Oil and stock prices: New evidence from a time varying homogenous panel smooth transition <scp>VECM</scp> for seven developing countries

Ceylan, Reşat; İvrendi, Mehmet; Shahbaz, Muhammed; Omay, Tolga

doi:10.1002/ijfe.2202

Cited by 7 publications

(5 citation statements)

References 67 publications

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“…In existing scholarly works, Wen et al (2020a) delineated the enduring cointegrating relationship between the returns of Chinese equities and those of China's carbon emission trading market. Conversely, Ceylan et al (2020) substantiated the enduring co-integration between equity and stock returns within the purview of developing economies. Nevertheless, there exists a discernible gap in the literature, as no endeavors have been undertaken to investigate the co-integration among carbon trading, oil implied volatility, and the returns of the European financial market.…”

Section: Conclusion With Practical Implications and Future Research D...mentioning

confidence: 99%

Modeling the Nexus between European Carbon Emission Trading and Financial Market Returns: Practical Implications for Carbon Risk Reduction and Hedging

Tabash,

Al-Absy,

Hannoon

2024

JRFM

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The carbon–financial nexus helps firms evaluate susceptibility to carbon risk more effectively. This is the first research article to model the short- and long-run co-integrating association between European financial markets, the CBOE oil price volatility index (OVZ) and the European carbon emission trading system (EU-ETS) by using the daily returns from 1 October 2013 to 1 October 2023. We utilize co-integration test followed by the ARDL framework with an error correction mechanism (ECM). Moreover, we utilize the DCC-GARCH-t copula framework to estimate the hedge ratio and to select an optimal portfolio weight for carbon risk hedging. Overall, the findings suggested that EU-ETS (OVZ) has a consistent positive (negative) short-term influence on all the equity returns of Belgium, Denmark, Finland, France, Germany, Ireland, Italy, Netherlands, Spain and the stock indices of the whole Eurozone. However, in the long term, EU-ETS has a positive (negative) effect on the stock returns of France and the Eurozone (Belgium and Spain). Belgian and Spanish companies could implement long-term carbon reduction policies. Belgian and Spanish firms should focus on the utilization of green energy resources and the internalization of carbon emission-free mechanical processes as this may offer a safeguard against the additional pressure arising from escalating carbon prices. Finally, an optimal portfolio weight selection strategy based upon the DCC-GARCH-t copula approach aims for higher hedging effectiveness (HE) than the hedge ratio strategy when adopting short-term positions in Italian and Danish equity markets to reduce the risk of long-term EU-ETS volatility.

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Section: Conclusion With Practical Implications and Future Research D...mentioning

confidence: 99%

Modeling the Nexus between European Carbon Emission Trading and Financial Market Returns: Practical Implications for Carbon Risk Reduction and Hedging

Tabash,

Al-Absy,

Hannoon

2024

JRFM

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“…However, the newly developed techniques in time series analysis such as nonlinearities proposed in other [87][88][89][90][91] studies may also be used. On the other hand, there is a growing trend in the literature which considers cross-section dependency and the nonlinearities in panel time series techniques, such as in [92][93][94][95][96]. Conducting these new techniques may also alter the information content of the study.…”

Section: Limitationsmentioning

confidence: 99%

Health Capital and a Sustainable Economic-Growth Nexus: A High-Frequency-Data Analysis during COVID-19

Sungur,

Akdoğan,

Gökten

2024

Sustainability

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The recent COVID-19 pandemic effectively concretized the vitality of health expenditure and the economic-growth nexus, and the threat of new pandemics make re-examining this relationship a necessity. Consequently, this paper focuses on this nexus for developed OECD countries, paying particular attention to the effects of the COVID-19 pandemic. The use of stock indices as proxy variables for health expenditure and economic growth enabled the examination of this nexus by using high-frequency data and financial econometric techniques, specifically via rolling correlation and bivariate GARCH analyses. The data span 1170 observations between 15 May 2018 and 11 November 2022. Since the research period overlaps with the outbreak of Ukraine–Russia war, additional insights are obtained regarding the effects of the war as well. It was found that an increase in health expenditure leads to a delayed increase in economic growth even in the short term, and this relationship mainly develops during crises such as epidemics, wars, supply chain breakdowns, etc., for developed OECD countries. Given the aging population of developed countries, which will probably deteriorate the health status of those countries in the near future, the increasing political tensions around the globe and the considerations of a global recession highlight the importance and the inevitability of investments in health capital for developed countries as well.

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“…In addition, Chen et al, (2017); Nath Sahu et al, (2014) also did similar studies. The study of Ceylan et al, (2020) indicated that the crude oil price cause stock market return volatility in long run but has an impartial causality in short run.…”

Section: Literature Reviewmentioning

confidence: 99%

The Fluctuation in Interest Rate, Exchange Rate and Crude Oil Price and its impact on Stock Market

Saraswat¹,

Saraswat²,

Singh³

et al. 2022

YMER

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Oil and stock prices: New evidence from a time varying homogenous panel smooth transition VECM for seven developing countries

Cited by 7 publications

References 67 publications

Modeling the Nexus between European Carbon Emission Trading and Financial Market Returns: Practical Implications for Carbon Risk Reduction and Hedging

Modeling the Nexus between European Carbon Emission Trading and Financial Market Returns: Practical Implications for Carbon Risk Reduction and Hedging

Health Capital and a Sustainable Economic-Growth Nexus: A High-Frequency-Data Analysis during COVID-19

The Fluctuation in Interest Rate, Exchange Rate and Crude Oil Price and its impact on Stock Market

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