Correction: Information flow dynamics between geopolitical risk and major asset returns

[This corrects the article DOI: 10.1371/journal.pone.0284811.].

Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets

This study investigates tail dependence among five major cryptocurrencies, namely Bitcoin, Ethereum, Litecoin, Ripple, and Bitcoin Cash, and uncertainties in the gold, oil, and equity markets. Using the cross-quantilogram method and quantile connectedness approach, we identify cross-quantile interdependence between the analyzed variables. Our results show that the spillover between cryptocurrencies and volatility indices for the major traditional markets varies substantially across quantiles, implying that diversification benefits for these assets may differ widely across normal and extreme market conditions. Under normal market conditions, the total connectedness index is moderate and falls below the elevated values observed under bearish and bullish market conditions. Moreover, we show that under all market conditions, cryptocurrencies have a leadership influence over the volatility indices. Our results have important policy implications for enhancing financial stability and deliver valuable insights for deploying volatility-based financial instruments that can potentially provide cryptocurrency investors with suitable hedges, as we show that cryptocurrency and volatility markets are insignificantly (weakly) connected under normal (extreme) market conditions.

Information flow dynamics between geopolitical risk and major asset returns

We quantify information flows between geopolitical risk (GPR) and global financial assets such as equity, bonds, and commodities, with a focus on the Russian-Ukrainian conflict. We combine transfer entropy and the I-CEEMDAN framework to measure information flows at multi-term scales. Our empirical results indicate that (i) in the short term, crude oil and Russian equity show opposite responses to GPR; (ii) in the medium and long term, GPR information increases the risk in the financial market; and (iii) the efficiency of the financial asset markets can be confirmed on a long-term scale. These findings have important implications for market participants, such as investors, portfolio managers, and policymakers.

Global energy markets connectedness: evidence from time-frequency domain

We examine the presence of dependence across 51 energy markets classified into different regions from Jan 2007 to June 2021. In order to examine the presence of dependence across different energy markets, we apply standard and threshold dependence measures proposed by Diebold and Yilmaz, Int J Forecast 28:57-66, (2012) and Baruník and Křehlík, J Financ Econ 16(2):271-296, (2018). We highlight the presence of strong dependence between the energy markets at both regional level and across other regions. European and American energy markets are highly connected within the region over the long-run whereas Asia-Pacific and the African energy markets offer optimal diversification opportunities. Both short- and long-run dependence exists between Chinese and the Hong Kong energy markets and between the US and Canadian energy markets. We also witness substantial increase dependence across all the energy markets during different crisis periods.

Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis

This paper examines frequency dynamic spillovers in return and volatility and the hedging ability of Green Bonds, gold, silver, oil, the US dollar index, and volatility index against downside US stock prices before and during the COVID-19 pandemic outbreak and for the short and long run. To do so, we use the Diebold and Yilmaz (2014), the TVP-VAR model, and the frequency spillover index by Baruník and Křehlík (2018). We show that the short-term volatility spillovers dominate their long-term counterparts. Green Bond is net transmitters of spillovers in the system at the short term and net receivers at the long term. S&P500 and silver (USDX and oil) are net transmitters (receivers) of short- and long-term spillovers. Gold and VIX are net receivers of short-term spillovers and net transmitters of long-term spillovers. COVID-19 crisis has more effects on the short-term spillover, which reaches its highest level early 2020. COVID-19 and time horizons lead the direction and the magnitude of spillovers. The Quantile-on-Quantile regression analysis shows significant nonlinear relationships between markets under study. More interestingly, we show that green bonds and gold are safe haven assets for US equity investors during COVID-19. On the other hand, a mixed portfolio offers higher diversification benefits. Finally, hedging effectiveness is dependent on COVID-19 and time horizon.

Extreme dependencies and spillovers between gold and stock markets: evidence from MENA countries

This study addresses whether gold exhibits the function of a hedge or safe haven as often referred to in academia. It contributes to the existing literature by (i) revisiting this question for the principal stock markets in the Middle East and North Africa (MENA) region and (ii) using the copula-quantile-on-quantile and conditional value at risk methods to detail the risks facing market participants provided with accurate information about various gold and stock market scenarios (i.e., bear, normal, bull). The results provide strong evidence of quantile dependence between gold and stock returns. Positive correlations are found between MENA gold and stock markets when both are bullish. Conversely, when stock returns are bearish, gold markets show negative correlations with MENA stock markets. The risk spillover from gold to stock markets intensified during the global financial and European crises. Given the risk spillover between gold and stock markets, investors in MENA markets should be careful when considering gold as a safe haven because its effectiveness as a hedge is not the same in all MENA stock markets. Investors and portfolio managers should rebalance their portfolio compositions under various gold and stock market conditions. Overall, such precise insights about the heterogeneous linkages and spillovers between gold and MENA stock returns provide potential input for developing effective hedging strategies and optimal portfolio allocations.

