Oil Price Shocks and American Depositary Receipt Stock Returns

In this paper we examine the impact of oil price shocks on twelve countries American Depositary Receipt (ADR) returns using monthly data from 1999.01 to 2014.12. The results show that oil price shocks have a positive and statistically significant impact on ADR return in all twelve countries. These results are robust to the inclusion of other explanatory variables such as oil price volatility and the spillover of the United States stock market. Further analysis shows that this effect is stronger in the post financial crisis time period compared to the pre-financial crisis time period

Essays on Financial Markets and Investments

Essay I examine regime-switching in the response of U.S. stock price to oil price shocks. We find statistically significant, time-varying, and dynamic state dependent response that resembles to high and low response regimes. Furthermore, we examine whether the timing of the regime shifts are consistent with three (direction, magnitude, and business cycle) manifestations of asymmetry by modeling the transition probabilities governing the switching process as functions of state variables. We observe strong and statistically significant support that stock price responds more aggressively to oil specific shocks during recessions than during expansions, while findings suggest weaker evidence of asymmetry pertaining to the magnitude or direction of the oil price shocks. Essay II, on the other hand, investigates financial contagion during periods of bubble in developed economies from January 1, 1999 to December 29, 2017. First, we test for explosive behavior and bubbles in six stock index series using the recursive flexible window right-tailed ADF-based procedure. Second, we obtain dynamic conditional correlation by using a DCC multivariate GARCH model to analyze daily stock return data in six developed economies. Third, we pool the time-series data on periods of bubbles obtained from GSADF model and time-varying conditional correlations obtained from DCC-GARCH model. Finally, we use various dynamic panel specifications that takes into account the endogenous nature of the bubble. We find statistically significant decrease in the dynamic correlations during periods of bubble, which suggests that, the financial contagion between pair of countries diminishes when any of the two countries in the pair is going through periods of bubble

Explaining the nonlinear response of stock markets to oil price shocks

This paper is set to reconcile the existent conflicting empirical evidence on the effect of oil prices on stock prices. We estimate various nonlinear models where the response changes according to a first-order Markov switching process. More importantly, we model the transition probabilities between the high- and low-response regimes to depend on state variables to allow us to explain the forces behind the asymmetry in the response. The results show statistically significant asymmetries that can be explained by economic recessions and to a lower extent depend on the magnitude of the oil price shift and on whether the shift is positive or negative. In the high response regime, the effect is positive and lasts longer. We also find evidence of asymmetries in the response of stock prices to crude oil supply shocks, global aggregate demand shocks, and oil-specific demand shocks

Financial Contagion During Stock Market Bubbles

We investigate the role of bubbles on financial contagion using a set of developed economies. First, using the recursive flexible window right-tailed ADF-based procedure, we date stamp bubble periods in stock index series. Second, we capture contagion with a DCC multivariate GARCH framework. In a third step, we construct a panel by pooling across the time-series dynamic conditional correlations and bubbles to estimate various dynamic panel specifications that consider the endogenous nature of bubbles. We find statistically significant decreases in the dynamic correlations during periods of bubbles, which shows that the financial contagion between pair of countries diminishes when any of the two countries in the pair is going through a bubble period. This implies that during bubble periods investors are looking for an investment opportunity within their economy and rely less on international diversification. However, decrease in contagion between two economies could provide ample diversification opportunities for portfolio managers

Identifying price bubble periods in the energy sector

In this paper we test for the existence of single and multiple episodes of explosive behavior in three energy sector indices (crude oil, heating oil, and natural gas) and five energy sector spot prices (West Texas Intermediate (WTI), Brent, heating oil, natural gas, and jet fuel). The results from the Supremum Augmented Dickey-Fuller (SADF) and the Generalized SADF tests provide strong statistical evidence of explosive behavior in all of our energy series. A simple theoretical framework of commodity pricing allows us to understand the assumptions to interpret explosive behavior as bubbles. By constructing implied convenience yields using futures prices we test the key assumption and we are able to identify the beginning and the end of bubble periods for the WTI, Brent, heating oil, and natural gas spot prices

