Article
Business, Finance
Yihan Wang, Elie Bouri, Zeeshan Fareed, Yuhui Dai
Summary: This study evaluates the transmission of returns and volatility in the commodities market during the war in Ukraine. It finds that the overall volatility spillover increases significantly, with geopolitical risk being the main factor affecting the spillover indices.
FINANCE RESEARCH LETTERS
(2022)
Article
Business, Finance
Haonan Zhou, Xinjie Lu
Summary: This paper investigates the impact of investor attention to the Russia-Ukraine conflict on Chinese stock market volatility. The results show that this attention contains valuable information for predicting the volatility, outperforming popular predictors like leverage, jump, and geopolitical risk. The model incorporating ATT_AU information and LASSO method performs best, especially in long-term horizons.
FINANCE RESEARCH LETTERS
(2023)
Article
Environmental Studies
Umer Shahzad, Kamel Si Mohammed, Sunil Tiwari, Joanna Nakonieczny, Renata Nesterowicz
Summary: This study analyzes the impact of economic instability and geopolitical risk on traditional non-renewable energy and precious metals markets. The results show a higher level of connectedness during the Russia-Ukrainian conflict. Geopolitical risk, financial instability, and oil return are net transmitters of shocks, while gold, gas, and silver are net receivers. Gold serves as a stable asset and provides a hedge against geopolitical risk and financial instability. The findings highlight the importance of considering geopolitical risk and financial instability in investment and production decisions in metals, precious, and energy markets.
Article
Business, Finance
Ahmed Bossman, Mariya Gubareva, Tamara Teplova
Summary: In this nonparametric quantile-on-quantile regression analysis, we find that the impact of Russia-Ukraine geopolitical risk on major currencies' exchange rates is asymmetric, especially at low and high extremes. The impact is also currency-specific and depends on the country's legal system. Our findings suggest that the Euro and the Swiss Franc can serve as attractive hedge currencies against GPR in currency portfolios.
FINANCE RESEARCH LETTERS
(2023)
Article
Environmental Studies
Deyuan Zheng, Chunguang Zhao, Jiaying Hu
Summary: Volatile natural resource prices have a significant impact on economic growth, economic volatility, and financial markets. Analyzing the factors that affect price volatility is important for policymakers, financial institutions, and investors. This study examines the impact of geopolitical risk on the price volatility of coal, copper, crude oil, gold, and iron ore in the Chinese futures market. The results show that geopolitical risk significantly increases the price volatility of coal, iron ore, and crude oil futures; decreases the price volatility of gold; and has no significant effect on the price volatility of copper futures.
Article
Environmental Studies
Shengming Chen, Ahmed Bouteska, Taimur Sharif, Mohammad Zoynul Abedin
Summary: The aim of this paper is to analyze the impact of the recent Russia-Ukraine war on the volatility dynamics of the natural gas market. The study uses the daily return data of the S&P GSCI natural gas index and applies the Volatility Ratio to assess the behavior of the volatility-of-volatility in different time horizons. The empirical findings reveal a rapid decrease in the volatility-of-volatility before the war and a longer period of decrease in the S&P GSCI natural gas index. The study also suggests that periods of uncertainties trigger investors' intent to make informed decisions and formulate superior strategies.
Article
Green & Sustainable Science & Technology
Merve Coskun, Nasir Khan, Asima Saleem, Shawkat Hammoudeh
Summary: This study investigates the volatility connectedness among geopolitical oil price risk, clean energy stocks, global equity, and commodity markets using novel empirical methods. The results show that geopolitical oil price risk and global equity markets act as net volatility transmitters, while the gold market serves as the sole net volatility receiver within the system. The study also finds that volatility interlinkage among these markets intensifies during worldwide crisis periods.
JOURNAL OF CLEANER PRODUCTION
(2023)
Article
Business, Finance
Yaojie Zhang, Jiaxin He, Mengxi He, Shaofang Li
Summary: This paper explores the relationship between geopolitical risk (GPR) and stock market volatility from a global perspective. Using dynamic panel data and the bias-corrected LSDV estimator, the empirical results show that GPR has a significant positive impact on stock market volatility, unaffected by control variables. Additionally, the effect of GPR on stock market volatility is more pronounced for emerging economies, crude oil exporters, and peaceful countries. This study provides new evidence on the relationship between GPR and stock market volatility.
