Pub Date : 2024-03-21DOI: 10.1108/sef-09-2023-0550
Pablo Agnese, Pedro Garcia del Barrio, Luis Alberiko Gil-Alana, Fernando Perez de Gracia
Purpose
The purpose of this paper is to examine the degree of persistence in four precious metal prices (i.e. gold, palladium, platinum and silver) during the last four US recessions.
Design/methodology/approach
Using daily price data for gold, palladium, platinum and silver running from July 2, 1990, to March 21, 2022, and dating of business cycles in the USA provided by NBER (2022), the paper uses fractional integration to test the degree of persistence of precious metal prices.
Findings
The empirical analysis shows the unrelenting prominence of gold in relation to other precious metals (palladium, platinum and silver) as a hedge against market uncertainty in the post-pandemic new era.
Originality/value
Two are the main contributions of the paper. Firstly, the authors contribute to the commodity markets and finance literature on precious metal price modelling. Secondly, the authors also contribute to the literature on commodity markets and business cycles with a special focus on recessionary periods.
{"title":"Precious metal prices: a tale of four US recessions","authors":"Pablo Agnese, Pedro Garcia del Barrio, Luis Alberiko Gil-Alana, Fernando Perez de Gracia","doi":"10.1108/sef-09-2023-0550","DOIUrl":"https://doi.org/10.1108/sef-09-2023-0550","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>The purpose of this paper is to examine the degree of persistence in four precious metal prices (i.e. gold, palladium, platinum and silver) during the last four US recessions.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>Using daily price data for gold, palladium, platinum and silver running from July 2, 1990, to March 21, 2022, and dating of business cycles in the USA provided by NBER (2022), the paper uses fractional integration to test the degree of persistence of precious metal prices.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>The empirical analysis shows the unrelenting prominence of gold in relation to other precious metals (palladium, platinum and silver) as a hedge against market uncertainty in the post-pandemic new era.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>Two are the main contributions of the paper. Firstly, the authors contribute to the commodity markets and finance literature on precious metal price modelling. Secondly, the authors also contribute to the literature on commodity markets and business cycles with a special focus on recessionary periods.</p><!--/ Abstract__block -->","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140204832","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 : 2024-03-21DOI: 10.1108/sef-07-2023-0441
Maria Inês Sá, Paulo Leite, Maria Carmo Correia
Purpose
This paper aims to investigate not only the performance of Portuguese mutual funds investing in domestic and international equities but also which fund characteristics, such as age, size, family size, expense ratios and flows, influence future performance.
Design/methodology/approach
Fund performance is evaluated over the 2005–2022 period by a robust six-factor model, while the impact of fund characteristics on performance is assessed by a set of fixed-effects panel data regressions with two-way cluster-robust standard errors.
Findings
The results show that, while funds investing in domestic equities predominantly exhibit neutral performance, most international equity funds have significantly negative alphas. The authors document a negative and statistically significant relationship between fund age and performance for all fund categories. Total expense ratios have an inverse relationship with domestic equity fund performance but do not impact the performance of international equity funds significantly. Though fund flows have a neutral effect on performance across the overall period, they are important determinants of both domestic and international funds’ performance in more recent years.
Originality/value
The authors contribute to the literature by carrying out a comprehensive analysis, based on recent and robust methodologies, of the impact of mutual fund characteristics on the future performance of Portuguese equity funds. The research findings serve as a premise for advising investors on how to choose the top-performing funds.
