Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model

Ausloos, Marcel; Zhang, Yining; Dhesi, Gurjeet

doi:10.1016/j.eswa.2020.113688

Cited by 21 publications

(11 citation statements)

References 103 publications

(148 reference statements)

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“…Considering that the period of COVID-19 pandemic is treated in the literature as the typical crisis period, an asymmetric GARCH model was applied to illustrate the impact of COVID-19 cases on the exchange rates and major blue-chip stock market indices in the Visegrad Group countries. An asymmetric threshold GARCH (TGARCH) is argued to be the optimal basis for modelling prices on financial markets [82]. Sabiruzzaman et al [83] provide evidence that TGARCH specification is superior to GARCH specification, which is particularly important when capturing the stock market leverage effect.…”

Section: Hypothesis 2 (H2)mentioning

confidence: 99%

Shaking Stability: COVID-19 Impact on the Visegrad Group Countries’ Financial Markets

et al. 2020

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The recent outbreak of the coronavirus pandemic has made a significant impact on the global financial markets. The aim of this paper is to assess the short-term reaction of the Visegrad countries’ financial markets to the COVID-19 pandemic. The Visegrad Group is a political alliance of four Central European countries, namely Czechia, Hungary, Poland, and Slovakia. The financial assessment is based on the EUR/CZK, EUR/HUF, and EUR/PLN exchange rates and the major blue-chip stock market indices, that is Prague PX, Budapest BUX, Warsaw WIG20, and Bratislava SAX. It is evident that the ongoing pandemic has changed the expectations of the financial market participants about the future value of exchange rates in the Visegrad countries. This study indicates that, as a consequence of COVID-19, higher probability has been attached to the large depreciation of the Czech koruna (CZK), the Hungarian forint (HUF), and the Polish zloty (PLN) than to their large appreciation. Moreover, based on the TGARCH model, the positive and significant correlation between the number of reported COVID-19 cases and the exchange rates has been confirmed, implying that the ongoing pandemic has resulted in the depreciation of the Visegrad currencies. Additionally, the result of the TGARCH model reveals that there is a significant and negative link between the Visegrad stock market indices and the COVID-19 spread.

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Section: Hypothesis 2 (H2)mentioning

confidence: 99%

Shaking Stability: COVID-19 Impact on the Visegrad Group Countries’ Financial Markets

et al. 2020

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“…Regarding the implications of this cointegrated variables, this finding it is important because it could be used by market makers in at least three ways. The first one, it is to offer assets in the financial market to reduces the volatility of their portfolios, as has been proved in other markets ( Ausloos et al., 2020 ). The other one, it is a relation that could be employed to generate financial inclusion to Colombian farmers.…”

Section: Description Of the Data And Empirical Resultsmentioning

confidence: 99%

Managing colombian farmers price risk exposure with electrical derivatives market

Barrera

Cañón

Sánchez

2020

Heliyon

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Food security is among the most pressing global concerns. It is principally threatened by the combination of rural migration and the pressure of climate change. In order to mitigate these effects, the need to promote stable conditions for small producers -who generate 80% of the world's food- has arose. In search to improve market conditions, this study aims to evaluate the feasibility of cross-hedging between electrical derivatives market and spot agricultural products in Colombia. This hypothesis is proposed, as Colombia depends upon hydro-electricity, an electricity source which is heavily influenced by climatic conditions, particularly the “El Niño” southern oscillation (ENSO). The prices of agricultural products are thus volatile, and subject to this phenomenon. ENSO is presumed to be an important link between these two markets. To contrast the hypothesis, the most commonly- methods in cross-hedging literature were employed to estimate hedge ratios: OLS, Error Correction Models, and GARCH estimations. This last estimation was found to be the one with the best performance for hedge ratio estimation. Despite this, of 93 products analyzed, statistically significant relationships were found for only nine. Besides, it was found that cross-hedging contributes to a risk reduction of not more than 32%.

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“…Increasing these elasticities correlates with higher displacement and could be realized by including scrap in global metal exchanges (e.g., LME, Shanghai Futures Exchange). The introduction of a futures exchange has been shown to decrease spot price volatility, increasing market efficiency and price dependence on SD imbalance (Ausloos et al., 2020; Kasman & Kasman, 2008). Our industry interviews suggest this inclusion would enable hedging, allowing scrap dealers to maintain smaller inventories and increase scrap availability.…”

Section: Discussionmentioning

confidence: 99%

Assessing recycling, displacement, and environmental impacts using an economics‐informed material system model

Ryter

Bhuwalka

et al. 2022

J of Industrial Ecology

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Material production drives an increasingly large fraction of CO 2 -equivalent emissions. Material efficiency strategies such as recycling serve to reduce these emissions.Current analyses of the effectiveness of such strategies do not include economically induced rebound effects, overestimating the associated environmental benefits. We present a dynamic supply chain simulation model for copper through 2040 incorporating inventory-driven price evolution, dynamic material flow analysis, and life cycle assessment alongside mine-level economic evaluation of opening, closing, and production decisions. We show that permanent increases in recycling displace ∼0.5 kilotonnes mine production per kilotonne increase in scrap supply on average, while short-lived recycling policies can lead to increased mine production. We find evidence for supply chain evolution pathways minimizing the rebound effect and maximizing displacement of primary material, where increasing refined copper and concentrate prices and decreasing demand serve to decrease mining. However, even in best-case scrap supply scenarios, CO 2 e emissions from the copper sector increase 25% by 2040 relative to 2018 due to demand growth, ore grade decline, and lower displacement among large scrap supply changes. With implementation of best available technologies across all supply chain components, we estimated 2040 CO 2 e emissions 10% below those of 2018 are possible, though still well short of 2 • C emissions targets. We find increasing mine taxes and royalties, reclamation costs, and exploration costs further increase displacement, as does the inclusion of scrap prices on major futures exchanges. These results highlight the importance of considering the economics of the entire material supply chain when implementing material efficiency strategies. This article met the requirements for a Gold-Gold JIE data openness badge described at http://jie.click/ badges.

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Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model

Cited by 21 publications

References 103 publications

Shaking Stability: COVID-19 Impact on the Visegrad Group Countries’ Financial Markets

Shaking Stability: COVID-19 Impact on the Visegrad Group Countries’ Financial Markets

Managing colombian farmers price risk exposure with electrical derivatives market

Assessing recycling, displacement, and environmental impacts using an economics‐informed material system model

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