Unbundling the dynamic impact of renewable energy and financial development on real per capita growth in African countries

Industrialization is considered imperative for growth but energy transitions are paramount for inclusive and green growth especially for a region with low financial sector development to spur investment in renewable energy. This study thus unbundles the interrelation among renewable energy production, financial development, and real per capita growth in 32 selected African countries from the period of 1996 to 2018. These countries are categorized on the basis of oil-rich and non-oil-rich as well as income levels. The study employs Pooled Mean Group, Augmented Mean Group, and Dynamic OLS, and key findings are established. The findings reveal a significantly positive renewable energy-economic growth relationship in all the different groups. Financial development is also found to improve economic performance in all categories except in non-oil-rich African countries. These findings empirically support the need for cleaner energy in the production process to spur inclusive and green growth amidst current global concern for climate change and global warning. This study thus recommends the restructuring of the energy pricing system, provision of long-term finance, adoption of risk mitigation instruments, and improved institutional framework for private participation in renewable energy infrastructural development for growth sustainability in Africa.

Military spending, financial development, and ecological footprint in a developing country: insights from bootstrap causality and Maki cointegration

Military spending is required for national sovereignty, but it comes at a cost. The ecological consequences of military activities remain insufficiently investigated, especially in developing countries, where military spending is on the rise due to terrorism and civil unrest created by different secessionists' groups. As such, this study has a maiden attempt to address this gap by exploring the effects of military spending on the ecological footprint (EF) using the bootstrap causality test and the Maki (2012) cointegration test under multiple structural breaks. The findings suggest that military spending increases the EF. Also, while energy consumption and economic growth degrade the environment, financial development enhances environmental wellbeing by reducing the ecological footprint. The causality results suggest a unidirectional causality from military spending to EF, while feedback causality exists between military spending and economic growth. The result of this study affirms the existence of destruction theory and also provides a better understanding of the links behind environmental degradation and is applicable for the design and implementation of environmental policies.

The Return and Volatility Connectedness of NFT Segments and Media Coverage: Fresh Evidence Based on News About the COVID-19 Pandemic

We study the relationship between return and volatility of non-fungible tokens (NFT) segments and media coverage during the outbreak of the COVID-19 pandemic in a connectedness framework. We document media coverage as a net transmitter of spillover for both the return and volatility of NFT segments. We find that NFTs representing the Utilities segment is a major transmitter of spillover. Our findings have important implications for portfolio managers, regulators, and policymakers.

The spatial distribution dynamic and convergence of CO2 emissions in Iran's provinces

It is essential to study CO₂ emissions intensity as the most critical factor affecting temperature increase and climate change in a country like Iran, which ranked seven regarding CO₂ emissions intensity. Investigating the convergence of CO₂ emissions intensity is essential in recognizing its dynamics in identifying the effectiveness of government environmental policies. In this paper, using the Markov chain and spatial Markov chain methods, the convergence of CO₂ emissions intensity from fossil-fuel consumption has been investigated in 28 provinces of Iran from 2002 to 2016. The empirical results showed that convergence clubs and neighbors significantly influenced the transition probability of regions to clubs with high and low CO₂ emissions. Therefore, if a province had a neighbor with low (high) CO₂ emissions intensity, the transition probability of this province to the club with low (high) CO₂ intensity increased. Therefore, in provinces that have neighbors with low (high) CO₂ emissions intensity, the transition probability to the club with low (high) CO₂ intensity increases.

Uncertainty measures and inflation dynamics in selected global players: a wavelet approach

This study investigates the dynamic relationship between economic policy uncertainty (EPU), geopolitical risks (GPR), the interaction of EPU and GPR (EPGR), and inflation in the USA, Canada, the UK, Japan, and China. We employ the continuous wavelet transform (CWT) to track the evolution of model variables and the wavelet coherence (WC) to examine the co-movement and lead-lag status of the series across different frequencies and time. To strengthen the WC, we apply the multiple wavelet coherence (MWC) to determine how good the linear combination of independent variables co-moves with inflation across various time-frequency domains. The CWT reveals heterogeneous characteristics in the evolution of each variable across frequencies. Inflation across samples shows strong variance in the short-term and medium-term while the volatility fizzles out in the long-term. For the explanatory variables, a similar pattern holds for EPU except for Japan and China, where coherence is evident in the short-term. The USA's and Canada's GPR reveal strong coherence in the short- and medium-term. Also, the UK and China reflect strong coherence in the short-term but weak significance in the medium-term, while Japan's GPR reflects only strong coherence in the short-term. The EPGR shows strong variation in the short-and-medium-term in the samples except in China. The WC's phase-difference reflects bidirectional causalities and switches in signs among series across different scales and periods in the samples, while the MWC reveals the combined intensity, strength, and significance of both EPU and GPR in predicting inflation across frequency bands among the countries. Findings also show significant co-movement among series at date-stamped periods, corroborating critical global events such as the Asian financial crisis, Global financial crisis, and COVID-19 pandemic. The paper has policy implications.

