Lithium industry in the behaviour of the mergers and acquisitions in the U.S. oil and gas industry.

Is lithium affecting the U.S. oil and gas industry strategies? Lithium has an increasingly strategic role as clean technologies emerge, affecting the strategies of oil and gas companies in response to energy trends. This paper contributes to this literature, studying the dynamics of lithium industry and mergers and acquisitions in the U.S. oil and gas industry in time-frequency domain. We use methodologies based on Continuous Wavelet Transform (CWT) and Vector AutoRegressive Models (VAR), and the results indicate that both time series are correlated in the long term, where M&A U.S. oil and gas industry dependence on lithium industry has increased, starting in the early 2014 until the end of the sample. Evidence of causality is not found between both time seriespre-print716 K

Multiscale oil-stocks dynamics: the case of Visegrad group and Russia

This paper tries to determine the strength of the interdependence between Brent oil market and the stock markets of oil importing Visegrad group countries and oil exporting Russia in different time-horizons. The paper uses several novel and elaborate methodologies – bivariate DCC-EGARCH model, wavelet correlations and phase difference. The results of DCC model show that all dynamic correlations between Brent oil and the selected stock indices are low at daily-frequency level. The magnitude of mutual correlations does not exceed 20% for Visegrad countries, while for Russia it goes little bit over 30%. Wavelet correlations in shortterm confirms DCC results, whereby this relatively weak connection is found up to 32 days. However, in midterm and long-term, wavelet correlations strengthen, and go above 50% in midterm and even beyond 80% in long-term for majority of the indices. Slovakian SAX index has stronger wavelet correlation in 32 days than in 64 days, and it goes around 23%. This means that SAX can be coupled with Brent oil for diversification purposes in both short-term and midterm portfolios. Besides, phase-difference methodology provides an evidence that SAX was in anti-phase position in two separate occasions, meaning that SAX can also serve well for hedging purposes

Exchange Volatility and Export Performance in Egypt: New Insights from Wavelet Decomposition and Optimal GARCH Model

This paper assesses the link between exchange volatility and exports in Egypt by combining wavelet analysis with an optimal GARCH model chosen among various extensions. The observed outcomes reveal that this relationship is complex and depends then widely to frequency-to-frequency variation and slightly to leverage effect and to switching regime. Indeed, it is well shown that at the low frequency, the coefficient associated to exchange rate volatility’s effect on trade performance is more intense than that at the high frequency and conversely when subtracting energy share from the total of exports. We attribute the apparently conflicting results to the financial speculation, the composition of trade partners and the choice of reference basket’s currencies

Analysis of the Russo-Ukrainian war and the 2022 Energy Crisis in the Context of Hybrid Threats.

