Article
Economics
Kazi Sohag, M. Kabir Hassan, Stepan Bakhteyev, Oleg Mariev
Summary: To increase the prices of carbon content emeries relative to green energies, carbon prices have been imposed and subsidies have been provided to green energy production by many governments. This study investigates the transmission of oil equity signals to green investments and vice versa as substitute commodities, considering the significant role of green finance in global energy transitions. Three novel time-series methods are applied to analyze the daily return series of green bonds, green equity, and selected oil companies' equity returns. The empirical investigation reveals that dirty investments (oil equity) transmit negative volatility spillovers to green investments (both bond and equity), while dirty investment returns respond positively to green bonds and green equity returns.
Article
Business
Guanglin Sun, Jianfeng Li, Zezhong Shang
Summary: This research examines the relationship between international energy markets and the Chinese commodity market in terms of return and volatility at both micro and macro levels. The study finds that the return spillover effects have significantly weakened, while the volatility spillover effects have strengthened after the 2015 exchange rate regime reform in China. The findings also suggest that the international energy market can effectively hedge risks in the Chinese commodity market, but portfolio diversification strategies need to be adjusted over time.
TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE
(2022)
Article
Economics
Maoxi Tian, Muneer M. Alshater, Seong-Min Yoon
Summary: This study proposes a model to capture the tail dependence between oil price change and stock market returns, and finds strong evidence of risk spillover effects from oil to stock markets. The results also show heterogeneity in risk spillovers among different countries, with larger downside risk spillovers and consistent with the flight-to-quality phenomenon.
Article
Business, Finance
Kei Nakagawa, Ryuta Sakemoto
Summary: This study investigates the impact of market states on the correlation between Bitcoin and Ethereum. The findings reveal that the correlation increases with the popularity of Ethereum and decreases during periods of high market uncertainty, indicating that investors reassess the relative valuation of the two cryptocurrencies. Furthermore, the relationship between the Bitcoin-Ethereum correlation and uncertainty is nonlinear, and search volume results indicate increased attention from investors during uncertain periods.
FINANCE RESEARCH LETTERS
(2022)
Article
Environmental Studies
Aswini Kumar Mishra, Kshitish Ghate
Summary: This study conducts a comprehensive analysis of return and volatility spillover dynamics between base metals in the Indian context. The results show that Zinc, Lead, and Nickel are the primary transmitters of disturbances, while Copper and Tin are the net receivers of return spillovers. In terms of volatility shocks, Tin, Aluminium, and Zinc are continuous net transmitters, while Nickel and Lead are the net receivers. The study reveals a definite and substantial level of interconnectedness and market risk within the base metal markets.
Article
Environmental Studies
Kazi Sohag, Yulia Sokolova, Sarka Vilamova, Dmitri Blueschke
Summary: This study finds that the volatility of critical mineral prices has a significant impact on the volatility of green bonds and green equities, especially during market booms and busts. However, under normal market conditions, these two markets tend to operate independently. These results provide valuable insights for green project managers, investors, and policymakers, emphasizing the effectiveness of green investments in achieving environmental goals.
Article
Green & Sustainable Science & Technology
Ioannis Chatziantoniou, Emmanuel Joel Aikins Abakah, David Gabauer, Aviral Kumar Tiwari
Summary: This study introduces a novel quantile frequency connectedness approach to investigate propagation mechanisms. The findings indicate that the S&P Green Bond Index and S&P Global Clean Energy are net receivers of shocks, while the MSCI Global Environment and Dow Jones Sustainability Index World are transmitters of shocks. Moreover, the total connectedness indices are heterogeneous over time and economic events.