{"title":"Can mutual fund characteristics predict future performance? Evidence from Portugal","authors":"Maria Inês Sá, Paulo Leite, Maria Carmo Correia","doi":"10.1108/sef-07-2023-0441","DOIUrl":"https://doi.org/10.1108/sef-07-2023-0441","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>This paper aims to investigate not only the performance of Portuguese mutual funds investing in domestic and international equities but also which fund characteristics, such as age, size, family size, expense ratios and flows, influence future performance.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>Fund performance is evaluated over the 2005–2022 period by a robust six-factor model, while the impact of fund characteristics on performance is assessed by a set of fixed-effects panel data regressions with two-way cluster-robust standard errors.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>The results show that, while funds investing in domestic equities predominantly exhibit neutral performance, most international equity funds have significantly negative alphas. The authors document a negative and statistically significant relationship between fund age and performance for all fund categories. Total expense ratios have an inverse relationship with domestic equity fund performance but do not impact the performance of international equity funds significantly. Though fund flows have a neutral effect on performance across the overall period, they are important determinants of both domestic and international funds’ performance in more recent years.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>The authors contribute to the literature by carrying out a comprehensive analysis, based on recent and robust methodologies, of the impact of mutual fund characteristics on the future performance of Portuguese equity funds. The research findings serve as a premise for advising investors on how to choose the top-performing funds.</p><!--/ Abstract__block -->","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140205135","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 : 2024-02-29DOI: 10.1108/sef-05-2023-0232
Rachid Belhachemi
Purpose
This paper aims to introduce a heteroskedastic hidden truncation normal (HTN) model that allows for conditional volatilities, skewness and kurtosis, which evolve over time and are linked to economic dynamics and have economic interpretations.
Design/methodology/approach
The model consists of the HTN distribution introduced by Arnold et al. (1993) coupled with the NGARCH type (Engle and Ng, 1993). The HTN distribution nests two well-known distributions: the skew-normal family (Azzalini, 1985) and the normal distributions. The HTN family of distributions depends on a hidden truncation and has four parameters having economic interpretations in terms of conditional volatilities, kurtosis and correlations between the observed variable and the hidden truncated variable.
Findings
The model parameters are estimated using the maximum likelihood estimator. An empirical application to market data indicates the HTN-NGARCH model captures stylized facts manifested in financial market data, specifically volatility clustering, leverage effect, conditional skewness and kurtosis. The authors also compare the performance of the HTN-NGARCH model to the mixed normal (MN) heteroskedastic MN-NGARCH model.
Originality/value
The paper presents a structure dynamic, allowing us to explore the volatility spillover between the observed and the hidden truncated variable. The conditional volatilities and skewness have the ability at modeling persistence in volatilities and the leverage effects as well as conditional kurtosis of the S&P 500 index.
{"title":"Hidden truncation model with heteroskedasticity: S&P 500 index returns reexamined","authors":"Rachid Belhachemi","doi":"10.1108/sef-05-2023-0232","DOIUrl":"https://doi.org/10.1108/sef-05-2023-0232","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>This paper aims to introduce a heteroskedastic hidden truncation normal (HTN) model that allows for conditional volatilities, skewness and kurtosis, which evolve over time and are linked to economic dynamics and have economic interpretations.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>The model consists of the HTN distribution introduced by Arnold <em>et al.</em> (1993) coupled with the NGARCH type (Engle and Ng, 1993). The HTN distribution nests two well-known distributions: the skew-normal family (Azzalini, 1985) and the normal distributions. The HTN family of distributions depends on a hidden truncation and has four parameters having economic interpretations in terms of conditional volatilities, kurtosis and correlations between the observed variable and the hidden truncated variable.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>The model parameters are estimated using the maximum likelihood estimator. An empirical application to market data indicates the HTN-NGARCH model captures stylized facts manifested in financial market data, specifically volatility clustering, leverage effect, conditional skewness and kurtosis. The authors also compare the performance of the HTN-NGARCH model to the mixed normal (MN) heteroskedastic MN-NGARCH model.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>The paper presents a structure dynamic, allowing us to explore the volatility spillover between the observed and the hidden truncated variable. The conditional volatilities and skewness have the ability at modeling persistence in volatilities and the leverage effects as well as conditional kurtosis of the S&P 500 index.</p><!--/ Abstract__block -->","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140005857","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 : 2024-02-26DOI: 10.1108/sef-05-2023-0255
Luca Pedini, Sabrina Severini
Purpose
This study aims to conduct an empirical investigation to assess the hedge, diversifier and safe-haven properties of different environmental, social and governance (ESG) assets (i.e. green bonds and ESG equity index) vis-à-vis conventional investments (namely, equity index, gold and commodities).