Etter å ha sammenlignet priser på TTF naturgass og den geopolitiske risikoindeksen (GPR) hevder denne oppgaven at prisene på naturgass var påvirket av den geopolitiske situasjonen i Europa i 2021 og 2022. Ved å vise hvordan bevegelsene til gassprisene ble påvirket av GPR – av krigen og hybride trusler fra Russland, undersøker denne oppgaven om manipulasjon av eksport av naturgass fra Russland sin side forårsaket energikrisen i Europa i 2022. Utgangspunktet for denne oppgaven var observasjonen av at hybride trusler blir mer vanlig og at ettersom mange stater befinner seg i avhengighetsforhold med sine energileverandører så er de i en utsatt posisjon der energi kan brukes som pressmiddel for å oppnå sikkerhetspolitiske mål. Den Russiske invasjonen av Ukraina og den påfølgende energikrisen i Europa bød på en mulighet til å studere slike hendelser i lys av hybrid krigføring. Tidsserier av priser på naturgass og GPR analyseres ved hjelp av volatilitetsanalyse og wavelet analyse. Gassprisene undersøkes for volatilitet og klynger av volatilitet ved hjelp av GARCH modeller. GPR og gasspriser sjekkes for korrelasjon og sambevegelse ved hjelp av wavelet analyser. Et viktig funn i denne studien er at gasspriser og GPR beveger seg sammen på de samme frekvensene, noe som indikerer kovarians og korrelasjon, og at de to tidsseriene beveger seg i samme fase fra begynnelsen av 2021 til slutten 2022. Høye gasspriser og høy volatilitet knyttes til krigen i Ukraina og spenninger i Europa som er relatert til krigen, gjennom GPR indeksen. Disse funnene diskuteres i lys av omstendighetene som førte til krigen i Ukraina og i lys av hybrid krigføring. Denne studien finner at ettersom Russland tidligere har benyttet seg av hybride virkemidler i andre konflikter, og mest sannsynlig vil gjøre det igjen, så er det rimelig å anta at de Russiske handlingene som førte til energikrisen var et resultat av forsøk på hybrid krigføring.By analyzing TTF natural gas prices together with the geopolitical risk (GPR) index, this thesis claims that the prices of natural gas were influenced by the geopolitical risk in Europe in 2021 and 2022. By showing how movements of natural gas prices were affected by the GPR - essentially the war and hybrid threats posed by Russia, the thesis seeks to investigate whether the Russian manipulation of its natural gas exports to Europe ultimately caused the 2022 European energy crisis. The starting point for this thesis was an observation that as hybrid threats are becoming increasingly common, energy is the perfect tool to exert pressure on state actors as many states are in a relationship with energy suppliers that make them vulnerable to manipulation and extortion. The occurrence of the Russian invasion of Ukraine and the following energy crisis in Europe posed an opportunity to study the events in the context of hybrid warfare. Time series of natural gas prices and GPR are statistically analyzed through volatility analysis and wavelet transform analysis. Gas prices are checked for volatility and volatility clustering using the GARCH model framework. GPR and gas prices are checked for cross-correlation and co-movement through wavelet transform analysis. A key finding is that gas prices and GPR move together at the same frequencies indicating that there is covariance, coherence, and that the two time-series move in phase from the beginning of 2021 to the end of 2022. High gas prices and high volatility in the prices are linked to the war in Ukraine and tensions in Europe related to the war, through the GPR index. These findings are discussed together with the pretext of the war in Ukraine and the workings of hybrid warfare. The study finds that as Russia has incorporated a number of hybrid tactics and strategies in earlier disputes and conflicts, it is more than likely to apply such techniques again and it is reasonable to assume that the energy crisis was result of attempts of hybrid warfare

Oil price shocks and GCC capital markets: who drives whom?

Global reliance on Hydrocarbon sector has dramatically increased multi-fold which has led to rise to dominance of GCC. GCC is home to 45% of the proven oil reserves and contributes nearly 35% of the world oil exports annually. With such heavy reliance of the world on GCC for its oil produce, and the GCC’s economic reliance on Oil and Gas exports, the matter of world oil price shocks and its transmission to other areas of economy is of immense importance to the GCC economies. With Oil wealth accumulating in GCC with some estimates of over $500 billion, oil shocks and stock market volatility in GCC has emerged as a key concern area. Our paper focuses on understanding the short term and long term correlation between oil price shocks and GCC stock market’s volatility and the presence of any lead lag relationships. This study provides unique findings, different from earlier studies as we are able to analyze with non-linearity and least restrictive assumptions. The findings of this study are paramount for portfolio managers for their diversification benefit as well as timing of investment and divestment purposes

Oil price shocks and GCC capital markets: who drives whom?

Global reliance on Hydrocarbon sector has dramatically increased multi-fold which has led to rise to dominance of GCC. GCC is home to 45% of the proven oil reserves and contributes nearly 35% of the world oil exports annually. With such heavy reliance of the world on GCC for its oil produce, and the GCC’s economic reliance on Oil and Gas exports, the matter of world oil price shocks and its transmission to other areas of economy is of immense importance to the GCC economies. With Oil wealth accumulating in GCC with some estimates of over $500 billion, oil shocks and stock market volatility in GCC has emerged as a key concern area. Our paper focuses on understanding the short term and long term correlation between oil price shocks and GCC stock market’s volatility and the presence of any lead lag relationships. This study provides unique findings, different from earlier studies as we are able to analyze with non-linearity and least restrictive assumptions. The findings of this study are paramount for portfolio managers for their diversification benefit as well as timing of investment and divestment purposes

