1,720,965 research outputs found
The impact of TV-based policy uncertainty on dynamic connectedness among different asset classes
No full textThis study examines the role of cable-based economic policy uncertainty (TV-EPU) in predicting the dynamic interconnectedness among various asset classes. Initially, a quantile-based vector autoregressive (QVAR) connectedness approach is employed to calculate the systemic risk spillovers during different market states. Then, a time-varying causality approach is used to examine whether TV-EPU can predict dynamic risk spillovers across different asset classes under various market conditions. Our results show that the TV-EPU index effectively predicts connectedness under both average and extreme market conditions. This finding highlights the importance of a readily available measure for monitoring systemic risk spillovers among financial assets, providing valuable insights for informed investment decisions and effective risk monitoring
Time-varying spillovers in high-order moments among cryptocurrencies
No full textAbstract This study uses high-frequency (1-min) price data to examine the connectedness among the leading cryptocurrencies (i.e. Bitcoin, Ethereum, Binance, Cardano, Litecoin, and Ripple) at volatility and high-order (third and fourth orders in this paper) moments based on skewness and kurtosis. The sample period is from February 10, 2020, to August 20, 2022, which captures a pandemic, wartime, cryptocurrency market crashes, and the full collapse of a stablecoin. Using a time-varying parameter vector autoregressive (TVP-VAR) connectedness approach, we find that the total dynamic connectedness throughout all realized estimators grows with the time frequency of the data. Moreover, all estimators are time dependent and affected by significant events. As an exception, the Russia–Ukraine War did not increase the total connectedness among cryptocurrencies. Analysis of third- and fourth-order moments reveals additional dynamics not captured by the second moments, highlighting the importance of analyzing higher moments when studying systematic crash and fat-tail risks in the cryptocurrency market. Additional tests show that rolling-window-based VAR models do not reveal these patterns. Regarding the directional risk transmissions, Binance was a consistent net transmitter in all three connectedness systems and it dominated the volatility connectedness network. In contrast, skewness and kurtosis connectedness networks were dominated by Litecoin and Bitcoin and Ripple were net shock receivers in all three networks. These findings are expected to serve as a guide for portfolio optimization, risk management, and policy-making practices
Pricing the accrual effect in an emerging market
Get PDFEmpirical finding that the stocks with low accruals return higher than the stocks with high accruals is one of the most prominent market anomalies documented in financial economics literature. Evidence from developed markets suggests that the Capital Asset Pricing Model (CAPM), three-factor (3 F) model with the factors of excess market return (r m- r f ), size (SMB) and value (HML) and five- factor (5 F) model with additional earnings-based profitability (RMW) and investment (CMA) factors cannot deflate the accrual effect. Recent evidence from the U.S. market suggests that accrual effect loses power when it is conditioned against a cash-based operating profitability factor. This paper investigates the accrual effect and its pricing for the stocks listed on Borsa Istanbul (BIST). Portfolio analysis reveals a significant accrual effect among the profitable stocks that gain strength when conditioned against CAPM. However, the 3 F model can deflate the accrual effect and different profitability factors, including cash-based operating profitability factor, and investment factor cannot improve its pricing or economic performance in an emerging market
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
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