Design/methodology/approach
The authors examine the sample period 2007–2021 using the bivariate cross-quantilogram (CQG) analysis and a dynamic conditional correlation (DCC) multivariate generalized autoregressive conditional heteroskedasticity (GARCH) experiment with several extensions.
Findings
The evidence shows that the analyzed ESG investments exhibit mainly diversifying features depending on the asset class taken as a reference, with some potential hedging/safe-haven qualities (for the green bond) in peculiar timespans. Therefore, the results suggest that investors might consider sustainable investing as a new measure of risk reduction, which has interesting implications for both portfolio allocation and policy design.
Originality/value
To the best of the authors’ knowledge, this study is the first that empirically investigates at once the dependence between different ESG investments (i.e. equity and green bond) with different conventional investments such as gold, equity and commodity market indices over a large sample period (2007–2021). Well-suited methodologies like the bivariate CQG and the DCC multivariate GARCH are used to capture the spillover effect and the hedging/diversifying nature, even in temporary contexts. Finally, a global perspective is used.
{"title":"Are there other fish in the sea? Exploring the hedge, diversifier and safe-haven features of ESG investments","authors":"Luca Pedini, Sabrina Severini","doi":"10.1108/sef-05-2023-0255","DOIUrl":"https://doi.org/10.1108/sef-05-2023-0255","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>This study aims to conduct an empirical investigation to assess the hedge, diversifier and safe-haven properties of different environmental, social and governance (ESG) assets (i.e. green bonds and ESG equity index) <em>vis-à-vis</em> conventional investments (namely, equity index, gold and commodities).</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>The authors examine the sample period 2007–2021 using the bivariate cross-quantilogram (CQG) analysis and a dynamic conditional correlation (DCC) multivariate generalized autoregressive conditional heteroskedasticity (GARCH) experiment with several extensions.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>The evidence shows that the analyzed ESG investments exhibit mainly diversifying features depending on the asset class taken as a reference, with some potential hedging/safe-haven qualities (for the green bond) in peculiar timespans. Therefore, the results suggest that investors might consider sustainable investing as a new measure of risk reduction, which has interesting implications for both portfolio allocation and policy design.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>To the best of the authors’ knowledge, this study is the first that empirically investigates at once the dependence between different ESG investments (i.e. equity and green bond) with different conventional investments such as gold, equity and commodity market indices over a large sample period (2007–2021). Well-suited methodologies like the bivariate CQG and the DCC multivariate GARCH are used to capture the spillover effect and the hedging/diversifying nature, even in temporary contexts. Finally, a global perspective is used.</p><!--/ Abstract__block -->","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139920649","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 : 2024-02-23DOI: 10.1108/sef-06-2023-0304
Guglielmo Maria Caporale, Luis Alberiko Gil-Alana, Eduard Melnicenco
Purpose
This paper aims to analyse the persistence of the S&P500 and DAX 30 stock indices as well as of the Fed’s Effective Federal Funds rate and of the European Central Bank’s Marginal Lending Facility rate, and the long-run linkages between stock prices and interest rates in the USA and Europe, respectively.
Design/methodology/approach
The methodology is based on the concepts of fractional integration and cointegration.
Findings
Using monthly data from January 1999 to December 2022, the results can be summarised as follows. All series examined are non-stationary: stock prices are found to be I(1) while interest rates display orders of integration substantially above 1, which implies a rejection of the hypothesis of mean reversion in all cases examined.
Originality/value
This paper uses an appropriate econometric framework to obtain new, reliable empirical evidence. All four series are highly persistent, and mean reversion does not occur in any single case. Moreover, the fractional cointegration analysis suggests that stock prices and interest rates are not linked in the long run.
