Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis

Labidi, Chiraz; Rahman, Lutfur; Hedström, Axel; Uddin, Gazi Salah; Bekiros, Stelios

doi:10.1016/j.irfa.2018.08.005

Cited by 35 publications

(7 citation statements)

References 65 publications

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“…Following Bekiros, Nguyen, Sandoval Junior, and Uddin (2017) and Qin, Hong, Chen, and Zhang (2020) , we referred to the NYMEX heating oil, NYMEX natural gas, and Brent crude oil energy markets. Regarding international stock markets, based on the literature ( Labidi, Rahman, Hedström, Uddin, & Bekiros, 2018 ; Wilms, Rombouts, & Croux, 2021 ), we chose the S&P 500 (US), DAX (Germany), FTSE 100 (UK), CAC 40 (France), Nikkei 225 (Japan), HSI (Hong Kong), SSE (China), KOSPI 200 (Korea), Ibovespa (Brazil), and RTS (Russia). We chose daily data for observations of energy and stocks from January 4, 2011, to August 11, 2020.…”

Section: Data and Preliminary Analysismentioning

confidence: 99%

Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19

Zhang

2021

International Review of Financial Analysis

135

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Section: Data and Preliminary Analysismentioning

confidence: 99%

Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19

Zhang

2021

International Review of Financial Analysis

135

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“…This type of analysis is particularly useful when dealing with nonlinear and asymmetric relations. Among other applications, this method is applied to financial data to understand the dependency structure between different financial instruments or between financial instruments and macroeconomic factors, especially during extreme events (Bekiros et al, 2021;Labidi et al, 2018). The CQC extends this concept to analyse the time dependency structure between the quantiles of two different time series (Han et al, 2016).…”

Section: Cross Quantile Correlationmentioning

confidence: 99%

Navigating interconnected and electrified industries in the landscape of uncertainty : Exploring outcomes and values within circular solutions, and Swedish electricity supply and utilisation dynamics

Wadström

2023

Linköping Studies in Science and Technology. Dissertations

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As the global community faces unprecedented climate change challenges, the transition towards a sustainable society has become an urgent priority. The complexity of this transition is characterised by the interplay of developing and implementing green manufacturing processes, integrated energy systems, and circular resource flows, and the inherent dynamics associated with geopolitical uncertainties, energy price fluctuations, and global instability. Although new technological advancements and more sustainable models are on the rise, a significant knowledge gap remains in comprehending the intricate dependencies and impacts of various uncertainties on complex industrial and energy systems. Dependency means that one component, subsystem, or variable relies on another for its operation or effectiveness. A change in one element will directly affect the other, causing changes in its status or actions. Because the components are interconnected in this way, they are not independent of each other. This knowledge gap is particularly noticeable in the lack of a comprehensive understanding of the interactions between the energy system and uncertainties. This became significantly more apparent during events such as the COVID-19 pandemic and the subsequent Russian invasion of Ukraine. IntroductionAbundant, clean, and affordable energy is crucial for realising the vision of a modern, industrialised, and sustainable society (Tainter, 1988). Hence, a systemic shift towards a renewable and electrified energy system on a massive scale is necessary to achieve rapid emissions reductions (IPCC, 2023). If new energy demand and electric power capacity were instead built on fossil fuels rather than renewable sources, the consequences could be severe. This would worsen climate change, as electricity generation based on fossil fuels leads to ongoing emission of carbon dioxide and other greenhouse gases. It could also entrench unsustainable infrastructure for an extended period, thereby prolonging the unsustainable reliance on limited fossil resources (IPCC, 2023). Furthermore, persisting reliance on fossil fuels could compromise energy security (Correlje & Van der Linde, 2006;Yergin, 2006).Transitioning to renewable energy sources can avert these risks, promoting a more self-reliant, sustainable, and secure energy future (IEA, 2022b). This involves adopting low-or zero-emission technologies and biogenic energy sources (Demirbas, 2009), curbing energy and material demand, modifying behavioural patterns, and enhancing efficiency. The diminishing carbon budget means that energy systems must quickly transition towards net-zero CO2 emissions by decreasing fossil fuel dependence, applying carbon capture, widespread electrification, utilising and improving energy conservation, efficiency, and energy system integration (IEA, 2022b(IEA, , 2023bIPCC, 2023).The growth of renewable energy is not just about increasing renewable electric power capacity and biogenic energy sources; rather, it is more about incorporating and coordinating multiple technol...

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“…Some note that the increasing integration, which has further birthed connectedness, is because of the nature of the markets (Lee et al, 2022; Lee, Lee, & Li, 2021; Uddin et al, 2019), while others argue that the close connection among markets is caused by the process of globalization (Le, Abakah, & Tiwari, 2021; Mensi et al, 2019). More recent studies even emphasize that markets become highly integrated during extreme events such as financial crises (Caporale et al, 2014; Labidi et al, 2018) and coronavirus disease (COVID‐19) outbreaks (Adekoya & Oliyide, 2021; Haroon & Rizvi, 2020; Lee, Lee, & Wu, 2021).…”

Section: Introductionmentioning

confidence: 99%

Quantile price convergence and spillover effects among Bitcoin, Fintech, and artificial intelligence stocks

et al. 2022

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This research explores the distributional and directional predictabilities among Fintech, Bitcoin, and artificial intelligence stocks from March 2018 to January 2021 using nonparametric causality-in-quantile and crossquantilogram approaches.We also examine connectedness across the assets using a quantile VAR approach. The results indicate the existence of bidirectional causality-in-variance between the variables in a normal market. We also find that directional predictability among the assets is oscillatory over time lags. Finally, we observe a strong price connectedness for highly positive and negative changes. These results further document the diversification potential and safe-haven properties of technologyrelated assets for portfolio investors.

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Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis

Cited by 35 publications

References 65 publications

Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19

Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19

Navigating interconnected and electrified industries in the landscape of uncertainty : Exploring outcomes and values within circular solutions, and Swedish electricity supply and utilisation dynamics

Quantile price convergence and spillover effects among Bitcoin, Fintech, and artificial intelligence stocks

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