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Does Bitcoin hedge commodity uncertainty?
Hoang, Khanh; Nguyen, Cuong; Poch, Kongchheng; Nguyen, … - In: Journal of risk and financial management : JRFM 13 (2020) 6/119, pp. 1-14
. Bitcoin contributes only 2.55% to the connectedness, while the wheat volatility index accounts for 12.51% of the total … transmitter to the wheat volatility, while being the spillover receiver from the oil and corn volatilities. The findings suggest …
Persistent link: https://www.econbiz.de/10012305145
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Volatility spillovers arising from the financialization of commodities
Chan, Wing Hong; Shelton, Bryce; Wu, Yan Wendy - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-12
(ETFs), amplified the volatility transmission channel introduced by financialization. This paper focuses on the volatility … an impact on the volatility of commodity prices, predominantly for non-energy commodities. However, the impact on … volatility is not symmetric across all commodities. The analysis of index investment and investors’ positions in futures markets …
Persistent link: https://www.econbiz.de/10011961264
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Investigating the impact of trade disruptions on price transmission in commodity markets : an application of threshold cointegration
Mann, Janelle; Brewin, Derek - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-7
Threshold cointegration is introduced as an econometric technique to model the impact of trade disruptions on spatial price transmission in commodity markets so that market participants and policy makers can understand the global impact of trade disruptions on prices. The threshold cointegration...
Persistent link: https://www.econbiz.de/10012628574
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A reappraisal of the Prebisch-Singer hypothesis using wavelets analysis
Fahmy, Hany - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-17
The Prebisch-Singer (PS) hypothesis, which postulates the presence of a downward secular trend in the price of primary commodities relative to manufacturers, remains at the core of a continuing debate among international trade economists. The reason is that the results of testing the PS...
Persistent link: https://www.econbiz.de/10012626091
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Forecasting commodity prices using the term structure
Idilbi-Bayaa, Yasmeen; Qadan, Mahmoud - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-39
The aim of this study is to test the ability of the yield curve on US government bonds to forecast the future evolution in the prices of commodities often used in as raw materials. We consider the monthly prices of nine commodities for more than 30 years. Our findings, confirmed by several...
Persistent link: https://www.econbiz.de/10012798924
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Simulation of the Grondona system of conditional currency convertibility based on primary commodities, considered as a means to resist currency crises
Collins, Patrick; Ahmed, Jameel; Ahamed Kameel Mydin Meera - In: Journal of risk and financial management : JRFM 12 (2019) 2/75, pp. 1-20
Currency crises are a significant feature of the present-day world economy, in which financial transactions are many times larger than monetary flows in the "real economy", so that defending a currency's exchange-rate is a major challenge for the governments of countries which may be smaller...
Persistent link: https://www.econbiz.de/10012022128
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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