{"title":"Stock market indices and interest rates in the US and Europe: persistence and long-run linkages","authors":"Guglielmo Maria Caporale, Luis Alberiko Gil-Alana, Eduard Melnicenco","doi":"10.1108/sef-06-2023-0304","DOIUrl":"https://doi.org/10.1108/sef-06-2023-0304","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>This paper aims to analyse the persistence of the S&P500 and DAX 30 stock indices as well as of the Fed’s Effective Federal Funds rate and of the European Central Bank’s Marginal Lending Facility rate, and the long-run linkages between stock prices and interest rates in the USA and Europe, respectively.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>The methodology is based on the concepts of fractional integration and cointegration.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>Using monthly data from January 1999 to December 2022, the results can be summarised as follows. All series examined are non-stationary: stock prices are found to be I(1) while interest rates display orders of integration substantially above 1, which implies a rejection of the hypothesis of mean reversion in all cases examined.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>This paper uses an appropriate econometric framework to obtain new, reliable empirical evidence. All four series are highly persistent, and mean reversion does not occur in any single case. Moreover, the fractional cointegration analysis suggests that stock prices and interest rates are not linked in the long run.</p><!--/ Abstract__block -->","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139920664","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}
Purpose This study aims to examine the relationship between financial development (FD), financial risk, green finance and innovation related to carbon emissions in the G7 economies. Design/methodology/approach This quantitative study examines the roles that financial development [FD: Domestic credit to private sector by banks as percentage of gross domestic product (GDP)], economic growth (GDP: Constant US$ 2015), financial risk index (FRI), green finance (GFIN: Renewable energy public research development and demonstration (RD&D) budget as percentage of total RD&D budget), development of environment-related technologies (DERTI: percentage of all technologies) and human capital (HCI: index) have on the environmental quality of developed economies. Based on panel data, the study uses a novel approach method of moments quantile regression as a main method to tackle the issue of cross-sectional dependency, slope heterogeneity and nonnormality of the data. Findings The study confirms that increasing economic development increases emissions and negatively impacts the environment. However, efficient resource allocation, improved financial systems, and green innovation are likely to contribute to emission mitigation and the overall development of a sustainable viable economy. Furthermore, the study highlights the importance of risk management in financial systems for future emissions prevention. Practical implications The study uses a reliable estimation procedure, which extends the discussion on climate policy from a COP-27 perspective and offers practical implications for policymakers in developing more effective emission mitigation strategies. Social implications The study offers policy suggestions for a sustainable economy, focusing on both COP-27 and the G7 countries. Recommendations include implementing carbon pricing, developing carbon capture and storage technologies, investing in renewables and energy efficiency and introducing financial instruments for emission mitigation. From a COP-27 standpoint, the G7 should prioritize transitioning to low-carbon economies and supporting developing nations in their sustainability efforts to address the pressing challenges of climate change and global warming. Originality/value In comparison to the literature, this study examines the importance of financial risk for G7 economies in promoting a sustainable environment. More specifically, in the context of FD and national income with carbon emissions, previous researchers have disregarded the importance of green innovation and human capital, so the current study fills the gap in the literature related to G7 economies by exploring the link between the identified variables related to carbon emissions.
