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Nobanee H, Hamill PA, Azmi W, Chakraborty D, Nghiem XH. In search of a safe haven in times of turbulence: Effects of First Republic Bank failure on global asset markets. Heliyon 2023; 9:e20399. [PMID: 37822635 PMCID: PMC10562849 DOI: 10.1016/j.heliyon.2023.e20399] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Download PDF] [Figures] [Journal Information] [Subscribe] [Scholar Register] [Received: 05/23/2023] [Revised: 09/19/2023] [Accepted: 09/22/2023] [Indexed: 10/13/2023] Open
Abstract
The failure of First Republic Bank (FRB) - the largest bankruptcy in the US banking system since the GFC - may send chilling effects through different asset markets in the US and even worldwide. This paper aims to clarify the effects of FRB failure on several assets and figure out potential safe havens for investors during the 2023 US banking turmoil. Results from the event study approach reveal that eleven particular assets are relatively safe during the current turbulence. Several important implications are made for investors, portfolio managers, and policymakers.
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Affiliation(s)
- Haitham Nobanee
- College of Business, Abu Dhabi University, United Arab Emirates
- Oxford Centre for Islamic Studies, University of Oxford, United Kingdom
- Faculty of Humanities & Social Sciences, The University of Liverpool, United Kingdom
| | | | | | - Dipanwita Chakraborty
- Jagan Institute of Management Studies, India
- Indian Institute of Technology Kharagpur, India
| | - Xuan-Hoa Nghiem
- International School, Vietnam National University, Hanoi, Viet Nam
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2
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Ben Amar A, Bouattour M, Bellalah M, Goutte S. Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict. FINANCE RESEARCH LETTERS 2023; 55:103853. [PMID: 37305065 PMCID: PMC10081879 DOI: 10.1016/j.frl.2023.103853] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Figures] [Subscribe] [Scholar Register] [Received: 01/30/2023] [Revised: 03/25/2023] [Accepted: 04/02/2023] [Indexed: 06/13/2023]
Abstract
Using the TYDL causality test, this paper attempts (i) to investigate the existence of shift contagion among a large spectrum of financial markets during recent stress and stress-free periods and (ii) to propose a new approach of portfolio management based on the minimization of the causal intensity. During the COVID-19 crisis period, the shift contagion analysis not only reveal a tripling of the causal links between the markets studied, but also a change in the causal structure. Beyond the initial impact of the COVID-19 crisis on financial markets, policy interventions seem to have helped in reassuring market participants that the further spread of financial stress would be mitigated. However, the Russian-Ukrainian conflict, and the high degree of uncertainty it entailed, has again exacerbated the interdependencies between financial markets. In terms of portfolio analysis, our minimum-causal-intensity approach records a lower (respectively higher) reward-to-volatility ratio than the Markowitz (1952 & 1959) minimum-variance traditional approach during the pre-COVID-19 (respectively pre-war) period. On the other hand, both approaches, the one we propose in this paper and the minimum-variance approach, record negative reward-to-volatility ratios during crisis periods.
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Affiliation(s)
- Amine Ben Amar
- Africa Business School, Mohammed VI Polytechnic University, Rabat, Morocco
| | | | - Makram Bellalah
- Laboratoire d'Economie, Finance, Management & Innovation - LEFMI [UR 4286], University of Picardie Jules Verne, Amiens, France
| | - Stéphane Goutte
- UMI SOURCE, Paris-Saclay University & Paris School of Business (PSB), Paris, France
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3
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Mohammed KS, Usman M, Ahmad P, Bulgamaa U. Do all renewable energy stocks react to the war in Ukraine? Russo-Ukrainian conflict perspective. ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH INTERNATIONAL 2023; 30:36782-36793. [PMID: 36562969 PMCID: PMC9782274 DOI: 10.1007/s11356-022-24833-5] [Citation(s) in RCA: 8] [Impact Index Per Article: 8.0] [Reference Citation Analysis] [Abstract] [Key Words] [MESH Headings] [Track Full Text] [Subscribe] [Scholar Register] [Received: 09/27/2022] [Accepted: 12/14/2022] [Indexed: 05/25/2023]
Abstract
This study investigates how renewable energy markets reacted to the war in Ukraine in 2022 using event study and network connectedness analyses and compares this effect to traditional energy sources. Combining event study with connectedness analysis is of great interest in identifying abnormal returns from the Russia-Ukraine conflict event. The risk-return profiles make clean energy more appealing to investors, and increased investment in clean energy subsectors leads to improved climate change mitigation. Sampled data are wrangled daily from 03 August 2021 to 30 March 2022. The results confirm that renewable energy markets have positive and significant cumulative abnormalities while traditional energy markets are heavily affected during the post-war. Moreover, we find higher pairwise return connectedness after the announcement event than during and before the war in Ukraine. The geothermal and full cell markets are the more robust net information transmitter to other clean energy subsectors. Finally, renewable energy appeared more pertinent during and after the Russian invasion of Ukraine, given its properties to serve diversifications and hedging tools.