JOURNAL OF CLEANER PRODUCTION
(2022)
Article
Business, Finance
Yinghua Ren, Anqi Tan, Huiming Zhu, Wanru Zhao
Summary: This study proposes the rolling tail-event driven network technique to measure the dynamic nonlinear tail risk spillover of US commodity futures and investigates the effect of economic policy uncertainty on risk spillover. The findings show that the risk spillover effect increases when economic policy uncertainty is high, and the market is tightly connected. Crude oil, silver, and corn require more attention as they are the major risk transmitters. Moreover, the impact of economic policy uncertainty on risk spillover in the commodity futures market is asymmetric and heterogeneous, with grain and soft crops being more sensitive.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
(2022)
Article
Operations Research & Management Science
Md Bokhtiar Hasan, Md Naiem Hossain, Juha Junttila, Gazi Salah Uddin, Mustafa Raza Rabbani
Summary: This study analyzes the impact of different uncertainties on commodity markets and evaluates their hedging or safe-haven properties. The findings indicate that soybeans and clean energy stocks offer strong safe-haven opportunities against cryptocurrency price uncertainty and geopolitical risks. Additionally, GSCI commodity and crude oil exhibit a weak safe-haven property. The study's results have significant implications for investors and regulators in making informed decisions under uncertain circumstances.
ANNALS OF OPERATIONS RESEARCH
(2022)
Article
Environmental Studies
OlaOluwa S. Yaya, Ahamuefula E. Ogbonna, Xuan Vinh Vo
Summary: This study examines the market volatility of five green investments in response to different types of oil shocks using the GARCH-MIDAS modeling framework. The findings suggest that the volatility of green investments shows both homogeneous and heterogeneous responses to various oil shocks, and an asymmetry effect is observed between the impact of positive and negative oil shocks on the volatility of green investments.
Article
Energy & Fuels
Yufeng Chen, Chuwen Wang, Jiafeng Miao, Tanjun Zhou
Summary: This study examines the transmission of risk/information in the carbon trading market by analyzing market volatility spillover and tail risk transmission based on quantile spillover. The findings show that the carbon market is influenced by systemic shocks, which have implications for policymakers and investors.
FRONTIERS IN ENERGY RESEARCH
(2022)
Article
Multidisciplinary Sciences
Bikramaditya Ghosh, Dimitrios Paparas
Summary: This study investigates the risk spillover and connectedness of agri commodities over the past six decades using extreme quantiles. The findings show that these commodities exhibit consistently high levels of risk spillover and connectedness, indicating their vulnerability to various shocks. Rice, Orange Juice, Chicken, Tea, and Groundnut Oil are consistent net receivers, while Palm Oil, Soyabeans, Maize, and Wheat are net emitters throughout. Additionally, there is a decreasing complexity of network connectedness with increased quantiles.
Article
Multidisciplinary Sciences
Safika Praveen Sheikh, Syed Ahsan Jamil, Ahmet Faruk Aysan, Mohd Atif, Mustafa Raza Rabbani, Umar Nawaz Kayani
Summary: This study investigates the impact of factors such as oil prices, gold prices, and volatility indices on the returns of indices in the USA, Europe, and Asia. The findings suggest that volatility indices have a greater influence on index returns during the Covid-19 period, which can be attributed to the rapid impact of the pandemic on global economies. Additionally, the study reveals that oil price volatility has a stronger effect on stock prices compared to oil spot prices.
Article
Thermodynamics
Yihang Zhao, Zhenxi Zhou, Kaiwen Zhang, Yaotong Huo, Dong Sun, Huiru Zhao, Jingqi Sun, Sen Guo
Summary: Due to the consistency of participants and emission reduction targets, the carbon market and electricity market have the necessity and possibility of coordinated development. However, the information transmission and linkage between the two markets are still unclear and difficult to quantify. Thus, this paper innovatively conducts an in-depth study on the spillover effect between the carbon market and the electricity market, and further analyzes the intermediary role of the energy market in the carbon-electricity synergy.
