Role of 2008 financial contagion in effecting the mediating role of stock market indices between the exchange rates and oil prices: Application of the unrestricted VAR

Tabash, Mosab I.; Asad, Muzaffar; Khan, Ather Azim; Sheikh, Umaid A.; Babar, Zaheerudin

doi:10.1080/23322039.2022.2139884

Cited by 4 publications

(3 citation statements)

References 60 publications

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“…The performed analysis showed that some companies in the energy sector (IRAO, HYDR, TATN, SNGS, LKOH, GAZP 6 ), financial sector (AFKS, VTBR, CBOM, SBER) and consumer sector (MGNT, AFLT) responded to crisis manifestations to a greater degree. Telecommunications companies (except for MTSS) and the raw materials companies were affected less by the crisis contagion.…”

Section: The Results Of Tests (Portmanteu Test Arch Test (Dh) Testmentioning

confidence: 99%

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Financial Contagion of Russian Companies during the COVID-19 Pandemic

Малкина,

Рогачев

2023

КФ

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The article examines the financial contagion of Russian companies during the pandemic COVID-19. Financial contagion refers to the strengthening of interconnections between segments of the financial market during a crisis, when turbulence from one market is transferred to others, and the relationship between parameters goes beyond normal market interactions. The study involved shares of 27 companies in the energy, financial, telecommunications, consumer and raw materials sectors of the Russian economy. As exogenous variables supposedly influencing the market values of these companies, we tested the rouble exchange rate against the US dollar, the spot price of Urals oil and the yield on annual government bonds (proxies for the cost of borrowings). Identification of the potential contagion period was based of the sliding coefficientof variation of these variables. The construction of VARX models convincingly proved the increasing influenceof the exchange rate and the bond yield rate on the fundamental (market) return of Russian companies in the short term (during the acute phase of the pandemic) and the delayed impact of oil prices on it, which manifested itself during the chronic crisis. Contagion testing was also carried out on the basis of a change (growth) in the coefficient of determination in the acute phase of the pandemic as compared to the pre-crisis and post-crisis periods. For a more accurate assessment of the contribution of each variable to contagion, we used the method of source decomposition of the coefficient of determination with a correction for heteroscedasticity. This made it possible to identify the companies most vulnerable tofinancial contagion during the pandemic, and the sources of their contagion, as well as the market segments that showed the greatest resilience. The study can be useful for managers in maintaining their companies’ market value, for investors in effective portfolio diversification, and for public authorities when pursuing a policy of financial stabilization in a crisis. The limitations of the study are related to the imperfections of the VARX models method, as well as to the specifics of the pandemic crisis, the conclusions from which can only be partially applied to other types of crises.

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Section: The Results Of Tests (Portmanteu Test Arch Test (Dh) Testmentioning

confidence: 99%

“…Contagion was tested on the basis of change and significance of estimates of the exogenous variables' coefficients as well as their contribution to the coefficient of determination adjusted for heteroscedasticity. 6 Henceforward the companies are ranked in decreasing order of the contagion scale…”

Section: Discussionmentioning

confidence: 99%

Financial Contagion of Russian Companies during the COVID-19 Pandemic

Малкина,

Рогачев

2023

КФ

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“…In that case, there is a limitation to diversification and the primary produce is the option, alongside other sectors such as tourism. In these countries, there is also a high degree of vulnerability to outer factors (Amare et al, 2019;Ben et al, 2022;Brummitt et al, 2020;Hodey et al, 2015;McIntyre et al, 2018;Parteka & Tamberi, 2013;Tabash et al, 2022).…”

Section: Theoretical Basesmentioning

confidence: 99%

Diversification of Fresh Asparagus Exports from Perú

Arbulú Ballesteros,

Montes Ninaquispe,

Ludeña Jugo

et al. 2024

JESR

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This quantitative descriptive study examined the diversification of asparagus exports in Peru using the Herfindahl-Hirschman Index (HHI). The results show a clear dominance of the United States as the main export destination, although there was an annual decrease of 6.7% in 2022. The HHI revealed a growing trend towards greater market concentration in Peruvian asparagus exports. At the company level, despite a general decrease in the number of exporting companies, significant growth was observed in some of them, such as Agrícola Cerro Prieto and Agrovision. Based on these results, it is recommended that Peruvian companies seek further diversification of their export markets to minimize dependence on a single market and develop adaptable and resilient business strategies to cope with a constantly evolving market. Received: 17 December 2023 / Accepted: 27 February 2024 / Published: 5 March 2024

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Analysis of Fluctuation Characteristics of Natural Gas Futures Price Based on a GARCH Model in China

王

2023

AAM

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Role of 2008 financial contagion in effecting the mediating role of stock market indices between the exchange rates and oil prices: Application of the unrestricted VAR

Cited by 4 publications

References 60 publications

Financial Contagion of Russian Companies during the COVID-19 Pandemic

Financial Contagion of Russian Companies during the COVID-19 Pandemic

Diversification of Fresh Asparagus Exports from Perú

Analysis of Fluctuation Characteristics of Natural Gas Futures Price Based on a GARCH Model in China

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