Measuring extreme risk of sustainable financial system using GJR-GARCH model trading data-based

Ma, Xiaofeng; Yang, Ruixian; Zou, Dong; Liu, Rui

doi:10.1016/j.ijinfomgt.2018.12.013

Cited by 27 publications

(21 citation statements)

References 32 publications

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“…The growing uncertainty in the global economy is also transmitted to the global financial market, which makes investors tend to distribute their portfolios from high-risk to low-risk markets. From the perspective of investors and risk managers, gold is regularly seen as a hedge or a safe haven against stock markets, so understanding the relationship between gold and financial markets has significant implications (Ma, Yang, Zou, and Liu, 2020;Yamaka and Maneejuk, 2020). Balcilar, Hammoudeh, and Asaba (2015), Batten, Ciner, Kosedag, and Lucey (2017), and Laily et al (2017) examine gold as a safe asset in the adjustment of portfolios by investors.…”

Section: Literature Reviewmentioning

confidence: 99%

Hedges and safe havens: An examination of stocks, gold and silver in Latin America’s stock market

Dias

Carvalho

2020

ReA UFSM

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Purpose - This essay aims to analyze whether gold (Gold Bullion: Zurich) and silver (Silver Paris Spot E/KG) will be a safe haven for diversifying portfolios in Latin America's stock markets.Design/methodology/approach - The analyzed data are the price indexes of the stock markets of Argentina (SP Merval), Brazil (Ibovespa), Chile (SP/CLX IGPA), Peru (SP/BVL General IGBL), Mexico (IPC), USA (Dow Jones), gold (Gold Bullion: Zurich), and silver (Silver Paris Spot E/KG), from December 31, 2019 to September 2, 2020. To answer the research question we used Gregory and Hansen’s methodology (1996), and the VAR Granger causality/block exogeneity Wald tests model.Findings - The results indicate that the markets have very significant integrations and causalities, that is, gold and silver do not function as safe havens for the diversification of portfolios in Latin American stock markets.Research limitations/implications - While the present investigation used general indices, in future studies sectoral indices can be used, as well as intraday data to have more robust evidence regarding the diversification of portfolios in these regional markets.Originality/value - This investigation differs from previous studies because it focuses on the rebalancing of portfolios through the estimation of integration models and shocks between gold and silver and the Latin American markets. This differs from the previous ones, which analyzed the average dependencies between gold and financial market movements, and between gold and currency depreciation.

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Section: Literature Reviewmentioning

confidence: 99%

Hedges and safe havens: An examination of stocks, gold and silver in Latin America’s stock market

Dias

Carvalho

2020

ReA UFSM

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“…The leverage effect indicates that losses have a greater impact on future volatility than gains. If a leverage effect exists, the estimated parameter γ needs to be positive [39,40].…”

Section: Specification Of Marginal Modelsmentioning

confidence: 99%

Examining the Interdependence between the Exchange Rates of China and ASEAN Countries: A Canonical Vine Copula Approach

Liu

Sriboonchitta

2019

Sustainability

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Based on the canonical vine (C-vine) copula approach, this paper examines the interdependence between the exchange rates of the Chinese Yuan (CNY) and the currencies of major Association of Southeast Asian Nations (ASEAN) countries. The differences in the dependence structure and degree between currencies before and after the Belt and Road (B&R) Initiative were compared in order to investigate the changing role of the Renminbi (RMB) in the ASEAN foreign exchange markets. The results indicate a positive dependence between the exchange rate returns of CNY and the currencies of ASEAN countries and show the rising power of RMB in the regional currency markets after the B&R Initiative was launched. Besides this, the Malaysian Ringgit proved to be most relevant to the other ASEAN currencies, thus playing an important role in the stability of regional financial markets. Moreover, evidence of tail dependence was found in the returns of three currency pairs after the B&R Initiative, which implies the presence of asymmetric dependence between exchange rates. The results from time-varying C-vine copulas further confirmed the robustness of the results from the static C-vine copulas.

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“…In practice, only the middle 70% of these series is tested for the threshold. The reason for this restriction is to keep an adequate amount of observations on each regime when estimating the threshold and the other parameters in the threshold-GARCH model [8,16,17,19].…”

Section: Estimating the Gjr-garch Modelmentioning

confidence: 99%

“…If investors concern themselves with long-term future trends, the sustainable invest rating can help them to decide whether or not the investment target is worth the long-term investment and whether it will provide stable profits. Investors should definitely consider the target of sustainable investing, ethical investing, or socially responsible investing [6][7][8].…”

Section: Introductionmentioning

confidence: 99%

Do Higher Asymmetry Threshold Effects Exist on the Gold Return Volatility during Highly Fluctuating Periods?

Liao

Goo

2019

Sustainability

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The GJR-GARCH model is frequently used by researchers and academic institutions. However, the model conveys limited information, using zero as a threshold without considering other possible thresholds. This study shows that a favorable econometric model could be formed by constructing a hybrid momentum HMTAR-GARCH model. Our findings indicate that higher asymmetry momentum threshold effects exist on the gold return volatility during highly fluctuating periods. Sustainable Enterprise Resource Planning (S-ERP) systems could help in the formation of a good risk management strategy by using the HMTAR-GARCH model. Perhaps gold is more sustainable than many other financial assets in the creation of an investment portfolio.

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Measuring extreme risk of sustainable financial system using GJR-GARCH model trading data-based

Cited by 27 publications

References 32 publications

Hedges and safe havens: An examination of stocks, gold and silver in Latin America’s stock market

Hedges and safe havens: An examination of stocks, gold and silver in Latin America’s stock market

Examining the Interdependence between the Exchange Rates of China and ASEAN Countries: A Canonical Vine Copula Approach

Do Higher Asymmetry Threshold Effects Exist on the Gold Return Volatility during Highly Fluctuating Periods?

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