Article
Green & Sustainable Science & Technology
Zhaohong Li, Jianfeng Hou, Jianfeng Zhang
Summary: This paper examines the risk spillover effect of the Shanghai crude oil futures market on the exchange rate market and the international crude oil market. The research findings indicate that the Shanghai crude oil futures market has an inverse volatility spillover effect on the onshore exchange rate market and a two-way positive volatility spillover effect on the offshore exchange rate market. Additionally, there is a significant two-way risk spillover between the offshore exchange rate market and the international crude oil market, and a downward risk spillover between the international crude oil market and the onshore exchange rate market.
SUSTAINABLE ENERGY TECHNOLOGIES AND ASSESSMENTS
(2022)
Article
Engineering, Chemical
Emad E. Mahmoud, M. M. Alqarni, Ebrahem A. Algehyne, Tareq Saeed, Muhammad Ibrahim
Summary: This paper investigates the effects of nanoparticle shape on thermal efficiency and entropy generation in a microheat sink using a nanofluid. The results show that adding nanoparticles reduces the average temperature and thermal resistance of the heat sink, as well as decreases entropy generation.
CHEMICAL ENGINEERING COMMUNICATIONS
(2023)
Article
Engineering, Chemical
M. M. Alqarni, Emad E. Mahmoud, Ebrahem A. Algehyne, Tareq Saeed, Abdallah S. Berrouk, Muhammad Ibrahim
Summary: This study investigates the impact of different nanoadditive types on the irreversibility of gamma-AlOOH nanofluid flow in a sinusoidal channel. The results reveal that the type of nanoadditive affects the viscosity and thermal conductivity of the nanofluid, and increasing the volume fraction and Reynolds number leads to higher irreversibilities.
CHEMICAL ENGINEERING COMMUNICATIONS
(2023)
Article
Business, Finance
Debojyoti Das, Anupam Dutta, Rabin K. Jana, Indranil Ghosh
Summary: This study investigates the effects of the crude oil implied volatility index (OVX) on emerging market financial stress (EMFS) using a quantile regression framework. The results show significant positive impacts of OVX on EMFS, with higher sensitivity to OVX when stress levels are high. The relationship is transient as the lag size increases, and only positive impulses in OVX can significantly predict EMFS. Furthermore, evidence suggests that credit market stress is a crucial driver of EMFS.
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
(2023)
Article
Environmental Sciences
Provash Kumer Sarker, Elie Bouri, Chi Keung Lau Marco
Summary: This study investigates the asymmetric effects of climate policy uncertainty, geopolitical risk, and crude oil prices on the realized volatility of clean energy prices in the USA. The findings demonstrate that these factors have different and asymmetric effects on the returns and realized volatility of clean energy prices in the short and long run.
ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH
(2023)
Article
Business, Finance
Ladislav Kristoufek, Elie Bouri
Summary: We investigate the potential sources of arbitrage opportunities in the Bitcoin market, considering the congested network and volatile prices. By controlling for endogeneity, we find that increased exchanges volume and on-chain activity reduce the arbitrage opportunities. These findings support the notion that the Bitcoin market is highly volatile and risky, but its behavior aligns with standard economic and financial intuition.
FINANCE RESEARCH LETTERS
(2023)
Article
Business, Finance
Amin Sokhanvar, Elie Bouri
Summary: The war in Ukraine and the imposition of new sanctions on Russia have had significant effects on commodity prices and exchange rate markets. This paper examines the impact of commodity price shocks related to the war on three currencies: the Canadian dollar, euro, and Japanese yen. The findings suggest a long-term association between higher commodity prices and the appreciation of the Canadian dollar against the euro and yen.
BORSA ISTANBUL REVIEW
(2023)
Article
Engineering, Multidisciplinary
M. M. Alqarni, Muhammaad Ibrahim, Taghreed A. Assiri, Tareq Saeed, Abd Allah A. Mousa, Vakkar Ali
Summary: The purpose of this study is to design an efficient heat exchanger filled with hybrid nanofluid using numerical methods. The results show that using ribbed tubes and nanofluids can improve the efficiency of the heat exchanger. The study also discusses the method of choosing the optimal grid-mesh and identifies the model with the highest efficiency.