Investigation of economic and financial determinants of carbon emissions by panel quantile regression analysis: the case of Visegrád countries

This study determines the impacts of gross domestic product, domestic bank credits given to private sector, and military expenditures on carbon emissions based on 1990-2019 time period. The panel quantile regression approach is applied for the Visegrád group countries. Our empirical results reveal that domestic bank credit given to private sector has a positive and meaningful impact on carbon emissions at medium and high quantile levels. On the other hand, it has been determined that gross domestic product has a reducing impact on carbon emissions, but military expenditures have an increasing impact on carbon emissions. Besides, as consequences of such tests, the difference between the quantiles, that is, the heterogeneous structure was revealed. A separate model was created with a different panel quantile approach for robustness control, and the results were compared by giving different values to penalty term. These results provide strong evidence for decision-makers and implementers.

COVID-19 pandemic's impact on intraday volatility spillover between oil, gold, and stock markets

This study examines the volatility spillovers between the US stock market (S&P500 index) and both oil and gold before and during the global health crisis (GHC). We apply the FIAPARCH-DCC model to the 15-minute intraday data. The results showed negative (positive) conditional correlations between the S&P500 and gold (oil). The time-varying conditional correlations between markets were higher during COVID-19 spread. Moreover, gold offers more diversification gains than oil does during the pandemic. Hedging is more expensive during a pandemic than before. Oil provides higher hedging effectiveness (HE) than gold for all sub-periods. HE was lower during the COVID-19 outbreak for both oil and gold. These findings have important implications for both equity investors and policymakers.

Impacts of COVID-19 outbreak, macroeconomic and financial stress factors on price spillovers among green bond

We examine the impacts of the COVID-19 pandemic and global risk factors on the upside and downside price spillovers of MSCI global, building, financial, industrial, and utility green bonds (GBs). Using copulas, CoVaR, and quantile regression approaches, we show symmetric tail dependence between MSCI global GB and both building and utility GBs. Moreover, the upper tail dependence between MSCI global GB and financial GB intensified during COVID-19. We find asymmetric risk spillovers from MSCI global GB to the remaining GBs. Finally, the COVID-19 spread, the Citi macro risk index, and the financial condition index contribute positively to the quantiles' risk spillovers. The spillover index method shows significant dynamic volatility spillovers from global GB to GB sectors that intensify during the pandemic outbreak, except for financial GB. The causality-in-mean and in-variance from COVID-19, Citi macro risk index, and US financial condition index to the downside and upside spillover effects are sensitive to quantiles.

Renewable energy-economic growth nexus revisited for the USA: do different approaches for modeling structural breaks lead to different findings?

It can be observed from the existing energy literature the previous papers investigating the influence of renewables consumption on GDP for the USA commonly ignore structural breaks in the US economy. Hence, the purpose of this paper is to examine the impact of renewable energy consumption on economic growth for the USA using quarterly data over the period 1977Q1-2019Q3 through unit root and cointegration methods based on different approaches in modelling structural breaks. Our empirical evidence confirms that all unit root tests give similar outputs and show all the variables become stationary at 1st differences. Besides, cointegration tests show highly different results in terms of the statistical significance of the coefficients. For instance, the cointegration test without structural breaks indicates that renewable energy consumption has no impact on economic growth. With sharp structural breaks in the cointegration approach, there is no cointegration between the variables. The empirical findings of the cointegration test with sharp and gradual breaks imply that renewable energy consumption has positive effects on economic growth. This paper discusses the implications of the empirical findings.

Liquidity connectedness in cryptocurrency market

We examine the dynamics of liquidity connectedness in the cryptocurrency market. We use the connectedness models of Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012) and Baruník and Křehlík (J Financ Econom 16(2):271-296, 2018) on a sample of six major cryptocurrencies, namely, Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH), Ripple (XRP), Monero (XMR), and Dash. Our static analysis reveals a moderate liquidity connectedness among our sample cryptocurrencies, whereas BTC and LTC play a significant role in connectedness magnitude. A distinct liquidity cluster is observed for BTC, LTC, and XRP, and ETH, XMR, and Dash also form another distinct liquidity cluster. The frequency domain analysis reveals that liquidity connectedness is more pronounced in the short-run time horizon than the medium- and long-run time horizons. In the short run, BTC, LTC, and XRP are the leading contributor to liquidity shocks, whereas, in the long run, ETH assumes this role. Compared with the medium term, a tight liquidity clustering is found in the short and long terms. The time-varying analysis indicates that liquidity connectedness in the cryptocurrency market increases over time, pointing to the possible effect of rising demand and higher acceptability for this unique asset. Furthermore, more pronounced liquidity connectedness patterns are observed over the short and long run, reinforcing that liquidity connectedness in the cryptocurrency market is a phenomenon dependent on the time-frequency connectedness.

