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Is the influence of oil prices changes on oil and gas stock prices in Nigeria symmetric or asymmetric?

Musa, Dasauki; Awolaja, Oladapo Gbenga; Jerry, Kwarbai; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-16

Overdependence on oil revenue has exposed the economy to shocks from oil price variations. In this paper, we investigated the relationship between oil price on the stock prices of oil and gas firms quoted in the Nigerian Stock Exchange market. In doing so, the ARDL and NARDL approach is applied...

Persistent link: https://www.econbiz.de/10014500416

The role of energy on the price volatility of fruits and vegetables : evidence from Turkey

Uçak, Harun; Yelgen, Esin; Arı, Yakup - In: Bio-based and applied economics 11 (2022) 1, pp. 37-54

structure with continuous changes. In this dynamic process, analyzing the intensive use of energy at each stage has gained more … between energy price index and fruit-vegetables price index in the period of 2007-2020 in Turkey using the Kanas and Diebold … statistically significant volatility spillover from the energy price index to the vegetable price index, whereas there is no …

Persistent link: https://www.econbiz.de/10013349349

Measuring global macroeconomic uncertainty and cross-country uncertainty spillovers

Moramarco, Graziano - In: Econometrics : open access journal 11 (2023) 1, pp. 1-29

We propose an approach for jointly measuring global macroeconomic uncertainty and bilateral spillovers of uncertainty between countries using a global vector autoregressive (GVAR) model. Over the period 2000Q1-2020Q4, our global index is able to summarize a variety of uncertainty measures, such...

Persistent link: https://www.econbiz.de/10014281497

Modeling international stock market contagion using multivariate fractionally integrated APARCH approach

Mighri, Zouheir; Mansouri, Fayçal - In: Cogent economics & finance 2 (2014) 1, pp. 1-25

The aim of this article is to examine how the dynamics of correlations between two emerging countries (Brazil and Mexico) and the US evolved from January 2003 to December 2013. The main contribution of this study is to explore whether the plunging stock market in the US, in the aftermath of...

Persistent link: https://www.econbiz.de/10010490457

Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets

Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - In: Central European journal of economic modelling and … 13 (2021) 2, pp. 105-146

This paper applies recently developed procedures to monitor and date so-called "financial marketdislocations", defined as periods in which substantial deviations from arbitrage parities take place. In particular, we focus on deviations from the triangular arbitrage parity for exchange rate...

Persistent link: https://www.econbiz.de/10012619980

Mercados cambiarios y tipos de cambio de Asia y Latinoamérica : sincronización de largo plazo, cambios estructurales y choques estocásticos

Ruiz Porras, Antonio; Fregoso Becerra, Luis Enrique - In: Revista de métodos cuantitativos para la economía y … 25 (2018), pp. 295-317

The exchange markets and the exchange rates of Asia and Latin America are studied econometrically. Endogenous structural change and cointegration analyzes and impulse-response functions are used. The findings indicate that: 1) the long-term timing of the exchange markets is low; 2) there is no...

Persistent link: https://www.econbiz.de/10011870778

Stock market investment and inflation : evidence from the United States and Canada

Sami, Janesh - In: Review of Economic Analysis : REA 13 (2021) 3, pp. 339-365

This paper examines the long-run relationship between goods prices and stock prices to understand whether stock market investment can help hedge against inflation in the United States (US) and Canada. This study employed an autoregressive distributed lag (ARDL) cointegration test developed by...

Persistent link: https://www.econbiz.de/10012886334

The effects of US Covid-19 policy responses on cryptocurrencies, Fintech and artificial intelligence stocks : a fractional integration analysis

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-14

This paper assesses the impact of US policy responses to the Covid-19 pandemic on various technology-related assets such as cryptocurrencies, financial technology, and artificial intelligence stocks using fractional integration techniques. More precisely, it analyzes the behavior of the...

Persistent link: https://www.econbiz.de/10014500447

Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models

Yildirim, Hakan; Bekun, Festus Victor - In: Future Business Journal 9 (2023), pp. 1-8

The ınvestment decisions of institutional and individual investors in financial markets are largely influenced by market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of the prices and returns of the investment instruments...

Persistent link: https://www.econbiz.de/10014382180

Energy and economic growth : an empirical analysis

Adamopoulos, Antonios - In: Theoretical and applied economics : GAER review 28 (2021) 1/626, pp. 151-166

Persistent link: https://www.econbiz.de/10012693101

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