273 research outputs found
Extreme risk dependence between green bonds and financial markets
No full textThe current study investigates the extreme risk dependence between green bonds and financial markets by employing the dual approaches of time-varying optimal copula and extreme risk spillover analysis of dynamic conditional Value-at-Risk. We report significant symmetric (asymmetric) tail-dependent copulas in the upper (lower) tails characterizing independent regimes. Green bonds offer sufficient diversification, safe-haven, and hedging opportunities during stable and distressing times to financial markets. The extreme risk spillovers revealed that COVID-19 transformed the spillovers between green bonds and financial markets except Bitcoin. We proposed insightful implications for policymakers, governments, investors, and portfolio managers to relish the findings for their investment avenues.</p
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Stylized facts of intraday precious metals
No full textThis paper examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency for gold, silver, platinum and palladium from May 2000 to April 2015. We study the full sample period, as well as three subsamples to determine how high-frequency data of precious metals have developed over time. We find that over the full sample, the number of trades has increased substantially over time for each precious metal, while the bid-ask spread has narrowed over time, indicating an increase in liquidity and price efficiency. We also find strong evidence of periodicity in returns, volatility, volume and bid-ask spread. Returns and volume both experience strong intraday periodicity linked to the opening and closing of major markets around the world while the bid-ask spread is at its lowest when European markets are open. We also show a bilateral Granger causality between returns and volatility of each precious metal, which holds for the vast majority subsamples.<br/
The effects of central bank digital currencies news on financial markets
No full textBased on coverage of over 660m news stories from LexisNexis News \& Business between 2015–2021, we provide two new indices around the growing area of Central Bank Digital Currency (CBDC): the CBDC Uncertainty Index (CBDCUI) and CBDC Attention Index (CBDCAI). We show that both indices spiked during news related to new developments in CBDC and in relation to digital currency news items. We demonstrate that CBDC indices have a significant negative relationship with the volatilities of the MSCI World Banks Index, USEPU, and the FTSE All-World Index, and positive with the volatilities of cryptocurrency markets, foreign exchange markets, bond markets, VIX, and gold. Our results suggest that financial markets are more sensitive to CBDC Uncertainty than CBDC Attention as proxy by these indices. These findings contain useful insights to individual and institutional investors, and can guide policymakers, regulators, and the media on how CBDC evolved as a barometer in the new digital-currency era
COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs
No full textDid Covid19 induce market turmoil and impact the intraday volatility spillovers between energy and other ETFs? To examine this, we first estimate the realized volatility of ETFs using the 5-minute high-frequency data. Next, we employ time-varying parameter vector autoregressions (TVP-VAR). Finally, we utilize the wavelet coherence measure to test the time-frequency impact of COVID-induced sentiment on the spillovers by employing investors’ psychological and behavioural factors. We find that oil and stock markets are net transmitters while currency, bonds, and silver markets are net receivers. The wavelet analysis embarked significant impact of media coverage and fake news index towards shaping investors’ pessimism for their investments. We proposed useful implications for policymakers, governments, investors, and portfolio managers
The Financial Economics of White Precious Metals - A Survey
No full textThis article provides a review of the academic literature on the financial economics of silver, platinum and palladium. The survey covers the findings on a wide variety of topics relation to the White Precious Metals including Market Efficiency, Forecastability, Behavioral Findings, Diversification Benefits, Volatility Drivers, Macroeconomic Determinants, and their relationships with other assets
The cryptocurrency uncertainty index
No full textWe develop and make available a new Cryptocurrency Uncertainty Index (UCRY) based on news coverage. Our UCRY Index captures two types of the uncertainty: cryptocurrency price uncertainty (UCRY Price) and cryptocurrency policy uncertainty (UCRY Policy). We show that the constructed index has distinct movements around major events in cryptocurrency space. We suggest that this index captures uncertainty beyond Bitcoin, and can be used for academic, policy, and practice-driven research
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Does intraday technical trading have predictive power in precious metal markets?
No full textPrevious research has identified that investors place more emphasis on technical analysis than fundamental analysis, however the research has largely been confined to daily data and stock market indices. This paper studies whether intraday technical trading rules have any significant predictive power in the precious metals market through three popular moving average rules. We find that using the standard parameters previously used in the literature, technical trading rules offer no predictive power whatsoever. However after utilising a universe of parameters, we find a number of parameter combinations offer significant predictability in the gold market, but there remains no significant predictability in the silver market. Our results show that the longer parameters of the technical trading rules are more successful than the traditional parameters chosen in the literature. Therefore intraday technical trading rules have some predictive power in the gold market but offer no significant predictability in the silver market
The determinants of IPO withdrawal – Evidence from Europe
No full textWhy do companies not follow through with an IPO after filing for one? This question is investigated by examining common stock IPOs for the largest countries in Europe. We cover 80% of the Western European IPO market over the 2001–2015 period. We establish that the IPO phenomenon of withdrawal is a common feature of equity markets and identify key characteristics that influence the probability of withdrawal. Findings indicate that venture capital or private equity involvement, the presence of negative news, CEO duality, or the intent to retire debt increase the probability of IPO withdrawal. On the other hand, higher levels of corporate governance or trading volume decrease the pssrobability of IPO withdrawal. We argue that imminent agency conflicts and the lack of appropriate control mechanisms can force a company to withdraw from the IPO
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Cryptocurrencies as a financial asset: a systematic analysis
No full textThis paper provides a systematic review of the empirical literature based on the major topics that have been associated with the market for cryptocurrencies since their development as a financial asset in 2009. Despite astonishing price appreciation in recent years, cryptocurrencies have been subjected to accusations of pricing bubbles central to the trilemma that exists between regulatory oversight, the potential for illicit use through its anonymity within a young under-developed exchange system, and infrastructural breaches influenced by the growth of cybercriminality. Each influences the perception of the role of cryptocurrencies as a credible investment asset class and legitimate of value
Discretionary impacts of the risk management committee attributes on firm performance: do board size matter?
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