Examining the temporal impact of stock market development on carbon intensity: Evidence from South Asian countries

The growing size of stock market in the South Asian countries might have contributed to raising the level of industrial production and energy consumption. This upturned energy usage might have widened the scope for carbon emissions because these nations heavily rely on fossil fuels. In this milieu, therefore, in the present study, we assessed the impacts of stock market development, per capita income, trade expansion, renewable energy solutions, and technological innovations on carbon intensity in the four South Asia countries from 1990 to 2016. The empirical results based on the CS-ARDL approach revealed that stock market development, per capita income, and trade expansion invigorated carbon intensity in the South Asian countries. On the contrary, the increased usage of renewable energy solutions and technological advancement helped in reducing the energy-led carbon intensity. Further, the interaction of stock market with renewable energy, and subsequently with technological advancement delivered insignificant coefficients, which indicates the inefficacy of renewable energy and technological advancement in regulating stock market-led carbon intensity during the study period. Therefore, by considering the need for complementarity between economic growth and environmental targets, we proposed a multipronged policy framework, which may help the selected countries to attain the Sustainable Development Goals, with a special focus on SDG 7, 8, 9, and 13.

Does energy consumption reinforce environmental pollution? Evidence from emerging Asian economies

Steadily improving per capita income level, energy consumption, and delivery of financial services in South and Southeast Asian countries has remained a subject of discussion among policymakers. Because these endeavors have not only elevated their growth trajectory but also widened the scope for carbon emissions, especially in the preceding two decades. In order to confirm this argument, therefore, in the present study, we intended to examine their dynamic impacts on carbon emissions. In this pursuit, by using the second-generation unit-root test, cointegration test, and panel regression procedures, we investigated the moderating impact of energy solutions on the association between per capita income and CO₂ emissions and financial development and CO₂ emissions from 1976 to 2015. The computed results revealed that the energy's interaction with the linear per capita income significantly escalated carbon emissions in the long run. However, the impact of energy's interaction with the squared per capita income on carbon emissions is found insignificant but positive in the long run. On the other hand, the interaction of energy with financial development provided a negative but insignificant coefficient. Based on the outcomes, we can ascertain that, at the lower level of income, energy consumption leads to environmental pollution, whereas at the higher level of income, its harmful effect on carbon emissions becomes weak in the given regions. By taking a cue from the computed results, we proposed a policy framework that might help these regions to navigate the energy-led environmental challenges in the coming years.

Gold and US sectoral stocks during COVID-19 pandemic

In this study, we examine the hedging relationship between gold and US sectoral stocks during the COVID-19 pandemic. We employ a multivariate volatility framework, which accounts for salient features of the series in the computation of optimal weights and optimal hedging ratios. We find evidence of hedging effectiveness between gold and sectoral stocks, albeit with lower performance, during the pandemic. Overall, including gold in a stock portfolio could provide a valuable asset class that can improve the risk-adjusted performance of stocks during the COVID-19 pandemic. In addition, we find that the estimated portfolio weights and hedge ratios are sensitive to structural breaks, and ignoring the breaks can lead to overestimation of the hedging effectiveness of gold for US sectoral stocks. Since the analysis involves sectoral stock data, we believe that any investor in the US stock market that seeks to maximize risk-adjusted returns is likely to find the results useful when making investment decisions during the pandemic.

Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies

This study examines the connectedness between the US yield curve components (i.e., level, slope, and curvature), exchange rates, and the historical volatility of the exchange rates of the main safe-haven fiat currencies (Canada, Switzerland, EURO, Japan, and the UK) and the leading cryptocurrency, the Bitcoin. Results of the static analysis show that the level and slope of the yield curve are net transmitters of shocks to both the exchange rate and its volatility. The exchange rate of the Euro and the volatility of the Euro and the Canadian dollar exchange rate are net transmitters of shocks. Meanwhile, the curvature of the yield curve and the Japanese Yen, Swiss Franc, and British Pound act mainly as net receivers. Our static connectedness analysis shows that Bitcoin is mainly independent of shocks from the yield curve's level, slope, and curvature, and from any main currency investigated. These findings hint that Bitcoin might provide hedging benefits. However, similar to the static analysis, our dynamic analysis shows that during different periods and particularly in stressful times, Bitcoin is far from being isolated from other currencies or the yield curve components. The dynamic analysis allows us to observe Bitcoin's connectedness in times of stress. Evidence supporting this contention is the substantially increased connectedness due to policy shocks, political uncertainty, and systemic crisis, implying no empirical support for Bitcoin's safe-haven property during stress times. The increased connectedness in the dynamic analysis compared with the static approach implies that in normal times and especially in stressful times, Bitcoin has the property of a diversifier. The results may have important implications for investors and policymakers regarding their risk monitoring and their assets allocation and investment strategies.