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Affiliation(s)
- Kamel Si Mohammed
- Faculty of Economics and Management, University of Ain Temouchent, Ain Temouchent, Algeria
| | - Muhammad Usman
- China Institute of Development Strategy and Planning, and Center for Industrial Economics, Wuhan University, Wuhan, 430072 China
| | - Paiman Ahmad
- Department of Law, College of Humanity Sciences, University of Raparin, Sulaymaniyah, Iraq
- International Relations and Diplomacy Department, Faculty of Administrative Sciences and Economics, Tishk International University, Erbil, Iraq
| | - Urangoo Bulgamaa
- Department of World Economy, Corvinus University of Budapest, Fővám Tér 8., Budapest, 1093 Hungary
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Boubaker S, Goodell JW, Kumar S, Sureka R. COVID-19 and finance scholarship: A systematic and bibliometric analysis. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS 2023; 85:102458. [PMID: 36439331 PMCID: PMC9675083 DOI: 10.1016/j.irfa.2022.102458] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Figures] [Subscribe] [Scholar Register] [Received: 08/28/2022] [Revised: 10/28/2022] [Accepted: 11/16/2022] [Indexed: 06/16/2023]
Abstract
COVID-19 has posed unprecedented challenges to global finances because of its unparalleled global scope, with both concomitant shocks as well as the likely altering of risk assessments and forecasts for the foreseeable future. As the effects of COVID-19 on financial markets and institutions have been widely addressed by various literature, we systematically synthesize this literature. Through a comprehensive search process, we extract and review 818 articles. Appling bibliometric methods, we explore the trends among various research constituents involved in the field. Using multi-dimensional scaling, we identify the intellectual structure of research in the domain and outline four distinct themes. We also identify the evolution and shifts in research within the short span of three years since the inception of COVID-19. Through detailed content analysis, various future research directions are proposed.
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Affiliation(s)
- Sabri Boubaker
- EM Normandie Business School, Métis Lab, France
- International School, Vietnam National University, Hanoi, Viet Nam
- Swansea University, Swansea, United Kingdom
| | | | - Satish Kumar
- Department of Management Studies, Malaviya National Institute of Technology Jaipur, 302017, Rajasthan, India
- Faculty of Business, Design and Arts, Swinburne University of Technology, Jalan Simpang Tiga, 93, 350 Kuching, Sarawak, Malaysia
| | - Riya Sureka
- Department of Management Studies, Malaviya National Institute of Technology Jaipur, 302017, Rajasthan, India
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Liang C, Hong Y, Huynh LDT, Ma F. Asymmetric dynamic risk transmission between financial stress and monetary policy uncertainty: thinking in the post-covid-19 world. REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING 2023; 60:1543-1567. [PMCID: PMC10007668 DOI: 10.1007/s11156-023-01140-9] [Citation(s) in RCA: 1] [Impact Index Per Article: 1.0] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Subscribe] [Scholar Register] [Accepted: 02/08/2023] [Indexed: 04/13/2024]
Abstract
Considering the dramatically increasing impact of the COVID-19 outbreak on monetary policy and the uncertainty in the financial system, we aim to examine the dynamic asymmetric risk transmission between financial stress and monetary policy uncertainty. Our sample covers 30 years of data. We first employ the conventional Granger causality test to examine the average relationship between financial stress and monetary policy uncertainty, and the results cannot provide evidence of causality between them. However, from an asymmetric perspective, we further detect the strongly apparent existence of the asymmetric structure of causality between them. Finally, we conduct further research on the asymmetric impacts from a time-varying perspective. The time-varying test finds that this relationship can be influenced by major events, especially the dot-com bubble, the 2009 financial crisis, and the current COVID-19 pandemic. Thus, one can learn more information about the influencing mechanism between financial stress and monetary policy with our work, which may be beneficial for making better decisions in the future.