ENGINEERING ANALYSIS WITH BOUNDARY ELEMENTS
(2023)
Article
Mathematics
Bechir Raggad, Elie Bouri
Summary: Using quantile-based techniques, we investigate the daily dependence and directional predictability between crude oil returns and the Crude Oil Volatility Index (OVX). Our results reveal significant and quantile-dependent bi-directional predictability that exhibits asymmetry. When both series are in similar lower (upper) quantiles or opposite quantiles, there is a significant positive Granger causality from oil (OVX) returns to OVX (oil) returns. The Granger causality from OVX returns to oil returns is significant during high volatility periods, but not always positive. These findings highlight the importance of considering the forward-looking estimate of oil volatility and using crude oil returns to predict oil implied volatility in bearish market conditions.
Article
Economics
Jiqian Wang, Feng Ma, Elie Bouri, Yangli Guo
Summary: This study explores the role of macroeconomic and technical indicators in forecasting Bitcoin volatility and finds that macroeconomic indicators have stronger predictive power overall, while technical indicators are more effective during periods of low volatility.
JOURNAL OF FORECASTING
(2023)
Article
Chemistry, Physical
Ashraf M. Zenkour, Tareq Saeed, Amal M. Aati
Summary: In this article, a mathematical analysis of thermoelastic skin tissue is conducted using a refined dual-phase-lag (DPL) thermal conduction theory that accounts for multiple time derivatives. The study examines the effects of mechanical clamping, ramp-type heating, and temperature distribution on the field variables of temperature, displacement, dilatation, and stress. The findings suggest that the refined DPL bioheat conduction model can predict temperature accurately and is consistent with existing generalized thermoelastic theories.
Article
Business, Finance
Renee van Eyden, Rangan Gupta, Joshua Nielsen, Elie Bouri
Summary: In this study, we first use the LPPLS-CI approach to detect bubbles in the stock market indices of the G7 countries in different time frames. Then, we analyze the impact of investor sentiment, proxied by business and consumer confidence indicators, on the bubble indicators using panel data-based regressions. Our findings show that investor sentiment increases positive bubbles and reduces negative bubbles, primarily in the medium- and long-term scales, and this effect is observed in at least five out of the seven countries. These results have important implications for investors and policymakers, as they suggest that changes in investor sentiment can drive market crashes or recoveries.
JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE
(2023)
Article
Operations Research & Management Science
Elie Bouri, Tom L. Dudda, Lavinia Rognone, Thomas Walther
Summary: This study examines the impact of climate risks on the relationship between clean energy and technology stocks. It finds that physical and transition climate risks are positively associated with the long-term correlation between these stocks, while the effect of transition risk is more consistent across different time periods and stock indices. However, shocks to physical risk tend to decrease the short-term correlation, as clean energy stocks react more strongly to these shocks compared to technology stocks.
ANNALS OF OPERATIONS RESEARCH
(2023)
Article
Mathematics, Applied
Muhammad Ibrahim, Asaf Khan, F. M. Allehiany, Gul Zaman, Vakkar Ali, Tareq Saeed
Summary: This paper investigates the dynamics of COVID-19 using age-structured modeling approach. A specific case of the model is presented by incorporating age-independent parameters. The sub-model, consisting of ordinary differential equations, is studied for possible equilibria and the qualitative aspects of the model are rigorously presented. Two age- and time-dependent non-pharmaceutical control measures are considered in the age-structured model to control the spread of the disease, and an optimal control problem is solved using a general maximum principle of Pontryagin type. Sample simulations are then plotted to support the theoretical work.