{"title":"Balancing prosperity and sustainability: unraveling financial risks and green finance through a COP27 lens","authors":"Shakeel Sajjad, Rubaiyat Ahsan Bhuiyan, Rocky J. Dwyer, Adnan Bashir, Changyong Zhang","doi":"10.1108/sef-06-2023-0353","DOIUrl":"https://doi.org/10.1108/sef-06-2023-0353","url":null,"abstract":"\u0000Purpose\u0000This study aims to examine the relationship between financial development (FD), financial risk, green finance and innovation related to carbon emissions in the G7 economies.\u0000\u0000\u0000Design/methodology/approach\u0000This quantitative study examines the roles that financial development [FD: Domestic credit to private sector by banks as percentage of gross domestic product (GDP)], economic growth (GDP: Constant US$ 2015), financial risk index (FRI), green finance (GFIN: Renewable energy public research development and demonstration (RD&D) budget as percentage of total RD&D budget), development of environment-related technologies (DERTI: percentage of all technologies) and human capital (HCI: index) have on the environmental quality of developed economies. Based on panel data, the study uses a novel approach method of moments quantile regression as a main method to tackle the issue of cross-sectional dependency, slope heterogeneity and nonnormality of the data.\u0000\u0000\u0000Findings\u0000The study confirms that increasing economic development increases emissions and negatively impacts the environment. However, efficient resource allocation, improved financial systems, and green innovation are likely to contribute to emission mitigation and the overall development of a sustainable viable economy. Furthermore, the study highlights the importance of risk management in financial systems for future emissions prevention.\u0000\u0000\u0000Practical implications\u0000The study uses a reliable estimation procedure, which extends the discussion on climate policy from a COP-27 perspective and offers practical implications for policymakers in developing more effective emission mitigation strategies.\u0000\u0000\u0000Social implications\u0000The study offers policy suggestions for a sustainable economy, focusing on both COP-27 and the G7 countries. Recommendations include implementing carbon pricing, developing carbon capture and storage technologies, investing in renewables and energy efficiency and introducing financial instruments for emission mitigation. From a COP-27 standpoint, the G7 should prioritize transitioning to low-carbon economies and supporting developing nations in their sustainability efforts to address the pressing challenges of climate change and global warming.\u0000\u0000\u0000Originality/value\u0000In comparison to the literature, this study examines the importance of financial risk for G7 economies in promoting a sustainable environment. More specifically, in the context of FD and national income with carbon emissions, previous researchers have disregarded the importance of green innovation and human capital, so the current study fills the gap in the literature related to G7 economies by exploring the link between the identified variables related to carbon emissions.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139791490","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}
Purpose This study aims to examine the relationship between financial development (FD), financial risk, green finance and innovation related to carbon emissions in the G7 economies. Design/methodology/approach This quantitative study examines the roles that financial development [FD: Domestic credit to private sector by banks as percentage of gross domestic product (GDP)], economic growth (GDP: Constant US$ 2015), financial risk index (FRI), green finance (GFIN: Renewable energy public research development and demonstration (RD&D) budget as percentage of total RD&D budget), development of environment-related technologies (DERTI: percentage of all technologies) and human capital (HCI: index) have on the environmental quality of developed economies. Based on panel data, the study uses a novel approach method of moments quantile regression as a main method to tackle the issue of cross-sectional dependency, slope heterogeneity and nonnormality of the data. Findings The study confirms that increasing economic development increases emissions and negatively impacts the environment. However, efficient resource allocation, improved financial systems, and green innovation are likely to contribute to emission mitigation and the overall development of a sustainable viable economy. Furthermore, the study highlights the importance of risk management in financial systems for future emissions prevention. Practical implications The study uses a reliable estimation procedure, which extends the discussion on climate policy from a COP-27 perspective and offers practical implications for policymakers in developing more effective emission mitigation strategies. Social implications The study offers policy suggestions for a sustainable economy, focusing on both COP-27 and the G7 countries. Recommendations include implementing carbon pricing, developing carbon capture and storage technologies, investing in renewables and energy efficiency and introducing financial instruments for emission mitigation. From a COP-27 standpoint, the G7 should prioritize transitioning to low-carbon economies and supporting developing nations in their sustainability efforts to address the pressing challenges of climate change and global warming. Originality/value In comparison to the literature, this study examines the importance of financial risk for G7 economies in promoting a sustainable environment. More specifically, in the context of FD and national income with carbon emissions, previous researchers have disregarded the importance of green innovation and human capital, so the current study fills the gap in the literature related to G7 economies by exploring the link between the identified variables related to carbon emissions.