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Affiliation(s)
- Chao Liang
- School of Economics and Management, Southwest Jiaotong University, Chengdu, 610031 China
| | - Yanran Hong
- School of Mathematics, Southwest Jiaotong University, Chengdu, 610031 China
| | - Luu Duc Toan Huynh
- School of Business and Management, Queen Mary University of London, London, United Kingdom
| | - Feng Ma
- School of Economics and Management, Southwest Jiaotong University, Chengdu, 610031 China
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Kumar P, Singh VK. Examining the Time Varying Spillover Dynamics of Indian Financial Indictors from Global and Local Economic Uncertainty. JOURNAL OF QUANTITATIVE ECONOMICS : JOURNAL OF THE INDIAN ECONOMETRIC SOCIETY 2022; 21:99-121. [PMID: 36568133 PMCID: PMC9758468 DOI: 10.1007/s40953-022-00333-8] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [Grants] [Track Full Text] [Figures] [Subscribe] [Scholar Register] [Accepted: 11/07/2022] [Indexed: 06/17/2023]
Abstract
The research aims to excavate the role of global (Fed Rate, Crude, Real Dollar Index) and endogenous economic variables (GDP and Consumer Price Index) in shaping the spillover amongst the major Indian Financial indicators, viz. Nifty Index, MCX Gold, USDINR, Govt. Bond 10Y maturity and agricultural index N-Krishi. To facilitate cross-comparison decomposition of time-varying spillover output generated from Time-Varying Vector Autoregression (TVP-VAR) with aggregation at three layers is performed. The research finds that Indian Financial Indicators are vulnerable to spillover shocks from global variables predominantly driven by Fed Rate and Real Dollar Index. USDINR turns out to be most sensitive to global shocks and transgresses the shock to other financial indicators. Importantly, persistently high inflation has brought volatility spikes in the directional spillover to financial indicators. Though spillover subsidence is observed post-2014, with an all-time high during GFC, a sudden spurt in all financial indicators has been observed post-Covid-19, with Govt. bonds showing a sporadic rise. An important observation relates to staunch spillover from GDP during GFC with reoccurrence post-Covid. Additionally, a closely knit spillover tie is observed among USDINR, N-Krishi, and Crude. The study is beneficial to RBI to proactively monitor the weakening rupee along with Fed tapering to manage the rising spillover post-Covid-19. The effort of RBI has to be reciprocated by the government in inflation targeting to reinforce the curbing efforts of rising shock spillover.
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Affiliation(s)
- Pawan Kumar
- National Institute of Industrial Engineering (NITIE), Vihar Lake, P.O. NITIE, Mumbai, 400087 India
| | - Vipul Kumar Singh
- National Institute of Industrial Engineering (NITIE), Vihar Lake, P.O. NITIE, Mumbai, 400087 India
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Lim SY, Choi SY. Impact of liquidity spillovers among industrial sectors on stock markets during crisis periods: Evidence from the S&P 500 index. PLoS One 2022; 17:e0277261. [PMID: 36395202 PMCID: PMC9671435 DOI: 10.1371/journal.pone.0277261] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [MESH Headings] [Grants] [Track Full Text] [Figures] [Journal Information] [Subscribe] [Scholar Register] [Received: 07/29/2022] [Accepted: 10/22/2022] [Indexed: 11/18/2022] Open
Abstract
We investigate liquidity spillovers among industry sectors in the S&P 500 index to explain the interconnection dynamics in the US stock market. To do so, we define a sectoral liquidity measure based on the Amihud liquidity measure. Employing the spillover model, we further examine US sectors' liquidity spillovers during the global financial crisis (GFC) and the COVID-19 pandemic. Based on the relationship between liquidity in financial markets and business cycles, our findings show that (i) liquidity connections became stronger during both crises, (ii) in the GFC period, the material sector was the primary transmitter of total liquidity spillovers, whereas in the COVID-19 pandemic period, the consumer discretionary sector was the main conveyor of total liquidity spillovers and the real estate sector was the dominant recipient of total liquidity spillovers, and (iii) net liquidity spillovers between all sectors fluctuated notably during the GFC, while the industrial, consumer staples, and healthcare sectors had the largest net liquidity spillovers during the COVID-19 crisis. These findings have important implications for portfolio managers and policymakers.