Macro-Financial Parameters Influencing Bitcoin Prices: Evidence from Symmetric and Asymmetric ARDL Models

Bitcoins are evolving as a modern class of investment assets and it is crucial for investors to manage their investment risk. This paper examines the impact of macroeconomic-financial indicators on Bitcoin price using symmetric and asymmetric version of autoregressive distributed lag (ARDL) models with structural breaks. The asymmetric long-run association ascertained between Bitcoin prices and the macroeconomic-financial indicators is evident. Our empirical results indicate that the Bitcoin cannot be used to hedge against the inflation, Federal funds rate, stock markets and commodity markets. We further find that Bitcoin can be regarded as a hedging device for the oil prices. Our findings have significant implications for market participants who consider including alternate investment assets in their portfolios

Studies on African equity markets and global shocks : co-movement, contagion, and diversification

A Doctoral thesis submitted in fulfilment of the requirements for the award of Doctor of Philosophy degree in the field of Finance The Graduate school of Business Administration, University of the Witwatersrand, October 2016The global financial system has experienced turmoil in the past three decades, at the least. Although the shocks originate abroad, they possess some rippling effects on African economies. The essence of market integration and cross-border listings of stocks has fueled the need for African markets to be well integrated with the global economy. Despite this need, available empirical literature exploring the integration of African markets regionally, and with the rest of the world appear unclear. Moreover, the possibility of global shocks transmitting to Africa via its emerging equity markets remains underexplored. At the same time, such knowledge is critical for not only understanding the functioning of equity markets in particular, but also important for regulating the financial system in general. This thesis addresses these gaps inherent in extant literature and proffer empirical and theoretical solutions by exploring the nexus between African stock markets and global shocks. The emphasis is on contagion, co-movement, and diversification. The thesis is organized into four empirical essays, each deeply touching on specific theme (s) that form the core of the problems or research questions under investigation while employing advanced econometric techniques that underpin the modeling of asset returns. The first essay examines the capacity of African equity markets to act as ‗hubs‘ for portfolio investors during tranquil and turbulent conditions of global equity and commodity markets. The findings posit that African stock markets provide decorrelation from commodity and global equity markets during extreme market conditions. To the extent that the results reveal the strength of African stocks in cushioning international portfolio investors in a mean-variance stand-point during market crashes, the essay helps to decay doubts in the minds of investors on the perceived lack of capacity of the continent‘s stocks to yield higher expected risk-return trade-offs during global market sell-offs. The implication of the study is that given the recent history of commodities and global stocks, fund managers around the world seeking viable alternatives to compensate for losses from commodity shocks through uncorrelated markets may consider the equity markets in Africa, albeit on account of volatility persistence, present and past market conditions, markets stability, as well as size and liquidity issues. The second essay examines regional and global co-movement of African stock markets using the three-dimensional continuous Morlet wavelet transform methodology. The essay establishes evidence of stronger co-movements broadly narrowed to short-run fluctuations. The co-movements are time-varying and commonly non-homogeneous – with phase difference arrow vectors implying lead-lag African Equity Markets and Global Shocks 2016 © Gideon Boako Page iii relationships. The presence of lead-lag effects and stronger co-movements at short-run fluctuations may induce arbitrage and diversification opportunities to both local and international investors with long-term investment horizons. The findings also reveal that some African equity markets are, to a degree, segmented from volatilities of the dollar and euro exchange rates. The third essay sheds light on whether African equity markets decoupled from, and / or converged with regional and global markets from 2003 to 2014, and analyzes the implications of that for shocks spillovers. Although there is no evidence of African markets convergence either regionally or globally, shock propagation exists in a time-varying setting. Regional markets in Africa are not just ‗shock absorbers‘ but also ‗shock transmitters‘. In the last essay, the dependence structure and (extreme) downside developed equity markets and currency price risk spillover effects to African stock markets using value-at-risk (VaR) and conditional value-at-risk (CoVaR) based on stochastic copulas is modeled. The study finds evidence of non-homogenous weak negative dependence between stocks and the USD and EUR exchange rates. Except for Egypt, there is evidence of positive significant dependencies between all African markets and their developed counterparts. Although, evidence of both uni-directional and bidirectional causality, as well as upper and lower tail dependencies are found across the stocks and currency markets, only some minuscule evidence of downside spillover effects was recorded, albeit episodic. It is observed that propagation of shocks from the GFC had a second round effect in African stock markets. Thus, the impact of the GFC to African economies was not through the credit crunches and liquidity freezes in Phase I of the crisis, but rather through the global recession that followed into the second phase. The findings are consistent with the view that global shocks propagation to developing markets may stagger during crisis and intensify post-crisis. A practical implication from the results is that given the relatively scarce resources and levels of technological know-how available to African governments, efforts to wean the continent‟s equity markets from adverse effects of global market crashes should be geared towards plans and programmes to mitigate the shocks not at the early stages but latter stages, where the effects to Africa could be prominently felt. Three key arguments are deduced from all the essays. First, although financial market underdevelopment seems prima-facie, to help countries isolate themselves against immediate contagion, it also reduces the ability of the real economy to cushion the impact of the crisis. African Equity Markets and Global Shocks 2016 © Gideon Boako Page iv Therefore, the argument of the thesis is that despite the common fear that a highly integrated and developed market may present fertile grounds for shock spillover, Africa must continue to pursue programmes aimed at enhancing inter and intra-regional integration. However, the degree and extent of both inter- and intra-regional integration ought to be pegged at certain optimal levels in order to reap benefits from scale economies. Such endeavours at integration will not only help in risk diversification but also help smooth the impact of shocks. The second argument is that, the proposition of the ―decoupling theory‖ i.e. returns of African equity markets and global stocks are not jointly normal during crisis periods may not be entirely tenable, empirically. Thirdly, the thesis argues that the “shift-contagion” theory may not reflect the reality for Africa, particularly during initial stages of crisis. Instead, the thesis suggests an extension and argues for a “delayed-shift contagion” theory. Keywords: Decoupling, shift-contagion, spillover effects, CoVaR, exchange rates, commodities. JEL Classification: C40, C58, F31, F36, G10, G11, G15,GR201