{"title":"Balancing prosperity and sustainability: unraveling financial risks and green finance through a COP27 lens","authors":"Shakeel Sajjad, Rubaiyat Ahsan Bhuiyan, Rocky J. Dwyer, Adnan Bashir, Changyong Zhang","doi":"10.1108/sef-06-2023-0353","DOIUrl":"https://doi.org/10.1108/sef-06-2023-0353","url":null,"abstract":"\u0000Purpose\u0000This study aims to examine the relationship between financial development (FD), financial risk, green finance and innovation related to carbon emissions in the G7 economies.\u0000\u0000\u0000Design/methodology/approach\u0000This quantitative study examines the roles that financial development [FD: Domestic credit to private sector by banks as percentage of gross domestic product (GDP)], economic growth (GDP: Constant US$ 2015), financial risk index (FRI), green finance (GFIN: Renewable energy public research development and demonstration (RD&D) budget as percentage of total RD&D budget), development of environment-related technologies (DERTI: percentage of all technologies) and human capital (HCI: index) have on the environmental quality of developed economies. Based on panel data, the study uses a novel approach method of moments quantile regression as a main method to tackle the issue of cross-sectional dependency, slope heterogeneity and nonnormality of the data.\u0000\u0000\u0000Findings\u0000The study confirms that increasing economic development increases emissions and negatively impacts the environment. However, efficient resource allocation, improved financial systems, and green innovation are likely to contribute to emission mitigation and the overall development of a sustainable viable economy. Furthermore, the study highlights the importance of risk management in financial systems for future emissions prevention.\u0000\u0000\u0000Practical implications\u0000The study uses a reliable estimation procedure, which extends the discussion on climate policy from a COP-27 perspective and offers practical implications for policymakers in developing more effective emission mitigation strategies.\u0000\u0000\u0000Social implications\u0000The study offers policy suggestions for a sustainable economy, focusing on both COP-27 and the G7 countries. Recommendations include implementing carbon pricing, developing carbon capture and storage technologies, investing in renewables and energy efficiency and introducing financial instruments for emission mitigation. From a COP-27 standpoint, the G7 should prioritize transitioning to low-carbon economies and supporting developing nations in their sustainability efforts to address the pressing challenges of climate change and global warming.\u0000\u0000\u0000Originality/value\u0000In comparison to the literature, this study examines the importance of financial risk for G7 economies in promoting a sustainable environment. More specifically, in the context of FD and national income with carbon emissions, previous researchers have disregarded the importance of green innovation and human capital, so the current study fills the gap in the literature related to G7 economies by exploring the link between the identified variables related to carbon emissions.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139851477","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 : 2024-01-26DOI: 10.1108/sef-10-2023-0586
Opeoluwa Adeniyi Adeosun, Suhaib Anagreh, Mosab I. Tabash, Xuan Vinh Vo
Purpose
This paper aims to examine the return and volatility transmission among economic policy uncertainty (EPU), geopolitical risk (GPR), their interaction (EPGR) and five tradable precious metals: gold, silver, platinum, palladium and rhodium.
Design/methodology/approach
Applying time-varying parameter vector autoregression (TVP-VAR) frequency-based connectedness approach to a data set spanning from January 1997 to February 2023, the study analyzes return and volatility connectedness separately, providing insights into how the data, in return and volatility forms, differ across time and frequency.
Findings
The results of the return connectedness show that gold, palladium and silver are affected more by EPU in the short term, while all precious metals are influenced by GPR in the short term. EPGR exhibits strong contributions to the system due to its elevated levels of policy uncertainty and extreme global risks. Palladium shows the highest reaction to EPGR, while silver shows the lowest. Return spillovers are generally time-varying and spike during critical global events. The volatility connectedness is long-term driven, suggesting that uncertainty and risk factors influence market participants’ long-term expectations. Notable peaks in total connectedness occurred during the Global Financial Crisis and the COVID-19 pandemic, with the latter being the highest.
Originality/value
Using the recently updated news-based uncertainty indicators, the study examines the time and frequency connectedness between key uncertainty measures and precious metals in their returns and volatility forms using the TVP-VAR frequency-based connectedness approach.
