Does foreign portfolio investment strengthen stock-commodity markets connection?

Ordu-Akkaya, Beyza Mina; Soytaş, Uğur

doi:10.1016/j.resourpol.2019.101536

Cited by 11 publications

(14 citation statements)

References 37 publications

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“…Generally, investors analyze the price of securities through two analysis techniques, namely basic analysis and technical analysis. Because their assumptions are often far from reality, they have only theoretical significance, and the effect of practical application is poor [7,8]. With the gradual establishment of chaos and fractal theory in the securities market, people began to use neural network to predict the changes of the securities market.…”

Section: Introductionmentioning

confidence: 99%

Research on Securities Portfolio Model Based on Genetic Optimization Neural Network

Zhang

2022

Security and Communication Networks

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Portfolio is an investment management concept different from individual asset management. This consideration leads to an interesting result, that is, investors should buy a variety of securities at the same time instead of one kind of securities for diversified investment. Aiming at the limitations of BPNN (BP neural network) in traditional artificial neural network and its shortcomings such as many iterations, low convergence accuracy, and poor generalization, a portfolio method based on GA_BPNN (Genetic Optimization Neural Network) was proposed. The setting of GA (genetic algorithm) parameters and BPNN parameters are discussed in detail, and the implementation steps of genetic BP algorithm are described. The results show that the evaluation indexes of GA_BPNN prediction model are obviously better than those of the comparison prediction model, with the coincidence rate of 77.96% and the average absolute error of 12.451. The combination of GA and BPNN can effectively solve this problem. The simulation results of optimizing securities portfolio show that its optimization scheme is better than quadratic programming method, and this method is more correct, efficient, and practical.

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Section: Introductionmentioning

confidence: 99%

Research on Securities Portfolio Model Based on Genetic Optimization Neural Network

Zhang

2022

Security and Communication Networks

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“…Kucher and Kurov (2014) identified that due to counter‐cyclical nature of energy commodities, basis has negative relationship with ADS index. Ordu‐Akkaya and Soytas (2020) used ADS index as a proxy for economic conditions. They identified as business conditions improves, signaled by ADS index, the connectedness and spillover between equity and commodity market increased due to more foreign portfolio investment in the US financial markets.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Prolonged trade war affects countries in significant ways and gets manifested through many macroeconomic, sentiment and trade‐related indicators. The ADS index is one of the 50 leading economic indicators (Constable & Wright, 2011) and has been used as proxy for economic and business conditions in various literatures focusing on the connectedness between commodity markets and economic conditions (Kucher & Kurov, 2014; Ordu‐Akkaya & Soytas, 2020; Prokopczuk et al, 2019). WEI, being a weekly published real economic activity index, effectively captures the sudden impact of economic policy, trade war or pandemic‐like situations on the overall economic condition (Lewis et al, 2020).…”

Section: Introductionmentioning

confidence: 99%

The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?

Bandyopadhyay

Rajib

2023

Journal of Futures Markets

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In 2018, the world witnessed a full-fledged trade war between United States and China with both countries levying successive tariffs on each other.Though the impact of trade war could be visibly assessed from declining export volume and rising bankruptcy filing from farmers, what went unnoticed was a far-reaching negative impact at a granular market microstructure level. In this study, the effect of trade war on the leading role of US soybean futures in price discovery has been evaluated. The results corroborate the negative impact of trade war on the information leadership share of US soybean futures market. Moreover, the results shows that the negative impact gets manifested through various sentiment indicators such as Google search trends, hedger's sentiment, and so on. Hence, trade war may have given some temporary economic and strategic benefit to the United States, but it is no less than the proverbial double-edged sword as it nearly killed the soybean market of the United States.

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“…To test Equation (9) against Equation ( 8), following Péguin-Feissolle and Terasvirta (1999) and later Péguin-Feissolle et al (2013) we linearize f Ã and increase the function form into a k th order Taylor series around an arbitrary sample space. After the approximation and re-parametrization of f Ã , we obtain:…”

Section: Nonlinear Causality Testsmentioning

confidence: 99%

“…Third, this study takes into account the impact of various economic and financial crises in driving the connectedness among United States and emerging stock markets. Finally, the study applies the Taylor-based nonlinear causality test proposed by Péguin-Feissolle and Terasvirta (1999) and Péguin-Feissolle et al (2013).The customary Granger linear causality tests ignore important nonlinear assumptions and significant nonlinear causal linkages between the underlying variables (Benhmad 2012;Tiwari et al, 2013) .On the contrary, Taylor-based nonlinear causality tests overcome these issues. Besides, Péguin-Feissolle et al (2013) argue that their test is relatively simple to estimate than nonparametric tests, and the test can work under weak assumptions than the conventional parametric tests.…”

Section: Introductionmentioning

confidence: 99%

Global factors and the transmission between United States and emerging stock markets

et al. 2022

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In this study, we examine the influence of global factors in driving connectedness among Unite States and emerging stock markets. For this purpose, we employ widely recognized approaches of and Barunik and Krehlik to estimate connectedness among the underlying markets in time‐frequency domains. Also, we use the tests proposed by Péguin‐Feissolle and Teräsvirta to examine the impact of global factors on the transmission relationship between United States and emerging stock markets utilizing the non‐linear causality tests. The findings validate the influential role of global factors in channeling overall total spillovers between United States and emerging stock markets. However, the results for individual emerging markets show some degree of heterogeneous impact of global factors in driving connectedness across different emerging stock markets. Our robustness results also confirm the main findings. Important implications of findings are discussed for portfolio managers and policymakers.

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Does foreign portfolio investment strengthen stock-commodity markets connection?

Cited by 11 publications

References 37 publications

Research on Securities Portfolio Model Based on Genetic Optimization Neural Network

Research on Securities Portfolio Model Based on Genetic Optimization Neural Network

The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?

Global factors and the transmission between United States and emerging stock markets

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