FINANCE RESEARCH LETTERS
(2023)
Article
Business, Finance
Lihua Shen, Yanran Hong
Summary: This paper investigates the transmission of risks from geopolitical risks to economic policy uncertainty, using Germany as an example. The study finds that the occurrence of the Russia-Ukraine conflict can affect the risk transmission and this relationship has an asymmetric characteristic, indicating that increased geopolitical risks may stimulate Germany's economic policy uncertainty.
FINANCE RESEARCH LETTERS
(2023)
Article
Business, Finance
Luiz Eduardo Gaio, Nelson Oliveira Stefanelli, Tabajara Pimenta Junior, Carlos Alberto Grespan Bonacim, Rafael Confetti Gatsios
Summary: This study found multifractality in the stock market during crisis periods, rejecting the market efficiency hypothesis and indicating the predictability of asset prices in times of instability and global financial crisis.
FINANCE RESEARCH LETTERS
(2022)
Article
Environmental Studies
Ahmed Bossman, Mariya Gubareva, Tamara Teplova
Summary: This study examines the asymmetric relationships between EU sectoral stocks and oil, oil implied volatility, geopolitical risk, and market sentiment during turbulent times of geopolitical unrest. Findings suggest that sectoral stock returns from the EU are asymmetrically predicted by WTI, OVX, VIX and GPR. The study highlights the implications for market regulation and portfolio management.
Article
Economics
Xu Gong, Jun Xu
Summary: In this paper, the improved Diebold & Yilmaz method based on TVP-VAR-SV model is used to analyze the dynamic connectedness between energy, precious metal, industrial metal, agriculture, and livestock commodity markets. The results show that energy, industrial metal, and precious metal commodity markets act as information transmitters while agriculture and livestock commodity markets are information receivers. Furthermore, the study finds that geopolitical risk, especially geopolitical act risk, significantly affects the overall connectedness of commodity markets, with different impacts on the net spillover of various commodity markets.
Article
Economics
Qi Zhang, Kun Yang, Yi Hu, Jianbin Jiao, Shouyang Wang
Summary: This article introduces a research method called CRP-MIF, which compares real data with predicted data and matches influencing factors, to explore the channels through which the Russia-Ukraine War affects crude oil prices. It provides insights for decision-makers to intervene and mitigate the impact on oil prices.
Article
Economics
Baogui Xin, Mengwei Zhang
Summary: The Russia-Ukraine conflict has caused a global energy crisis and disrupted global energy markets. Soaring energy prices have led to inflation worldwide. A tripartite energy evolutionary game model was constructed to analyze the international energy trade during this conflict. The results indicate that diplomatic efforts are crucial for all participants to prevent further escalation of the energy crisis.
Article
Economics
Juandan Zhong, Huaigang Long, Feng Ma, Jiqian Wang
Summary: This study constructs a tail risk predictor of the international commodity market and successfully predicts the volatility of the US stock market. The results demonstrate that tail risk contains significant interpretive ability for stock volatility.
Article
Business, Finance
Xiaoning Sui, Shuaipeng Jiao, Yongming Wang, Haijun Wang
Summary: This paper investigates the impact of digital transformation on the competitiveness of companies, particularly manufacturing companies, and explores the underlying mechanisms driving this impact. The findings reveal that digital transformation has a positive effect on the competitiveness of manufacturing companies, enhancing their overall competitiveness through improved productivity, research and development intensity, and human capital. These findings contribute to the existing research on the influence of digital transformation on manufacturing companies and offer important policy implications for enhancing competitiveness through digital empowerment.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Fabio Lucas Takahashi, Marcos Roberto Vasconcelos
Summary: This study analyzes the impact of non-performing loans on the technical efficiency of banks in the Brazilian banking sector and identifies determinants of bank efficiency. The results show that non-performing loans have a negative impact on efficiency, with foreign banks being more efficient on average than domestic public and private banks. During COVID-19, federal public banks were the most efficient. The study also highlights the association between the low efficiency of domestic public banks and the lower technical quality of state public banks.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Changlun Jin, Xiujuan Tian
Summary: This study evaluates the safe-haven property of Bitcoin using the CEEMDAN method, and the results confirm its role as a safe-haven asset amidst the uncertainty in the US banking market. Compared to other market indices, Bitcoin exhibits superior short-term performance and higher stability in returns and volatility in the medium term, outperforming gold. Importantly, Bitcoin maintains its safe-haven attribute over a span of 50 days even during periods of relatively diminished market uncertainty.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Baoqiang Zhan, Chong Wu
Summary: This study investigates the impact of analyst status on recommendation performance and finds that when analysts are promoted to star status, the stocks they recommend exhibit improved performance, particularly for analysts working in small brokerage firms. This star effect persists even during economic shocks.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Marcos Escobar-Anel, Ben Spies, Rudi Zagst