{"title":"Return and volatility transmission among economic policy uncertainty, geopolitical risk and precious metals","authors":"Opeoluwa Adeniyi Adeosun, Suhaib Anagreh, Mosab I. Tabash, Xuan Vinh Vo","doi":"10.1108/sef-10-2023-0586","DOIUrl":"https://doi.org/10.1108/sef-10-2023-0586","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>This paper aims to examine the return and volatility transmission among economic policy uncertainty (EPU), geopolitical risk (GPR), their interaction (EPGR) and five tradable precious metals: gold, silver, platinum, palladium and rhodium.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>Applying time-varying parameter vector autoregression (TVP-VAR) frequency-based connectedness approach to a data set spanning from January 1997 to February 2023, the study analyzes return and volatility connectedness separately, providing insights into how the data, in return and volatility forms, differ across time and frequency.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>The results of the return connectedness show that gold, palladium and silver are affected more by EPU in the short term, while all precious metals are influenced by GPR in the short term. EPGR exhibits strong contributions to the system due to its elevated levels of policy uncertainty and extreme global risks. Palladium shows the highest reaction to EPGR, while silver shows the lowest. Return spillovers are generally time-varying and spike during critical global events. The volatility connectedness is long-term driven, suggesting that uncertainty and risk factors influence market participants’ long-term expectations. Notable peaks in total connectedness occurred during the Global Financial Crisis and the COVID-19 pandemic, with the latter being the highest.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>Using the recently updated news-based uncertainty indicators, the study examines the time and frequency connectedness between key uncertainty measures and precious metals in their returns and volatility forms using the TVP-VAR frequency-based connectedness approach.</p><!--/ Abstract__block -->","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139584259","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 : 2024-01-25DOI: 10.1108/sef-06-2023-0366
Scott J. Niblock
Purpose
This study aims to establish the effect of environmental, social and governance (ESG) practices on Australian energy and utility investment performance.
Design/methodology/approach
Conventional and ESG-rated portfolios are constructed using monthly returns and ESG scores of S&P/ASX 300 listed energy and utility firms from 2014 to 2022. Portfolio performance is estimated using a four-factor regression model, controlling for any economic shocks associated with the COVID-19 pandemic.
Findings
The findings show that the lower the ESG score associated with the overall ESG and environmental portfolios, the greater the performance compared to the market (but not the conventional and other ESG portfolios). High ESG scores do not appear to influence the performance of the energy and utility portfolios, which contrasts expectations that the uptake of ESG should deliver superior risk-return outcomes for investors. The findings also indicate that a contrarian investment approach may be a reasonable performance indicator for high-rated ESG portfolios. ESG practices did not impact portfolio performance during the COVID-19 pandemic.
Originality/value
This research has contributed to the literature by offering ESG investment insights for policymakers, regulators, fund managers and investors. Consistent with the agency perspective on ESG practices and efficient market hypothesis, the evidence implies that, regardless of ESG scores (either high or low), investors should consider investing passively in diversified energy and utility portfolios or low-cost index fund equivalents.
{"title":"ESG and the performance of energy and utility portfolios: evidence from Australia","authors":"Scott J. Niblock","doi":"10.1108/sef-06-2023-0366","DOIUrl":"https://doi.org/10.1108/sef-06-2023-0366","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>This study aims to establish the effect of environmental, social and governance (ESG) practices on Australian energy and utility investment performance.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>Conventional and ESG-rated portfolios are constructed using monthly returns and ESG scores of S&P/ASX 300 listed energy and utility firms from 2014 to 2022. Portfolio performance is estimated using a four-factor regression model, controlling for any economic shocks associated with the COVID-19 pandemic.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>The findings show that the lower the ESG score associated with the overall ESG and environmental portfolios, the greater the performance compared to the market (but not the conventional and other ESG portfolios). High ESG scores do not appear to influence the performance of the energy and utility portfolios, which contrasts expectations that the uptake of ESG should deliver superior risk-return outcomes for investors. The findings also indicate that a contrarian investment approach may be a reasonable performance indicator for high-rated ESG portfolios. ESG practices did not impact portfolio performance during the COVID-19 pandemic.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>This research has contributed to the literature by offering ESG investment insights for policymakers, regulators, fund managers and investors. Consistent with the agency perspective on ESG practices and efficient market hypothesis, the evidence implies that, regardless of ESG scores (either high or low), investors should consider investing passively in diversified energy and utility portfolios or low-cost index fund equivalents.</p><!--/ Abstract__block -->","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139555818","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 : 2024-01-15DOI: 10.1108/sef-06-2023-0339
