Quantile Granger causality between US stock market indices and precious metal prices

Mighri, Zouheir; Ragoubi, Hanen; Wang, Yihan

doi:10.1016/j.resourpol.2022.102595

Cited by 24 publications

(8 citation statements)

References 59 publications

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“…An increase in their prices predicts positive stock returns, especially in Asian equity markets (Hu and Xiong 2013). Our findings also elucidated that underlying metals do not have a safe haven or hedging properties against solar energy stocks compared to other industries/markets (Sakemoto 2018;Uyar et al 2021;Mighri et al 2022), rather their time-varying comovement in different market conditions indicates their strong interdependence. For investor sentiments, the effect is negative in all quantiles for both short-and long-run estimations.…”

Section: Data Analysis and Discussionmentioning

confidence: 54%

The asymmetric effect of temperature, exchange rate, metals, and investor sentiments on solar stock price performance in China: evidence from QARDL approach

Yahya

Razzaq

2022

Environ Sci Pollut Res

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The study investigates the asymmetric effect of temperature, exchange rate, metals (rare metals and electrical conductors), and investor sentiments on solar stock price performance in China. The novel econometric techniques, i.e., QARDL (quantile autoregressive distributive lag) approach and Granger causality-in-quantiles to analyze the results. In both short-and long-run estimations, the findings suggest that rare metals (cadmium, germanium, indium, and selenium) and electrical conductors (silver, aluminum, and copper) have significant and positive linkage with solar energy stocks at different quantiles based on bullish, bearish, and normal market conditions. On the other hand, negative effects are found for temperature, RMB exchange rate, and investor sentiments in both the short-and long-run. In the short run, the effect of exchange rate varies across different quantiles but it confines to only lower quantiles (bearish market condition) in the longer run. Solar stocks are more prone to investor sentiments under higher quantiles (bullish market conditions). Lastly, we find that temperature is not merely a behavioral anomaly for the solar energy market as it spreads across middle quantiles (normal market conditions) in the longer run. The findings of Granger causality in quantiles further confirm the results of QARDL.

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Section: Data Analysis and Discussionmentioning

confidence: 54%

The asymmetric effect of temperature, exchange rate, metals, and investor sentiments on solar stock price performance in China: evidence from QARDL approach

Yahya

Razzaq

2022

Environ Sci Pollut Res

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“…A comparison of the impact of the intensities of vaccine-related tweets to vaccination was calculated using the granger causality tests package in python 51,52 . The focus was on people living in South Africa whose ages are between 18 years to 34 years.…”

Section: Test Statisticmentioning

confidence: 99%

The Impact of Omicron Variant in Vaccine Uptake in South Africa

Ogbuokiri

Ahmadi

Tripathi

et al. 2023

Preprint

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The first report of the Omicron variant triggered a lot of emotions towards vaccination in South Africa. These emotions are mostly expressed on social media such as Twitter. The result could weaken the confidence level of users even before they are vaccinated. Identifying these emotions and how they change before and during the Omicron variant can help, in understanding the dynamics in citizens' behaviour, towards vaccination for health policy-making. In this study, 23,000 vaccine-related Twitter posts were collected in South Africa, from 1 October 2021 to 15 January 2022 using Natural Language Processing techniques. The emotional classification of Twitter posts and their associated intensities were achieved using the Text2emotion pre-trained model. The results were validated using Naive Bayes with an accuracy of 76%, Logistic Regression (91%), Support Vector Machines (84%), Decision Tree (82%), and K-Nearest Neighbours (72%). The number of tweets significantly positively correlated with the increase in vaccination across all South African provinces (Corr<=0.532, P<=0.003) except Northern Cape province. The emotional intensities for vaccine-related posts showed a strong association with the increase in vaccination during Omicron (P<0.04) in Eastern Cape, Gauteng, Limpopo, and North West provinces than other provinces. The comparison of the intensities of the emotional classes differed across provinces before and during Omicron. The result of this research showed that social media data can be used to complement existing data, in understanding and predicting the dynamics in citizens' emotional behaviour towards vaccination, during a new COVID-19 variant or future outbreaks. The result could also inform health policy in planning, control, and management of provinces identified with vaccine hesitancy. It can also serve as a template or reference for related future academic research.

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“…With an emphasis on the use of quantile Granger causality, Mighri et al (2022) investigated the impact of oil price shocks on stock market performance in a subset of African nations. The investigation included information from the US stock market and global energy prices.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The study by Mighri et al (2022) examines the connection between US stock market indexes and the price of precious metals. The authors specifically adopt a quantile Granger causality technique to quantify the causal links between the Spot Gold and Platinum spot prices and the indexes of the New York and American stock markets.…”

Section: Literature Reviewmentioning

confidence: 99%

The effect of oil price shocks on stock market performance in selected African countries

Okpezune,

Seraj,

Ozdeser

2023

OPEC Energy Review

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The study's objective was to investigate how changes in oil prices affect stock market performance. The study's population consisted of selected African countries chosen based on factors like the size of their stock markets and whether or not they import or export oil. The world development indicator (WDI) and the OPEC bulletin or website served as sources for the data. The vector error correction model was used to analyse the collected data. Regarding the impact of oil price fluctuations on the performance of the stock market, the findings of the study were mixed. Oil price fluctuations have a positive impact on stock market performance for countries that import oil. For oil‐trading countries, the impacts were found to differ across examined countries. Oil price fluctuations had a mixed effect on both large and small stock markets. This demonstrates how crucial it is to investigate changes in the price of oil and how they might impact stock market performance, particularly in African countries.

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Quantile Granger causality between US stock market indices and precious metal prices

Cited by 24 publications

References 59 publications

The asymmetric effect of temperature, exchange rate, metals, and investor sentiments on solar stock price performance in China: evidence from QARDL approach

The asymmetric effect of temperature, exchange rate, metals, and investor sentiments on solar stock price performance in China: evidence from QARDL approach

The Impact of Omicron Variant in Vaccine Uptake in South Africa

The effect of oil price shocks on stock market performance in selected African countries

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