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Commodity Price Volatility and the Economic Uncertainty of Pandemics
Bakas, Dimitrios - 2020
In this paper, we empirically investigate the impact of pandemics on commodity price volatility. In specific,we explore the impact of economic uncertainty related to global pandemics on the volatility of the S&P GSCI commodity index as well as on the sub-indexes of crude oil and gold. The...
Persistent link: https://www.econbiz.de/10012836326
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Coping with Costs : Big Data on Expense Volatility and Medical Payments
Farrell, Diana - 2017
In this report, the JPMorgan Chase Institute assembled a de-identified data asset of over 250,000 Chase customers between 2013 and 2015 in order to study how consumers' expenses vary over time and how their financial behavior changes when faced with extraordinary medical payments. We organize...
Persistent link: https://www.econbiz.de/10012962818
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On the relation between the crude oil market and pandemic Covid-19
Shaikh, Imlak - In: European journal of management and business economics : … 30 (2021) 3, pp. 331-356
Purpose - The crude oil market has experienced an unprecedented overreaction in the first half of the pandemic year 2020. This study aims to show the performance of the global crude oil market amid Covid-19 and spillover relations with other asset classes. Design/methodology/approach - The...
Persistent link: https://www.econbiz.de/10012822263
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The Month-of-The-Year Effect : Evidence from GARCH Models in Fifty Five Stock Markets
Giovanis, Eleftherios - 2017
This paper studies the month of the year effect, where January effect presents positive and the highest returns of the other months of the year. In order to investigate the specific calendar effect in global level, fifty-five stock market indices from fifty-one countries are examined. Symmetric...
Persistent link: https://www.econbiz.de/10012976575
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Income Volatility, Health and Well-Being
Adeline, Amelie - 2019
While there is mounting evidence that large income shocks, e.g. in the form of a job loss, may impact health and mortality, little evidence exist on the potential relationship between sustained income volatility, keeping average lifetime income constant, and health. This paper exploits rich...
Persistent link: https://www.econbiz.de/10012857829
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The COVID-19 and Stock Return Volatility : Evidence from South Korea
Pyo, Dong-Jin - 2021
This study examines the impact of the number of coronavirus cases on regime-switching in stock return volatility. This study documents the empirical evidence that the COVID-19 cases had an asymmetric effect on the regime of stock return volatility. When the stock return is in the low volatility...
Persistent link: https://www.econbiz.de/10013221166
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Income volatility, health and well-being
Adeline, Amélie; Choinière Crèvecoeur, Ismael; … - 2019
While there is mounting evidence that large income shocks, e.g. in the form of a job loss, may impact health and mortality, little evidence exist on the potential relationship between sustained income volatility, keeping average lifetime income constant, and health. This paper exploits rich...
Persistent link: https://www.econbiz.de/10012140432
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"I Quit" : The Role of Schedule Volatility in Employee Turnover
Bergman, Alon; David, Guy; Song, Hummy - 2021
We examine how employer-driven volatility in workers' schedules impacts their decision to voluntarily leave their job. Using time-stamped work log data of home health nurses, we construct and study a novel measure of schedule volatility. This measure may be endogenous to the worker's decision to...
Persistent link: https://www.econbiz.de/10013214749
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Are the S&P 500 index and crude oil, natural gas and Ethanol futures related for intra-day data?
Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - 2016 - Revised: February 2016
intra-day temporal aggregation in examining returns relationships and volatility spillovers across the equity and energy … futures markets, and the effects of overnight returns, volume, realized volatility, asymmetry, and spillovers across the four … spillovers, and dynamic conditional correlations and covariances, show that the relationships between the stock market and …
Persistent link: https://www.econbiz.de/10011441584
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Testing for a common volatility process and information spillovers in bivariate financial time series models
Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016 - Revised: February 2016
The paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993), who...
Persistent link: https://www.econbiz.de/10011441709