Trade openness and CO2 emanations: a heterogeneous analysis on the developing eight (D8) countries

The focus of this exploration was to examine the linkage between trade openness and CO2 effusions in the developing eight (D8) countries. An unbalanced panel dataset spanning the period 1990 to 2016 was employed for the study's analysis. From the results, the studied panel was heterogeneous and cross-sectionally correlated. Also, all the series gained stationarity after first difference and were materially cointegrated in the long run. The elastic effects of the input variables on the output variable were explored through the DCCEMG estimator, with the support of the AMG and the CCEMG estimators. From the results, trade openness increased CO2 emanations in the D8. Also, economic growth, energy consumption, and financial development promoted CO2 secretions in the nations; however, foreign direct investments mitigated the excretion of CO2 in the countries. On the causal connections amid the series, there was a bidirectional causality between trade openness and CO2 emanations. Also, a one-way causal movement from energy consumption, foreign direct investments, and financial development to CO2 effluents was discovered. Based on the findings, it was recommended among others that effective trade policies that could enhance the transfer of cleaner technologies to the countries should be formulated.

Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak

The Covid-19 crisis has been spread rapidly throughout the world so far. However, how deep and long the turbulence would depend on the success of solutions taken to deter the spread of Covid-19, the impacts of government policies may be prominent to alleviate the current crisis. In this article, we investigate the spillover effects and time-frequency connectedness between S&P 500, crude oil prices, and gold asset using both the spillover index of Diebold and Yilmaz (2012) and the wavelet coherence to evaluate whether the time-varying dynamic return spillover index exhibited the intensity and direction of transmission during the Covid-19 outbreak. Overall, the present results shed light on that in comparison with the pre-Covid-19 period, and the return transmissions are more apparent during the Covid-19 crisis. More importantly, there exist significant dependent patterns about the information spillovers among the crude oil, S&P 500, and gold markets might provide significant implications for portfolio managers, investors, and government agencies.

Impacts of COVID-19 outbreak on the spillovers between US and Chinese stock sectors

This paper examines the impacts of COVID-19 outbreak on the spillover between ten US and Chinese equity sectors. We use Copula and Conditional Value at Risk approaches. The results show evidence of asymmetric tail dependence during the COVID-19 outbreak with the exception of the Utilities sector, where a symmetric tail dependence is found. Moreover, we find time-varying bidirectional asymmetric risk spillovers from the US to China and vice versa. The risk spillover is higher from the US to China before COVID-19 and from China to the US during COVD-19 spread, which is significantly intensified between March 2020 and April 2020.

Exploring the relationships among innovation, financial sector development and environmental pollution in selected industrialized countries

The Paris Climate Conference commits countries to contribute to reducing global warming through a Nationally Determined Contributions (NDCs) which implore on countries to reduce emissions for improved environmental quality. Recognizing the importance of innovation and financial sector development to environmental quality, several countries have embarked on identifying ways to improve environmental quality. However, studies on the tripartite linkages among innovation, financial development and pollution relationships have produced mixed findings. Furthermore, a plethora of the existing studies have relied on only carbon dioxide (CO₂) emissions thus neglecting other anthropogenic activities which impact on the environment. More tellingly, how countries' levels of innovation moderate financial development-pollution link is yet to be studied. By relying on data from 27 selected industrialized countries spanning 1991-2014 in examining the tripartite relationships, we find that, while innovation lowers environmental pollution, beyond a certain threshold level, higher innovation exacerbates environmental degradation. Furthermore, while improved financial development increases pollution, higher innovation dampens the environmental quality-reducing effect of finance. Results from our panel causality tests also reveal a feedback causal linkage between innovation and ecological footprint, and a one-way causality from CO₂ emissions to innovations. However, irrespective of the indicator of environmental pollution, financial development and pollution evolve independently, albeit differences at the country levels.

Assessing the safe haven property of the gold market during COVID-19 pandemic

This study examines the safe haven prowess of gold against some exogenous shocks due to the COVID-19 pandemic. We further make a comparison of our findings with those obtained for the period before it. Our results confirm the potential of gold market to serve as a safe haven during the pandemic albeit with a higher effectiveness before the pandemic. Further results suggest that gold consistently offers better safe haven properties than the US stocks as well as other precious metals like Silver, Palladium and Platinum regardless of the period. Finally, we find that the predictive model that accounts for uncertainties outperforms the benchmark model that ignores the same both for the in- and out-of-sample forecast analyses.

Asymmetric efficiency of cryptocurrencies during COVID19

In this study, we examine the asymmetric efficiency of cryptocurrencies using 1-hour data of Bitcoin, Ethereum, Litecoin, and Ripple. In doing so, we utilize the asymmetric multifractal detrended fluctuation analysis (MF-DFA). We find significant asymmetric multifractality in the price of cryptocurrencies and that upward trends exhibit stronger multifractality than downward trends. Using the time-varying deficiency measure, we show that the COVID-19 outbreak adversely affected the efficiency of the four cryptocurrencies, given a substantial increase in the levels of inefficiency during the COVID-19 period. Bitcoin and Ethereum are the hardest hit, and at the same time, these two largest cryptocurrencies recovered faster at the end of March 2020 from their sharp dip towards inefficiency. The findings confirm previous evidence that market efficiency is time varying; also, unprecedented catastrophic events, such as the COVID-19 outbreak, have adverse effects of on the efficiency of leading cryptocurrencies.

