The effects of uncertainty on investor expectations and volatility in the South African white maize futures market

Auret, Christo; Sayed, Ayesha

doi:10.1080/10293523.2020.1776503

Cited by 4 publications

(2 citation statements)

References 29 publications

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“…Analogously, the current study examines marginal changes in capital and labor and not quantities. Auret and Sayed (2020) find that variations in uncertainty influence the expectations of South African white maize futures momentum traders. Consequently, these trades increase daily volatility.…”

Section: Literature Review and Hypothesis Developmentmentioning

confidence: 99%

Productivity, risk, and expected stock returns

Taussig

2022

J Corp Accounting Finance

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This study suggests a new measure of productivity for production factors. Adjustment costs for capital-intensive firms are higher than for labor-intensive firms (the differences are systematic). Therefore, higher changes in capital relative to labor will induce higher risk. The capital/labor ratio has been studied extensively. However, the new measure is based on other items, which facilitate the marginal changes in capital and labor, rather than quantities. When the elasticity of capital to labor (ECL) is higher, stock returns are significantly higher as well. This is true both statistically and economically.

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Section: Literature Review and Hypothesis Developmentmentioning

confidence: 99%

Productivity, risk, and expected stock returns

Taussig

2022

J Corp Accounting Finance

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“…For instance, several studies (Bloom et al , 2007; Bloom, 2009; Jin et al , 2019) documented that EPU is positively related to earning capacity but negatively related to firm value. In this context, EPU gradually becomes a key determinant of investment strategies and reactivity along with the classical market volatility (Bloom, 2009; Auret and Sayed, 2020). In the meanwhile, since 2008, Bitcoin (popular cryptocurrency) has emerged as an alternative safe asset.…”

Section: Introductionmentioning

confidence: 99%

Asymmetric effects of economic policy uncertainty on Bitcoin’s hedging power

Ali

Schınckus²,

Uddin³

et al. 2022

SEF

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Purpose Even though Bitcoin has been often labelled as a safe haven asset class in the literature, the influence of economic policy uncertainty (EPU) on the diversifying opportunities offered by Bitcoin in relation to other assets needs to be investigated. This paper aims to investigate how the EPU affects diversification of commodity, conventional, Islamic and sustainable equity returns in relation to its impact on Bitcoin returns. Design/methodology/approach The authors use advanced time-series econometrics, namely, multivariate generalized autoregressive conditional heteroscedastic-dynamic conditional correlation and continuous wavelet transformation, for the analysis of the daily returns for the aforementioned assets between 01 August 2011 and 01 September 2019. Findings First, the authors found a strong evidence of Bitcoin’s mean reverting trend in the long run while its volatility has decreased significantly since 2013. After separating the EPU into two regimes (high and low), diversification opportunities with Bitcoin seems to disappear in a high EPU period, while the hedging opportunity tends to prevail in a low EPU period for all classes of assets. Importantly, the findings indicate that Bitcoin offers short-term diversification for sustainable and Islamic equity as well as energy stocks during a low uncertainty period. Consequently, in relation to the policy uncertainty, Bitcoin provides similar hedging opportunities than commodities like Gold and Silver. Overall, the study shows that EPU is remarkably important in explaining the average portfolio returns of Bitcoin, suggesting that this indicator can be perceived as a decent explanatory factor for portfolio diversification. Originality/value The study significantly extends the empirical literature of Bitcoin’s portfolio diversification by taking EPU into consideration. To the best of authors’ knowledge, this is one of the few studies to investigate the asymmetric effects of US EPU on Bitcoin’s hedging capabilities by taking into account major conventional equity, sustainable equity, Islamic equity, gold, silver and oil.

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Crypto swings and the performance of carbon-intensive equity funds in China

Umar

Mirza

et al. 2022

Resources Policy

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The effects of uncertainty on investor expectations and volatility in the South African white maize futures market

Cited by 4 publications

References 29 publications

Productivity, risk, and expected stock returns

Productivity, risk, and expected stock returns

Asymmetric effects of economic policy uncertainty on Bitcoin’s hedging power

Crypto swings and the performance of carbon-intensive equity funds in China

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