Pub Date : 2023-10-17DOI: 10.1007/s12197-023-09647-6
Panos Fousekis
Abstract The objective of the present work is to investigate the contemporaneous price co-movement in the futures markets of soybean and palm oil. This is pursued using quantile coherency (a statistical tool that allows for both frequency- and quantile-dependent linkages between stochastic processes) and daily futures prices from 2015 to 2023. The empirical findings suggest: (a) The co-movement between palm and soybean oil prices is not very high and, at the same time, it is asymmetric; prices in the two markets are more likely to crash than to boom together. (b) The intensity of co-movement tends to increase monotonically with the time-scale considered. However, the bulk of the adjustments to shocks tend to be completed within 1 month; the differences between coherency estimates in the medium- and in the long-run are rather small. (c) Price co-movement appears to be driven by both pure (short-run) contagion as well as by fundamental-based (long-run) contagion.
{"title":"Quantile coherency of futures prices in palm and soybean oil markets","authors":"Panos Fousekis","doi":"10.1007/s12197-023-09647-6","DOIUrl":"https://doi.org/10.1007/s12197-023-09647-6","url":null,"abstract":"Abstract The objective of the present work is to investigate the contemporaneous price co-movement in the futures markets of soybean and palm oil. This is pursued using quantile coherency (a statistical tool that allows for both frequency- and quantile-dependent linkages between stochastic processes) and daily futures prices from 2015 to 2023. The empirical findings suggest: (a) The co-movement between palm and soybean oil prices is not very high and, at the same time, it is asymmetric; prices in the two markets are more likely to crash than to boom together. (b) The intensity of co-movement tends to increase monotonically with the time-scale considered. However, the bulk of the adjustments to shocks tend to be completed within 1 month; the differences between coherency estimates in the medium- and in the long-run are rather small. (c) Price co-movement appears to be driven by both pure (short-run) contagion as well as by fundamental-based (long-run) contagion.","PeriodicalId":39959,"journal":{"name":"Journal of Economics and Finance","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135993211","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 : 2023-09-26DOI: 10.1007/s12197-023-09645-8
Jeffrey S. Allen
{"title":"Pay it forward (digitally): sizing up the global impact of electronic wages on digital payment usage","authors":"Jeffrey S. Allen","doi":"10.1007/s12197-023-09645-8","DOIUrl":"https://doi.org/10.1007/s12197-023-09645-8","url":null,"abstract":"","PeriodicalId":39959,"journal":{"name":"Journal of Economics and Finance","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134960955","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}
{"title":"Innovation and governance","authors":"Saurav Roychoudhury, Anuj Bhowmik, Srobonti Chattopadhyay","doi":"10.1007/s12197-023-09632-z","DOIUrl":"https://doi.org/10.1007/s12197-023-09632-z","url":null,"abstract":"","PeriodicalId":39959,"journal":{"name":"Journal of Economics and Finance","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135014294","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 : 2023-08-21DOI: 10.1007/s12197-023-09644-9
M. Tessmann, C. Carrasco-Gutierrez, Marcelo de Oliveira Passos, Luiz Augusto Magalhães, Regis A. Ely
{"title":"Volatility transmissions and connectivity among metal and energy commodities: a network-econometric analysis","authors":"M. Tessmann, C. Carrasco-Gutierrez, Marcelo de Oliveira Passos, Luiz Augusto Magalhães, Regis A. Ely","doi":"10.1007/s12197-023-09644-9","DOIUrl":"https://doi.org/10.1007/s12197-023-09644-9","url":null,"abstract":"","PeriodicalId":39959,"journal":{"name":"Journal of Economics and Finance","volume":"15 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87208433","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 : 2023-08-10DOI: 10.1007/s12197-023-09642-x
Hao Fang, Chien‐Ping Chung, Yang-Cheng Lu, Yen‐Hsien Lee
{"title":"Effects of a CEO’s overconfidence and his/her power on the performance of Chinese firms","authors":"Hao Fang, Chien‐Ping Chung, Yang-Cheng Lu, Yen‐Hsien Lee","doi":"10.1007/s12197-023-09642-x","DOIUrl":"https://doi.org/10.1007/s12197-023-09642-x","url":null,"abstract":"","PeriodicalId":39959,"journal":{"name":"Journal of Economics and Finance","volume":"256 2 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77534543","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 : 2023-08-07DOI: 10.1007/s12197-023-09635-w
Mohsen Bahmani‐Oskooee, A. Mohammadian
{"title":"Whose trade flows are affected by Global Policy Uncertainty? asymmetric evidence from G7","authors":"Mohsen Bahmani‐Oskooee, A. Mohammadian","doi":"10.1007/s12197-023-09635-w","DOIUrl":"https://doi.org/10.1007/s12197-023-09635-w","url":null,"abstract":"","PeriodicalId":39959,"journal":{"name":"Journal of Economics and Finance","volume":"9 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90511539","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 : 2023-08-02DOI: 10.1007/s12197-023-09634-x
J. Sánchez García, Salvador Cruz Rambaud
{"title":"Volatility spillovers between oil and financial markets during economic and financial crises: A dynamic approach","authors":"J. Sánchez García, Salvador Cruz Rambaud","doi":"10.1007/s12197-023-09634-x","DOIUrl":"https://doi.org/10.1007/s12197-023-09634-x","url":null,"abstract":"","PeriodicalId":39959,"journal":{"name":"Journal of Economics and Finance","volume":"11 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82024213","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 : 2023-07-23DOI: 10.1007/s12197-023-09638-7
Patrick Herb, Farooq Malik
{"title":"Re-examining the impact of oil prices on stock returns in the presence of time-varying volatility","authors":"Patrick Herb, Farooq Malik","doi":"10.1007/s12197-023-09638-7","DOIUrl":"https://doi.org/10.1007/s12197-023-09638-7","url":null,"abstract":"","PeriodicalId":39959,"journal":{"name":"Journal of Economics and Finance","volume":"54 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76046900","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 : 2023-07-22DOI: 10.1007/s12197-023-09641-y
Adriano Maia, Guilherme de Oliveira, Raul Matsushita, S. Da Silva
{"title":"Granular banks and corporate investment","authors":"Adriano Maia, Guilherme de Oliveira, Raul Matsushita, S. Da Silva","doi":"10.1007/s12197-023-09641-y","DOIUrl":"https://doi.org/10.1007/s12197-023-09641-y","url":null,"abstract":"","PeriodicalId":39959,"journal":{"name":"Journal of Economics and Finance","volume":"67 1","pages":"586 - 599"},"PeriodicalIF":0.0,"publicationDate":"2023-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81516554","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 : 2023-07-22DOI: 10.1007/s12197-023-09639-6
C. Anderl, G. Caporale
{"title":"Asymmetries, uncertainty and inflation: evidence from developed and emerging economies","authors":"C. Anderl, G. Caporale","doi":"10.1007/s12197-023-09639-6","DOIUrl":"https://doi.org/10.1007/s12197-023-09639-6","url":null,"abstract":"","PeriodicalId":39959,"journal":{"name":"Journal of Economics and Finance","volume":"163 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90221621","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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