MATHEMATICAL METHODS IN THE APPLIED SCIENCES
(2023)
Article
Business, Finance
Ramzi Nekhili, Jahangir Sultan, Elie Bouri
Summary: This paper constructs daily liquidity measures for major cryptocurrencies and fiat currencies, and examines their interdependence in the time-frequency domain. The study finds that liquidity connectedness is event-driven and varies with time. Notably, liquidity spillover increases during the peak of the COVID-19 pandemic, indicating heightened uncertainty and market instability. The results also show that the spillover index is stronger in the long run compared to the short run, suggesting a flight-to-liquidity during periods of stress. The Euro and Ethereum are identified as the principal transmitters of liquidity shocks in the short and long run, respectively. The findings contribute to the academic literature by providing evidence of liquidity spillovers between cryptocurrencies and foreign exchange markets, which is valuable for traders, investors, and policymakers.
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
(2023)
Article
Engineering, Multidisciplinary
Muhammad Ibrahim, Mohamamd Mehdi Rashidi, Taghreed A. Assiri, Nudrat Aamir, Tareq Saeed, Vakkar Ali
Summary: The two-phase Lattice Boltzmann method was used to study the flow of nanofluids in a square cavity. The effect of a fin on the flow was assessed by changing its length in two different orientations.
ENGINEERING ANALYSIS WITH BOUNDARY ELEMENTS
(2023)
Article
Green & Sustainable Science & Technology
Lars odegaard Bentsen, Narada Dilp Warakagoda, Roy Stenbro, Paal Engelstad
Summary: This study investigates uncertainty modeling in wind power forecasting using different parametric and non-parametric methods. Johnson's SU distribution is found to outperform Gaussian distributions in predicting wind power. This research contributes to the literature by introducing Johnson's SU distribution as a candidate for probabilistic wind forecasting.
JOURNAL OF CLEANER PRODUCTION
(2024)
Article
Green & Sustainable Science & Technology
Xing Liu, Qiuchen Wang, Yunhao Wen, Long Li, Xinfang Zhang, Yi Wang
Summary: This study analyzes the characteristics of process parameters in three lean gas ethane recovery processes and establishes a prediction and multiobjective optimization model for ethane recovery and system energy consumption. A new method for comparing ethane recovery processes for lean gas is proposed, and the addition of extra coolers improves the ethane recovery. The support vector regression model based on grey wolf optimization demonstrates the highest prediction accuracy, and the multiobjective multiverse optimization algorithm shows the best optimization performance and diversity in the solutions.
JOURNAL OF CLEANER PRODUCTION
(2024)
Article
Green & Sustainable Science & Technology
Cairong Song, Haidong Yang, Xian-Bing Meng, Pan Yang, Jianyang Cai, Hao Bao, Kangkang Xu
Summary: The paper proposes a novel deep learning-based prediction framework, aTCN-LSTM, for accurate cooling load predictions. The framework utilizes a gate-controlled multi-head temporal convolutional network and a sparse probabilistic self-attention mechanism with a bidirectional long short-term memory network to capture both temporal and long-term dependencies in the cooling load sequences. Experimental results demonstrate the effectiveness and superiority of the proposed method, which can serve as an effective guide for HVAC chiller scheduling and demand management initiatives.
JOURNAL OF CLEANER PRODUCTION
(2024)
Article
Green & Sustainable Science & Technology
Zhe Chen, Xiaojing Li, Xianli Xia, Jizhou Zhang
Summary: This study uses survey data from the Loess Plateau in China to evaluate the impact of social interaction on the adoption of soil and water conservation (SWC) technology by farmers. The study finds that social interaction increases the likelihood of farmers adopting SWC, and internet use moderates this effect. The positive impact of social interaction on SWC adoption is more pronounced for farmers in larger villages and those who join cooperative societies.
JOURNAL OF CLEANER PRODUCTION
(2024)
Article
Green & Sustainable Science & Technology
Chenghua Zhang, Yunfei Yan, Kaiming Shen, Zongguo Xue, Jingxiang You, Yonghong Wu, Ziqiang He
Summary: This paper reports a novel method that significantly improves combustion performance, including heat transfer enhancement under steady-state conditions and adaptive stable flame regulation under velocity sudden increase.
JOURNAL OF CLEANER PRODUCTION
(2024)