Summary: This study extends the application of Affine GARCH models in the field of portfolio optimization, allowing for a richer class of objective functions. Numerical experiments based on S&P 500 market data reveal that the GARCH model outperforms a homoscedastic variant in terms of the efficient frontier.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Weihui Han, Lv Han, Qingqing Yang
Summary: This paper examines the impact of capital market liberalization on firms' performance in overseas direct investment (OFDI). The study finds that capital market liberalization significantly promotes firms' OFDI in terms of probability and scale. The mechanisms behind this positive effect are increased total factor productivity, eased financing constraints, and improved information disclosure quality. Additionally, the positive effect is more prominent for international firms with overseas businesses and labor-intensive firms. Overall, this study reveals the real effects of capital market liberalization on OFDI and has meaningful implications for emerging economies.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Thanh Cong Nguyen, Vitor Castro, Justine Wood
Summary: This paper assesses the impact of different types of financial crises on social protection spending. The findings suggest that social protection spending increases when financial crises occur, particularly in the aftermath of banking crises. However, currency and debt crises have a detrimental effect on social protection spending, posing a threat to social wellbeing.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Yongqian Tu, Aihua Zhang, Limiao He, Jiangyong Qi
Summary: This research examines the relationship between firms' perceptions of uncertainty and financial misallocation. They find that a heightened sense of uncertainty significantly reduces financial misallocation. Interestingly, private firms, those operating in highly competitive arenas, and those with minimal financing barriers are more attuned to economic uncertainty, and the moderating effect of uncertainty perception on financial misallocation is particularly pronounced for these firms.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Yuan Sun, Xiaowei Sun, Zehao Wang
Summary: This study reveals that climate risk has a positive impact on the geographical distribution of firms' business activities. Companies with more cash holdings, closer geographical proximity between parent and subsidiaries, and non-state-owned enterprises are more likely to engage in cross-regional investment in response to climate risk. Furthermore, cross-regional investment significantly improves investment efficiency for firms facing higher levels of climate risk.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Eping Liu, Haoyuan Qin
Summary: This study adopts a cognitive dissonance theory viewpoint to investigate the impact of managers' facial emotion on market performance and risk in Chinese listed companies. The findings suggest that more positive facial expressions of managers in earnings conference call predict better market performance and lower risk. The study provides investors with a new analytical method and offers reference for market regulators in policy formulation.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Chaeyoon Baek, Seungho Baek, Mina Glambosky
Summary: This study finds that small, low-credit quality, and financially distressed companies are more vulnerable to labor market changes, resulting in a deterioration in equity value.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Yuanyue Deng, Sijing Li
Summary: Using panel data from 60 countries, this study investigates the impact of economic policy uncertainties (EPUs) on systemic risk and distinguishes the effects of global and local EPU shocks. The results show that increased global shocks lead to higher systemic linkages, while domestic uncertainties significantly contribute to individual risks. Cross-border bank loans and non-performing loans are the channels through which EPUs induce cascading effects. Heterogeneity analysis further reveals the role of financial openness and financial development in shaping the nexus between EPUs and systemic risk.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Yaozhong Wang, Pinzhen He
Summary: This paper analyzes the impact of digital transformation on innovation efficiency using data from 2114 listed enterprises in Shanghai and Shenzhen A-share markets from 2010 to 2022. The findings indicate that digital transformation effectively promotes the growth of innovation efficiency, with financial information disclosure playing a crucial intermediary role. Furthermore, the positive effect of digital transformation on innovation efficiency becomes more significant in highly competitive industries and regions with low levels of marketization.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Jin Boon Wong, Qin Zhang
Summary: This paper examines the financial implications of ESG reputational risks and finds that investors penalize firms with excessive cash holdings when these risks intensify. However, cash distributions can mitigate shareholders' antipathy towards excessive cash holdings.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Nir Chemaya, Dingyue Liu
Summary: The popularity of decentralized exchanges is increasing, with liquidity pools being widely used for trading. Comparing a simple V2 model's theoretical predictions with Uniswap V3 data, it was surprisingly found that the V2 model accurately predicted the V3 data in 97.1% of transactions, with a deviation of less than 0.1%. Higher accuracy was observed in active pools with substantial transaction volume and liquidity, while inactive pools performed less effectively. This approach assists researchers in assessing the suitability of the V2 model for analyzing Uniswap V3 data.
FINANCE RESEARCH LETTERS
(2024)