Examining dynamic currency linkages amongst South Asian economies: An empirical study

Sehgal, Sanjay; Pandey, Piyush; Diesting, Florent

doi:10.1016/j.ribaf.2017.05.008

Cited by 30 publications

(6 citation statements)

References 46 publications

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“…Gaussian family of copula model over Archimedean family which shows that given how dormant these markets are in this region, debt market association are normally distributed. Contrary to expectations that the goodness of fit test for debt market co-movements would again select the Clayton copula family similar to that for equity and currency asset class for the same region[53] [54], the nature of the markets per se gives ample evidence of the fact that the debt markets of the region are underdeveloped.…”

mentioning

confidence: 58%

Dynamics of Short and Long Term Debt Market Integration in the South Asian Economies

Sehgal¹,

Pandey²,

Saini³

2018

TEL

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We investigate the extent of financial integration in both short and long term government debt markets of five South Asian economies from January 2004 to May 2016. We employ copula functions and find weak dependencies in their short and long term debt markets. We supplement our analysis using Diebold and Yilmaz spillover index and find low level of return spillover across both short and long term debt markets, thereby reconfirming low level of financial integration in the debt markets of the region. Linkages between short and long term debt markets are also weak suggesting underdeveloped nature of these markets.

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confidence: 58%

Dynamics of Short and Long Term Debt Market Integration in the South Asian Economies

Sehgal¹,

Pandey²,

Saini³

2018

TEL

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“…While some studies explore the relationship between Bitcoin and subsequent cryptocurrencies, others assess the market perceptions influenced by the cryptocurrency markets at large. For instance, Sehgal, Pandey, and Deisting [32] examine the relationship between Bitcoin prices and traditional currencies. Corbet, Lucey, and Yarovaya [33] investigated various aspects of cryptocurrencies, focusing on market efficiency, price dynamics, and market risk, with data collected daily from multiple cryptocurrencies.…”

Section: Literature Reviewmentioning

confidence: 99%

Impact of Climate Policy Uncertainty, Clean Energy Index, and Carbon Emission Allowance Prices on Bitcoin Returns

Gürsoy,

Jóźwik,

Dogan

et al. 2024

Sustainability

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This research aimed to investigate the relationship between climate policy uncertainty (CPU), clean energy (ENERGY), carbon emission allowance prices (CARBON), and Bitcoin returns (BTC) for the period from August 2012 to August 2022. The empirical analysis strategies utilized in this study included the Fourier Bootstrap ARDL long-term coefficient estimator, the Fourier Granger Causality, and the Fourier Toda–Yamamoto Causality methods. Following the confirmation of cointegration among the variables, we observed a positive relationship between BTC and CARBON, a positive relationship between BTC and CPU, and a negative relationship between BTC and ENERGY. In terms of causal associations, we identified one-way causality running from CARBON to BTC, BTC to CPU, and BTC to the ENERGY variable. The study underscores the potential benefits and revenue opportunities for investors seeking diversified investment strategies in light of climate change concerns. Furthermore, it suggests actionable strategies for policymakers, such as implementing carbon taxes and educational campaigns, to foster a transition towards clean energy sources within the cryptocurrency mining sector and thereby mitigate environmental impacts.

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“…Sehgal et al (2015) reveal the existence of return and volatility spillovers in exchange markets and that futures markets have important influence on these spillovers. Sehgal et al (2017) investigate the currency market interdependency among South Asian countries and find that there is not much comovement in the currency market of this region. Salisu et al (2018) provide statistical evidence to support return and volatility connectedness between major currencies.…”

Section: Review Of Related Literaturementioning

confidence: 99%

Nonlinear Dependence and Spillovers between Currency Markets and Global Financial Market Variables

Jiang¹,

Hernández²,

McIver³

et al. 2022

Preprint

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The widespread integration and growing dependence among currency, stock and commodity markets make these markets often very vulnerable to shocks and at risk of collapse at the same time. As a result, these trends threaten the sustainability of the entire financial system. In this study, we explore the spillovers and nonlinear dependences between the seven major foreign ex-change rates, crude oil and gold prices, a global stock price index, and oil and stock implied volatility indices as proxy variables for global risk factors by em-ploying directional spillover network approach. We also use multi-scale de-composition method and nonlinear causality test between these variables to capture multi-level relationships at short and long horizons. Major findings are summarized as follows. First, from the multi-scale decomposition analysis, we identify that Granger causality test results and the direction and strength of return spillovers change with the level of decomposition. Second, the results of nonlinear causality tests show variation in both the significance and direction of Granger causality relationships between the decomposed currency and other series at different timescales, especially for the decomposed oil, gold, and OVX series. Third, the measured directional spillover indices identify the EUR as the largest contributor of connectedness to the other series. The central role of the EUR is a net transmitter of connectedness to gold, oil, the GBP, JPY, and CHF.

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Examining dynamic currency linkages amongst South Asian economies: An empirical study

Cited by 30 publications

References 46 publications

Dynamics of Short and Long Term Debt Market Integration in the South Asian Economies

Dynamics of Short and Long Term Debt Market Integration in the South Asian Economies

Impact of Climate Policy Uncertainty, Clean Energy Index, and Carbon Emission Allowance Prices on Bitcoin Returns

Nonlinear Dependence and Spillovers between Currency Markets and Global Financial Market Variables

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