Identifying Price Bubble Periods in the Energy Sector

In this paper we test for the existence of single and multiple episodes of explosive behavior in three energy sector indices (crude oil, heating oil, and natural gas) and five energy sector spot prices (West Texas Intermediate (WTI), Brent, heating oil, natural gas, and jet fuel). The results from the Supremum Augmented Dickey-Fuller (SADF) and the Generalized SADF tests provide strong statistical evidence of explosive behavior in all of our energy series. A simple theoretical framework of commodity pricing allows us to understand the assumptions to interpret explosive behavior as bubbles. By constructing implied convenience yields using futures prices we test the key assumption and we are able to identify the beginning and the end of bubble periods for the WTI, Brent, heating oil, and natural gas spot prices

Identifying Price Bubble Periods in the Energy Sector

In this paper we test for the existence of single and multiple episodes of explosive behavior in three energy sector indices (crude oil, heating oil, and natural gas) and five energy sector spot prices (West Texas Intermediate (WTI), Brent, heating oil, natural gas, and jet fuel). The results from the Supremum Augmented Dickey-Fuller (SADF) and the Generalized SADF tests provide strong statistical evidence of explosive behavior in all of our energy series. A simple theoretical framework of commodity pricing allows us to understand the assumptions to interpret explosive behavior as bubbles. By constructing implied convenience yields using futures prices we test the key assumption and we are able to identify the beginning and the end of bubble periods for the WTI, Brent, heating oil, and natural gas spot prices

Compositionally tunable ternary Bi2(Se1-xTex)3 and (Bi1-ySby)2Te3 thin films via low pressure chemical vapor deposition

The inherently rapid ligand substitution kinetics associated with the novel and chemically compatible precursors, [MCl3(EnBu2)3] (M = Sb, Bi; E = Se, Te), enable CVD growth of ternary Bi2(Se1−xTex)3 and (Bi1−ySby)2Te3 thin films with very good compositional, structural and morphological control, for the first time. X-ray diffraction data follow Vegard's law and Raman bands shift linearly with the atom substitutions, indicating very well-distributed solid solutions

Thermal Transport in Micro- and Nanoscale Systems

Small-scale (micro-/nanoscale) heat transfer has broad and exciting range of applications. Heat transfer at small scale quite naturally is influenced – sometimes dramatically – with high surface area-to-volume ratios. This in effect means that heat transfer in small-scale devices and systems is influenced by surface treatment and surface morphology. Importantly, interfacial dynamic effects are at least non-negligible, and there is a strong potential to engineer the performance of such devices using the progress in micro- and nanomanufacturing technologies. With this motivation, the emphasis here is on heat conduction and convection. The chapter starts with a broad introduction to Boltzmann transport equation which captures the physics of small-scale heat transport, while also outlining the differences between small-scale transport and classical macroscale heat transport. Among applications, examples are thermoelectric and thermal interface materials where micro- and nanofabrication have led to impressive figure of merits and thermal management performance. Basic of phonon transport and its manipulation through nanostructuring materials are discussed in detail. Small-scale single-phase convection and the crucial role it has played in developing the thermal management solutions for the next generation of electronics and energy-harvesting devices are discussed as the next topic. Features of microcooling platforms and physics of optimized thermal transport using microchannel manifold heat sinks are discussed in detail along with a discussion of how such systems also facilitate use of low-grade, waste heat from data centers and photovoltaic modules. Phase change process and their control using surface micro-/nanostructure are discussed next. Among the feature considered, the first are microscale heat pipes where capillary effects play an important role. Next the role of nanostructures in controlling nucleation and mobility of the discrete phase in two-phase processes, such as boiling, condensation, and icing is explained in great detail. Special emphasis is placed on the limitations of current surface and device manufacture technologies while also outlining the potential ways to overcome them. Lastly, the chapter is concluded with a summary and perspective on future trends and, more importantly, the opportunities for new research and applications in this exciting field