Re-examination of international bond market dependence: Evidence from a pair copula approach

Abakah, Emmanuel Joel Aikins; Addo, Emmanuel; Gil-Alana, Luís A.; Tiwari, Aviral Kumar

doi:10.1016/j.irfa.2021.101678

Cited by 42 publications

(16 citation statements)

References 54 publications

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“…Figure 2 presents the time-varying total connectedness of green, Islamic and conventional financial markets using the TVP-VAR approach from December 1, 2008, to May 10, 2021. The time-varying dynamics of financial markets revealed that connectedness is sparked during economically stressed periods (Abakah et al. , 2021; Tiwari et al.…”

Section: Resultsmentioning

confidence: 99%

“…The time-varying dynamics of financial markets revealed that connectedness is sparked during economically stressed periods (Abakah et al, 2021;Tiwari et al, 2021), as reflected by several spikes in the graph, whereas troughs display the normalized circumstances of financial markets. The initial spike in the graph during 2008-2010 represents aftershocks of the GFC, where high connectedness among markets is evident (Arif et al, 2021a).…”

Section: Connectedness Tablementioning

confidence: 99%

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Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?

Karim

Naeem

2022

IJMF

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PurposeThis study aims to examine the connectedness among green, Islamic and conventional financial markets from December 2008 to May 2021. Moreover, the impact of global factors on the connectedness of given financial markets is also observed.Design/methodology/approachThis study first employed the time-varying parameter vector autoregressions (TVP-VAR) technique to explore the connectedness of markets. Second, This study utilized the wavelet coherence analysis to test the time-frequency impact of global factors in terms of implied volatilities of stock, oil, gold, currency and bond on the connectedness across financial markets.FindingsThis study finds Islamic stocks, sustainability index and S&P500 composite index are the net transmitters, whereas Sukuk, commodity index, bond market, clean energy and green bonds are the net recipient of spillovers. Time-varying features of green, Islamic and conventional financial markets are evident in system-wide connectedness. This study further evidenced that global factors drive the connectedness of financial markets, particularly during stressful times.Practical implicationsThe findings of this study furnish significant implications for policymakers, regulatory authorities, investors, financial market participants and portfolio managers in terms of carefully assessing the unique characteristics offered by each financial market in terms of risk mitigation and diversifying the portfolios.Originality/valueUsing a portfolio of green, Islamic and conventional financial markets, the uniqueness of this study lies in the examination of the connectedness of these markets by deploying the TVP-VAR technique. In addition, wavelet analysis offers a significant contribution in terms of global factors driving the connectedness of green, Islamic and conventional markets.

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Section: Resultsmentioning

confidence: 99%

Section: Connectedness Tablementioning

confidence: 99%

Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?

Karim

Naeem

2022

IJMF

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“…This paper is inspired by earlier studies in various countries but before the COVID pandemic. The existing literature either focus on the safe-heaven feature of green bonds in developed economies like the US and the EU (e.g., Abakah et al, 2021; or on non-hedging features of green bonds in China (e.g., Yi et al, 2021). We aim to provide updated evidence for the hedging capability of green bonds against rare disasters (or tail risks) using a comparative study of a representative developed economy (US) and emerging economy (China), before and after the pandemic.…”

Section: Introductionmentioning

confidence: 99%

Green bonds as hedging assets before and after COVID: A comparative study between the US and China

Guo

Zhou

2021

Energy Economics

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“…For future research, we recommend further studies be carried out on inflation comovement in Africa using a factor model framework to investigate how some common features, such as developments in the Sub-Saharan African region, business regulations, changes in oil prices, monetary policies, and exchange rate movements, explain the variability in domestic inflation. Lastly, a possible extension of this study could be investigating inflation spillover using quantile spillover model (Jena et al 2021) and time-frequency spillover approaches (Le et al 2021), which move away from the standard mean-based Diebold and Yilmaz (2012) model used in this paper, as well as copulas (Abakah et al 2021;Tiwari et al 2021), fractional cointegration techniques (Gil-Alana et al 2020a, 2020b, and nonlinear causality techniques (Shahbaz et al 2021).…”

Section: Discussionmentioning

confidence: 99%

Inflation Co-Movement Dynamics: A Cross-Country Investigation Using a Continuous Wavelet Approach

Tiwari

Abakah

Gil-Alana

et al. 2021

JRFM

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The economic literature provides evidence that inflation rates can co-move across nations because of a host of reasons, ranging from low frequency changes in monetary policy to similar high frequency shocks. Hence, this paper investigates inflation rate co-movements between nine (9) African countries and their bilateral linkages with five (5) developed economies using continuous wavelets at different time scales or frequencies. Specifically, we examine the coherency and the phase relationship in time-frequency space in inflation rates of the selected countries. Several findings are documented. First, inflation rates co-movements in the nine African countries are time varying, multi-scale, and characterized by structural breaks. In addition, we find that inflation co-movements across countries in the Africa sub-region is weak at low frequencies. Furthermore, we find evidence of inflation co-movement between Africa and developed economies, suggesting that central banks and policy-makers in Africa need to monitor international price developments, and analyze their implications for their domestic economies. Second, we find that inflation rates in the selected African countries explain, on average, almost 80% of their own inflation variance over the whole sample period. Spillover analysis reveals that China and Canada account for a greater percentage of inflation variation in Africa.

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Re-examination of international bond market dependence: Evidence from a pair copula approach

Cited by 42 publications

References 54 publications

Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?

Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?

Green bonds as hedging assets before and after COVID: A comparative study between the US and China

Inflation Co-Movement Dynamics: A Cross-Country Investigation Using a Continuous Wavelet Approach

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