Hedging oil price risk with gold during COVID-19 pandemic

This paper assesses the role of gold as a safe haven or hedge against crude oil price risks. We employ the asymmetric VARMA-GARCH model, using daily data from January 2016 to August 2020. To account for the impact of COVID-19 pandemic, we partitioned the data into two to reflect the periods before and during the pandemic. Our empirical results find gold as a significant safe haven against oil price risks. The optimal portfolio and hedging analyses conducted also validate the hedging effectiveness of gold against risk associated with oil. The robustness of our results is further confirmed using three other prominent precious metals - silver, platinum, and palladium. In sum, our results are useful for investors and portfolio managers that are desirous of using gold and other precious metals as portfolio rebalancing tools to minimize or circumvent risks associated with volatile oil returns.

Predictors of carbon emissions: an empirical evidence from NAFTA countries

This study examined the predictors of carbon emissions in member countries of the North American Free Trade Agreement (NAFTA). Panel models robust to cross-sectional dependence and slope heterogeneity were used for the study. From the heterogeneity and cross-sectional dependence tests, the studied panel was heterogeneous and cross-sectionally dependent. Also, the unit root and cointegration tests established the series to be first differenced stationary and cointegrated in the long run. Additionally, results of the CCEMG regression estimator in the whole panel affirmed economic growth (GDP) to be a significantly positive predictor of CO₂ emissions, while foreign direct investments (FDI) and population growth (POP) were trivial determinants of CO₂ emissions. The discoveries were however diverse in the individual countries. Finally, there was no causality between GDP and CO₂ emissions and between POP and CO₂ emissions. However, there was a one-way causality from CO₂ emissions to FDI. Policy recommendations are further discussed.

Globalization, sustainable development, and variation in cost of power plant technologies: A perspective of developing economies

This study evaluates the sustainable power plant cost in the outlook of global power plant efficiency to reduce fossil fuel dependency and greenhouse gas emissions. For this purpose, the Global Change Assessment Model (GCAM) applied for conducting the cost assessment of power zone technologies for all principal electricity generation. This study considers the characteristics of essential factors (cement, price of resources, possible increases in employees, and metals) that affect costs. This study suggests that the cost of electricity-generating technologies significantly affects growth efficiency, reduction in production cost, and improving environmental conditions. It also suggests that the cost of electricity-generating technologies, combined with technology mixture, is the key factor behind replacing existing technology in the electricity sector. EPRI cost assessments expanded by around 30% and 50% during 2015-2016. Factors like competition amongst power plant owners, the ambiguous marketplace, production procedures, and lack of environment-related strategies have resulted in massive environmental degradation in developing economies like Pakistan. Based on empirical findings, this study recommends designing efficient technologies, which would reduce power plant costs and ensure vertical prospects related to environmental conditions in the future.

Dynamic heterogeneous analysis of pollution reduction in SANEM countries: lessons from the energy-investment interaction

This scientific enquiry examines the role of capital investment in the energy-pollution model in SANEM countries. The methodology is based on the Pooled Mean Group (PMG), which is appropriate for a heterogeneous panel. Findings reveal that energy use negatively impacts CO₂ emissions in Algeria, South Africa, Morocco, and the panel, in the short-run; however, it positively impacts CO₂ pollution in Nigeria, Egypt, and the panel, in the long-run. Again, investment exerts a positive effect on CO₂ in South Africa and Algeria, whereas it is negative in Nigeria, Egypt, and Morocco. Capital investment also expands short-run pollution in the panel, but it reduces long-run pollution. Lastly, the energy-investment interaction reduces the panel's CO₂ pollution in the short-run and long-run, as well as, in Morocco, Egypt, Nigeria, and South Africa, except in Algeria. Thus, we conclude that capital investment is crucial in the energy-pollution nexus and suggest cooperation in attracting low-carbon emitting investments to the region.

Assessing energy security in Africa based on multi-dimensional approach of principal composite analysis

The concept of energy security has become an increasingly challenging issue in Africa, forcing energy-deficient countries to forge mutual partnerships with energy sufficient countries to access it for their domestic consumption. This study formulates a composite index of energy security in Africa as well as evaluates its impacts and trends using a sample of 28 countries on the continent, during the 2000-2018 period by using a principal composite factor analysis (PCA), with the series of 13 variables. Further interpretation was carried out using these tests: Kaiser-Meyer-Olkin measure of sampling adequacy and Bartlett's test of sphericity, Pearson correlation test, and Cronbach's alpha test. The key results show a trend of energy insecurity among the countries studied, as energy imports loads high in most countries as well as per capita emission, together with fossil fuel source consumption correlating high. These results validate the stark reality on the African continent. The inference from the results of the anaylsis conclude that the principal component analysis (PCA) results of the energy index were considered fit and reliable for the analysis, with the most important Cronbach's alpha test coefficient of 0.8797, far above the standard 0.6 model reliability level. Based on this study, the paper proffers there should be increased intra-regional trading of energy among the various power pools on the continent and increased regional renewable energy investments as well as investment in energy infrastructure, measures to reduce electricity system losses, environmental sustainability, and the adoption of energy in efficiency on the continent.

Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices

This paper examines the impacts of COVID-19 on the multifractality of gold and oil prices based on upward and downward trends. We apply the Asymmetric Multifractal Detrended Fluctuation Analysis (A-MF-DFA) approach to 15-min interval intraday data. The results show strong evidence of asymmetric multifractality that increases as the fractality scale increases. Moreover, multifractality is especially higher in the downside (upside) trend for Brent oil (gold), and this excess asymmetry has been more accentuated during the COVID-19 outbreak. Before the outbreak, the gold (oil) market was more inefficient during downward (upward) trends. During the COVID-19 outbreak period, we see that the results have changed. More precisely, we find that gold (oil) is more inefficient during upward (downward) trends. Gold and oil markets have been inefficient, particularly during the outbreak. The efficiency of gold and oil markets is sensitive to scales, market trends, and to the pandemic outbreak, highlighting the investor sentiment effect.

Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns

Stock return predictability has always been one of the central themes of finance literature, given its crucial implications for investment decisions, risk management, and financial and monetary policymaking. This paper evaluates the in-sample and out-of-sample stock return predictive power of the global and Saudi geopolitical risk indices and crude oil returns in the context of six Gulf Cooperation Council (GCC) countries. Monthly data from February 2007 to December 2019 and the feasible generalized least square (FGLS) estimator for predictive modelling by Westerlund and Narayan (2012, 2015) are used. Global and Saudi GPR indices show weak evidence of in-sample predictability of excess stock returns. However, the out-of-sample forecasts show that only the global geopolitical risk index provides superior prediction in the context of Kuwaiti and Omani stock markets, compared to the historical average benchmark model. Crude oil prices are shown to be a better predictor in most cases, in both in-sample and out-of-sample forecast models The results imply that crude oil returns can be used for active prediction of GCC stock market returns, once econometric issues are accounted for. The findings remain mostly unaffected when excess risk adjusted returns are used.

COVID-19 and oil market crash: Revisiting the safe haven property of gold and Bitcoin

The global crude oil market has experienced a significant downturn following the novel coronavirus outbreak (COVID-19) in December 2019. Thereafter, all the major oil markets have become extremely volatile, and investments in these markets could lead to substantial losses. This paper empirically investigates the time-varying correlations between gold and oil markets to examine whether gold is a safe haven asset for the international crude oil markets during the COVID-19 period. For the purpose of comparison, the safe haven property of Bitcoin is tested as well. The results of the time-varying correlations obtained through the DCC-GARCH model suggest that gold is a safe haven asset for global crude oil markets. Bitcoin, on the other hand, acts only as a diversifier for crude oil. The results further show that the portfolio risk is minimized when investors include oil and gold in their portfolio rather than holding assets in oil and Bitcoin markets. Given that financial downturn, terrorist attacks, pandemics and similar global events often play a crucial role in portfolio risk analysis, our results could be of interest to those who invest in oil, gold and Bitcoin markets.

Predicting stock returns in the presence of COVID-19 pandemic: The role of health news

This study derives its motivation from the current global pandemic, COVID-19, to evaluate the relevance of health-news trends in the predictability of stock returns. We demonstrate this by using data covering top-20 worst-hit countries, distinctly in terms of reported cases and deaths. The results reveal that the model that incorporates health-news index outperforms the benchmark historical average model, indicating the significance of health news searches as a good predictor of stock returns since the emergence of the pandemic. We also find that accounting for "asymmetry" effect, adjusting for macroeconomic factors and incorporating financial news improve the forecast performance of the health news-based model. These results are consistently robust to data sample (both for the in-sample and out-of-sample forecast periods), outliers and heterogeneity.

The long-run and short-run influence of environmental pollution, energy consumption, and economic activities on health quality in emerging countries

This study investigates the effect of energy utilization, greenhouses gasses emissions, and economic activities on health risks such as mortality rate and incidence of respiratory diseases in emerging Asian economies. The study analyzes a panel data from 1995 to 2018 to examine the long-run and short-run influence of environmental pollution on health issues. The empirical findings highlight that greenhouse gasses emissions, fossil fuel consumption, and natural resources depletion in the region are key factors to increasing health risks in the long-run period, while the use of clean energy and improvement in per capita economic growth is helping to improve the health status of the households. In a short period, greenhouse gasses emission is the only significant factor responsible for the high mortality rate and occurrence of respiratory diseases in the emerging economies of Asia. According to the results, there is a need for government intervention programs to rescue the region from the negative effects of environmental pollution and the utilization of nonrenewable energy. In emerging Asian countries, the combustion of fossil fuels, environmental pollution, and limited access to clean energy are such factors responsible for high mortality rate and stimulating incidence of respiratory diseases in the individuals. The study suggests that alternative green energy can prove helpful to control greenhouse gasses emissions and to control health issues by improving environmental quality. The study further suggests that the use of clean energy from water, wind, and sunlight may prove helpful to meet the energy requirement at the domestic level and improve the health status of the individuals by reducing the incidence of respiratory diseases in emerging countries of Asia.