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Affiliation(s)
- Seo-Yeon Lim
- Department of Economics, Gachon University, Seongnam, Republic of Korea
| | - Sun-Yong Choi
- Department of Financial Mathematics, Gachon University, Seongnam, Republic of Korea
- * E-mail:
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Tsai IC. Changes in social behavior and impacts of the COVID-19 pandemic on regional housing markets: Independence and risk. JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE 2022; 35:100698. [PMID: 35755575 PMCID: PMC9212972 DOI: 10.1016/j.jbef.2022.100698] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Figures] [Subscribe] [Scholar Register] [Received: 11/27/2021] [Revised: 04/24/2022] [Accepted: 06/07/2022] [Indexed: 06/15/2023]
Abstract
This paper explores changes in social behavior since the start of the COVID-19 pandemic, which are characterized by reduction in relocation, mobility, and community engagement, and how the correlations between regional housing markets are affected by these changes. Because changes in mobility and engagement are the most apparent in large cities, the present study calculates the independence indicator of regional housing markets in the 50 largest metropolitan statistical areas (MSAs) in the United States and determines their relationship with Mobility and Engagement Index values. The empirical results show that as mobility and community engagement decline in a certain area, housing market fluctuations become more independent, indicating correlations between regional housing markets in the US might decrease after the COVID-19 outbreak. This paper also finds that there are more MSAs having significantly decreased in volatility since the outbreak of the pandemic. This paper provides evidence indicating that housing markets may be impacted differently by the COVID-19 pandemic than other asset markets, particularly stock markets. Changes in mobility and engagement can be used as an indicator to assess whether the correlation between regional housing markets would decline, which means that, compared with financial instruments, more factors from real aspects need to be considered when determining the changes in real estate affected by the epidemic.
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Affiliation(s)
- I-Chun Tsai
- Department of Finance, National University of Kaohsiung, Kaohsiung, Taiwan
- Anfu Institute for Financial Engineering, National Tsing Hua University, Hsin Chun, Taiwan
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Zhong M, Lin M. Bibliometric analysis for economy in COVID-19 pandemic. Heliyon 2022; 8:e10757. [PMID: 36185135 PMCID: PMC9509534 DOI: 10.1016/j.heliyon.2022.e10757] [Citation(s) in RCA: 25] [Impact Index Per Article: 12.5] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Download PDF] [Figures] [Journal Information] [Subscribe] [Scholar Register] [Received: 05/15/2022] [Revised: 07/06/2022] [Accepted: 09/20/2022] [Indexed: 12/01/2022] Open
Abstract
Since the outbreak of COVID-19, various fields have been damaged to varying degrees, especially in the economic field. According to a comprehensive study of bibliometrics and content analysis, this paper aims at summarizing studies related to the development of the economic field during the COVID-19 epidemic. We search in Web of Science Core Collection using the subjects such as “economics”, “economy”, “economic”, “financial”, and then 2274 related documents are collected, which are published from 2020 to 2022. First, this paper uses the mixed qualitative and quantitative analysis methods to analyze the publication status of the countries, institutions, and authors, respectively, and conducts the document co-citation analysis by CiteSpace software. The results showed that the most popular journal is Sustainability, and the most productive research institutions, countries, and authors are primarily located in North American and European countries. Then, it makes an in-depth study of the cooperative network. With the support of Gephi software, this paper employs the social network analysis method to analyze the situation of the country/region cooperation and institutional cooperation. Finally, the content analysis of the related studies is presented to further explore the current challenges. On this basis, this paper analyzes the economic development in the post-epidemic era and draws some conclusions, which provide some references for scholars interested in this field.
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Affiliation(s)
- Meihui Zhong
- College of Computer and Cyber Security, Fujian Normal University, Fuzhou, Fujian 350117, China
| | - Mingwei Lin
- College of Computer and Cyber Security, Fujian Normal University, Fuzhou, Fujian 350117, China
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