Shalini Velappan
Purpose This study aims to investigate the co-volatility patterns between cryptocurrencies and conventional asset classes across global markets, encompassing 26 global indices ranging from equities, commodities, real estate, currencies and bonds. Design/methodology/approach It used a multivariate factor stochastic volatility model to capture the dynamic changes in covariance and volatility correlation, thus offering empirical insights into the co-volatility dynamics. Unlike conventional research on price or return transmission, this study directly models the time-varying covariance and volatility correlation. Findings The study uncovers pronounced co-volatility movements between cryptocurrencies and specific indices such as GSCI Energy, GSCI Commodity, Dow Jones 1 month forward and U.S. 10-year TIPS. Notably, these movements surpass those observed with precious metals, industrial metals and global equity indices across various regions. Interestingly, except for Japan, equity indices in the USA, Canada, Australia, France, Germany, India and China exhibit a co-volatility movement. These findings challenge the existing literature on cryptocurrencies and provide intriguing evidence regarding their co-volatility dynamics. Originality This study significantly contributes to applying asset pricing models in cryptocurrency markets by explicitly addressing price and volatility dynamics aspects. Using the stochastic volatility model, the research adding methodological contribution effectively captures cryptocurrency volatility's inherent fluctuations and time-varying nature. While previous literature has primarily focused on bitcoin and a few other cryptocurrencies, this study examines the stochastic volatility properties of a wide range of cryptocurrency indices. Furthermore, the study expands its scope by examining global asset markets, allowing for a comprehensive analysis considering the broader context in which cryptocurrencies operate. It bridges the gap between traditional asset pricing models and the unique characteristics of cryptocurrencies.
{"title":"Co-volatility dynamics in global cryptocurrency and conventional asset classes: a multivariate stochastic factor volatility approach","authors":"Shalini Velappan","doi":"10.1108/sef-06-2023-0339","DOIUrl":"https://doi.org/10.1108/sef-06-2023-0339","url":null,"abstract":"\u0000Purpose\u0000This study aims to investigate the co-volatility patterns between cryptocurrencies and conventional asset classes across global markets, encompassing 26 global indices ranging from equities, commodities, real estate, currencies and bonds.\u0000\u0000\u0000Design/methodology/approach\u0000It used a multivariate factor stochastic volatility model to capture the dynamic changes in covariance and volatility correlation, thus offering empirical insights into the co-volatility dynamics. Unlike conventional research on price or return transmission, this study directly models the time-varying covariance and volatility correlation.\u0000\u0000\u0000Findings\u0000The study uncovers pronounced co-volatility movements between cryptocurrencies and specific indices such as GSCI Energy, GSCI Commodity, Dow Jones 1 month forward and U.S. 10-year TIPS. Notably, these movements surpass those observed with precious metals, industrial metals and global equity indices across various regions. Interestingly, except for Japan, equity indices in the USA, Canada, Australia, France, Germany, India and China exhibit a co-volatility movement. These findings challenge the existing literature on cryptocurrencies and provide intriguing evidence regarding their co-volatility dynamics.\u0000\u0000\u0000Originality\u0000This study significantly contributes to applying asset pricing models in cryptocurrency markets by explicitly addressing price and volatility dynamics aspects. Using the stochastic volatility model, the research adding methodological contribution effectively captures cryptocurrency volatility's inherent fluctuations and time-varying nature. While previous literature has primarily focused on bitcoin and a few other cryptocurrencies, this study examines the stochastic volatility properties of a wide range of cryptocurrency indices. Furthermore, the study expands its scope by examining global asset markets, allowing for a comprehensive analysis considering the broader context in which cryptocurrencies operate. It bridges the gap between traditional asset pricing models and the unique characteristics of cryptocurrencies.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139437173","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}
扫码关注我们
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号