Globalization and carbon emissions: Is there any role of agriculture value-added, financial development, and natural resource rent in the aftermath of COP21?

Keeping in view the catastrophic effects of environmental degradation, G7 countries agree to implement the policy recommendations of the famous Paris Climate Agreement (COP21) in 2015; carbon dioxide (CO₂) emissions are increasing in G7 countries, which is a severe threat for the environment of the world. This study examines the effects of economic globalization on environmental degradation (CO₂ emissions) for G7 countries for the period of 1996-2017. We further examine the role of financial development, agriculture value-added, and natural resources in the relationship between economic globalization and CO₂ emissions. This study contributes to the existing literature by providing new empirical evidence on how economic globalization, along with financial development, agriculture value-added, and natural resources affect CO₂ emissions in G7 economies. This study utilizes novel econometric techniques such as CS-ARDL for short-run and long-run results of the empirical analysis. The empirical findings show that economic globalization, financial development, and natural resources increase carbon emissions. In contrast, agriculture value-added decreases carbon emissions. This study suggests that policies designed for controlling carbon emissions should be absorbed in approximately more than one year.

Does communicable diseases (including COVID-19) may increase global poverty risk? A cloud on the horizon

Coronavirus epidemic can push millions of people in poverty. The shortage of healthcare resources, lack of sanitation, and population compactness leads to an increase in communicable diseases, which may increase millions of people add in a vicious cycle of poverty. The study used the number of factors that affect poverty incidence in a panel of 76 countries for a period of 2010-2019. The dynamic panel GMM estimates show that the causes of death by communicable diseases, chemical-induced carbon and fossil fuel combustion, and lack of access to basic hand washing facilities menace to increase poverty headcounts, whereas, an increase in healthcare expenditures substantially decreases poverty headcounts across countries. Further, the results show the U-shaped relationship between economic growth and poverty headcounts, as economic growth first decreases and later increase poverty headcount due to rising healthcare disparities among nations. The causality estimates show that lack of access to basic amenities lead to increase of communicable diseases including COVID-19 whereas chemical-induced carbon and fossil fuel emissions continue to increase healthcare expenditures and economic growth in a panel of selected countries. The rising healthcare disparities, regional conflicts, and public debt burden further 'hold in the hand' of communicable diseases that push millions of people in the poverty trap.

Relationship between energy demand, financial development, and carbon emissions in a panel of 101 countries: "go the extra mile" for sustainable development

The objective of the study is to examine the impact of energy demand on carbon emissions in mediation of financial development and economic growth in a panel of 101 countries by using the time series data from 1995 to 2018. The study employed dynamic GMM estimator in order to reduce possible endogeneity in the given model. Further, the study used Granger causality and innovation accounting matrix (IAM) to find the causal relationships and variance error shocks between the variables. The results show that energy demand and FDI inflows increase carbon emissions, while financial development decreases carbon emissions across countries. Moreover, the results confirmed the inverted U-shaped relationship between income and emissions with a turning point of US$43,500. Among 101 countries, only 13 countries hold environmental Kuznets curve (EKC) hypothesis as their per capita income surpassed the stated turning point, while the remaining countries exhibit "race to the bottom" hypothesis. The feedback relationship is established between (i) income and carbon emissions, (ii) money supply and carbon emissions, and (iii) FDI inflows and energy demand across countries, whereas one-way linkages found in (i) carbon emissions to money supply, (ii) energy demand to money supply, (iii) money supply to FDI inflows and income, and (iv) energy demand to income across countries. The IAM analysis shows that energy demand, FDI inflows, and money supply will likely to increase carbon emissions, while money supply will decrease carbon emissions over a time horizon.

Innovative strategies and corporate profitability: the positive resources dependence from political network

This research investigates the join effects of political network and innovation strategies on corporate profitability. By using the qualified survey sample of over 2600 firms, located in around 10 provinces of Vietnam, during the 10 year from 2005 to 2015 of UN-WIDER, the results reveal that the political network, estimated from number of political connection and the time of interaction, has significantly mitigated the innovative activities' inefficiency toward firm's performance that it can positively foster the innovative capacity, then encourage more profit margin. However, the study figured out that innovative activities by itself, in the small-medium enterprise, is not good for corporate performance even three different aspects of new products, improvement, or new technology. Indeed, this issue is also the same for political connection as increasing more number of political contacts or time of interaction, the firm's value will be more detrimental.