage is witnessed among all the constituent series. Further, Baruník & Křehlík (2018) test reveals that the total connectedness of the seven data series under study are found to be higher in frequency 2 (6 days to 15 days) than in the short run and long run. Referring to the network analysis, negative correlations are found between each pair of indices considered, i.e., Gold, silver, platinum, zinc, copper with crude oil while positive correlation is witnessed between Gold and silver. In addition, we determine portfolio hedge ratios and portfolio weights for the investors and portfolio managers. It is found that the Crude /Zinc pair had the most expensive optimal hedge ratio, while Crude/Gold had the least expensive hedging.
{"title":"Dynamic Linkages of Energy Commodities with Bullion and Metal Market: Evidence of Portfolio Hedging","authors":"Shegorika Rajwani, Aviral Kumar Tiwari, Miklesh Prasad Yadav, Sakshi Sharma","doi":"10.37625/abr.26.1.148-179","DOIUrl":"https://doi.org/10.37625/abr.26.1.148-179","url":null,"abstract":"This paper examines the dynamic linkages of volatility of energy commodities with bullion and the metal market. The proxies of energy commodities are crude oil and natural gas; bullion markets are Gold, silver and platinum and metal markets are copper and zinc. We collect daily data extending from March 18, 2010, to January 15, 2021, a period for about 12 years and employ Granger causality, Dynamic Conditional Correlation (DCC), Diebold Yilmaz (2012), Baruník & Křehlík (2018), and Network analysis for the purpose of examining spillover effect in the data considered. It is observed that there are short-run dynamic spillovers from energy (crude oil) to metal (copper) while long-run linkage is witnessed among all the constituent series. Further, Baruník & Křehlík (2018) test reveals that the total connectedness of the seven data series under study are found to be higher in frequency 2 (6 days to 15 days) than in the short run and long run. Referring to the network analysis, negative correlations are found between each pair of indices considered, i.e., Gold, silver, platinum, zinc, copper with crude oil while positive correlation is witnessed between Gold and silver. In addition, we determine portfolio hedge ratios and portfolio weights for the investors and portfolio managers. It is found that the Crude /Zinc pair had the most expensive optimal hedge ratio, while Crude/Gold had the least expensive hedging.","PeriodicalId":34785,"journal":{"name":"American Business Review","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135563206","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper examines the dynamic linkages of volatility of energy commodities with bullion and the metal market. The proxies of energy commodities are crude oil and natural gas; bullion markets are Gold, silver and platinum and metal markets are copper and zinc. We collect daily data extending from March 18, 2010, to January 15, 2021, a period for about 12 years and employ Granger causality, Dynamic Conditional Correlation (DCC), Diebold Yilmaz (2012), Baruník & Křehlík (2018), and Network analysis for the purpose of examining spillover effect in the data considered. It is observed that there are short-run dynamic spillovers from energy (crude oil) to metal (copper) while long-run linkage is witnessed among all the constituent series. Further, Baruník & Křehlík (2018) test reveals that the total connectedness of the seven data series under study are found to be higher in frequency 2 (6 days to 15 days) than in the short run and long run. Referring to the network analysis, negative correlations are found between each pair of indices considered, i.e., Gold, silver, platinum, zinc, copper with crude oil while positive correlation is witnessed between Gold and silver. In addition, we determine portfolio hedge ratios and portfolio weights for the investors and portfolio managers. It is found that the Crude /Zinc pair had the most expensive optimal hedge ratio, while Crude/Gold had the least expensive hedging.
{"title":"Dynamic Linkages of Energy Commodities with Bullion and Metal Market: Evidence of Portfolio Hedging","authors":"Shegorika Rajwani, Aviral Kumar Tiwari, Miklesh Prasad Yadav, Sakshi Sharma","doi":"10.37625/abr.26.148-179","DOIUrl":"https://doi.org/10.37625/abr.26.148-179","url":null,"abstract":"This paper examines the dynamic linkages of volatility of energy commodities with bullion and the metal market. The proxies of energy commodities are crude oil and natural gas; bullion markets are Gold, silver and platinum and metal markets are copper and zinc. We collect daily data extending from March 18, 2010, to January 15, 2021, a period for about 12 years and employ Granger causality, Dynamic Conditional Correlation (DCC), Diebold Yilmaz (2012), Baruník & Křehlík (2018), and Network analysis for the purpose of examining spillover effect in the data considered. It is observed that there are short-run dynamic spillovers from energy (crude oil) to metal (copper) while long-run linkage is witnessed among all the constituent series. Further, Baruník & Křehlík (2018) test reveals that the total connectedness of the seven data series under study are found to be higher in frequency 2 (6 days to 15 days) than in the short run and long run. Referring to the network analysis, negative correlations are found between each pair of indices considered, i.e., Gold, silver, platinum, zinc, copper with crude oil while positive correlation is witnessed between Gold and silver. In addition, we determine portfolio hedge ratios and portfolio weights for the investors and portfolio managers. It is found that the Crude /Zinc pair had the most expensive optimal hedge ratio, while Crude/Gold had the least expensive hedging.","PeriodicalId":34785,"journal":{"name":"American Business Review","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85517704","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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