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Does the exchange rate and its volatility matter for international trade in Ethiopia?
Nguse, Tiblets; Oshora, Betgilu; Fekete-Farkas, Maria; … - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-18
This study was carried out to investigate the impact of the Ethiopian exchange rate and its volatility on international … investigate how international trade responds to exchange rate levels and volatility. The study relied solely on secondary time … the long-term relationship between exchange rate level, volatility, and international trade performance. An error …
Persistent link: https://www.econbiz.de/10012799155
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E.U. and China trends in trade in challenging times
Jindřichovská, Irena; Uğurlu, Erginbay - In: Journal of risk and financial management : JRFM 14 (2021) 2/71, pp. 1-19
The sudden and abrupt rise of COVID-19 became a challenge for the world economy. In this paper, we investigate the changes in a trend of mutual trade between the EU-15 countries and China during the demanding times of the COVID-19 crisis. We use monthly data for Chinese exports to the E.U....
Persistent link: https://www.econbiz.de/10012484065
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International trade in the post-soviet space : trends, threats, and prospects for the internal trade within the Eurasian Economic Union
Kot, Vera; Barsukova, Arina; Strielkowski, Wadim; … - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-19
This paper discusses the dynamics of foreign trade in the post-Soviet space within the Eurasian Economic Union (EAEU) during the period from 2015 to 2021. Additionally, the paper analyzes export indicators in foreign and mutual trade of the EAEU member countries and diversification of the...
Persistent link: https://www.econbiz.de/10014295480
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The fundamental equation in tourism finance
McAleer, Michael - In: Journal of risk and financial management : JRFM 8 (2015) 4, pp. 369-374
The purpose of the paper is to present the fundamental equation in tourism finance that connects tourism research to empirical finance and financial econometrics. The energy industry, which includes, oil, gas and bio-energy fuels, together with the tourism industry, are two of the most important...
Persistent link: https://www.econbiz.de/10011545065
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The impact of the U.S. macroeconomic variables on the CBOE VIX Index
Prasad, Akhilesh; Bakhshi, Priti; Seetharaman, Arumugam - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-25
The purpose of this study is to find the influence of various macroeconomic factors on the volatility index, as … macroeconomic factors affect stock market volatility, resulting in an impact on the VIX Index, representing the risk in the stock … market. To estimate the significance and importance of the U.S. macroeconomic variables on stock market volatility and risk …
Persistent link: https://www.econbiz.de/10013163867
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Measures of volatility, crises, sentiment and the role of U.S. "fear" index (VIX) on herding in BRICS (2007-2021)
Zhang, Hang; Giouvris, Evangelos - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-42
We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our … relationship between volatility and CSAD (cross sectional absolute deviation)/herding, a lower CSAD (movement in a specific … direction) brings about less volatility. However, a high volatility amplifies herding (reduces CSAD), especially in China …
Persistent link: https://www.econbiz.de/10013164975
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The impact of ESG ratings on the systemic risk of European blue-chip firms
Eratalay, Mustafa Hakan; Cortés Ángel, Ariana Paola - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-41
indicate that (1) the volatility of a stock’s returns and its centrality measures in the stock network are the main sources … exposure compared to firms with lower ESG ratings and (3) COVID-19 augmented the partial effects of volatility, centrality …
Persistent link: https://www.econbiz.de/10013168839
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Net buying pressure and informed trading in the options market : evidence from earnings announcements
Badshah, Ihsan Ullah; Koerniadi, Hardjo - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-9
trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …
Persistent link: https://www.econbiz.de/10012818141
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A comparative analysis of the nature of stock return volatility in BRICS and G7 markets
Muguto, Lorraine; Muzindutsi, Paul-Francois - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-27
growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by … volatility in developed G7 and emerging BRICS markets. Broad market index data and GARCH models over the period 2003 …:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …
Persistent link: https://www.econbiz.de/10012872753
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Asymmetry and leverage with news impact curve perspective in Australian stock returns' volatility during COVID-19
Iqbal, Najam; Manzoor, Muhammad Saqib; Bhatti, Muhammad … - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-15
This paper studies the effect of COVID-19 on the volatility of Australian stock returns and the effect of negative and … positive news (shocks) by investigating the asymmetric nature of the shocks and leverage impact on volatility. We employ a … than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is …
Persistent link: https://www.econbiz.de/10012622818