Every crypto breath in the world : the current global position of the cryptocurrency market and future prediction

This study was motivated by the breakthrough of cryptocurrencies in 2018. The other main reasons behind the motivation are the total market capitalisation of one trillion-dollar diversification possibilities and the lack of preceding scientific research to identify the portfolio diversification possibilities of cryptocurrencies from many angles. Four empirical studies were conducted to provide a holistic view of cryptocurrency as an investment tool. The first study investigated the portfolio diversification possibilities between cryptocurrencies and traditional financial markets. A quantitative method was employed with Cointegration, ARDL bound testing approach, causality, and co-movement testing. Applying Modern portfolio theory to identify the diversification possibilities between the aforementioned markets enabled the study to highlight how investors can reap the benefits of cryptocurrencies. The second study extended the investigation of the portfolio diversification possibilities of cryptocurrency by including precious metals and cryptocurrencies in the same investment basket. Investors switch from traditional investment assets, such as equity and debt market instruments, to precious metal markets to reap benefits. Therefore, this study investigates how cryptocurrency can be an alternative source of investment to include in an investment portfolio. The daily precious metal and cryptocurrency data from 2017 to 2022 was utilised through an ARDL framework to obtain the Cointegration between cryptocurrency, precious metal and across cryptocurrencies. Modern portfolio theory is used to identify the diversification possibilities in this study with different portfolio diversification strategies. The third study clarified the cryptocurrency stakeholders to identify the global perception of cryptocurrency investments. A qualitative method was employed with sentiment analysis, followed by data extractions from the global databases using machine learning algorithms. The study identified the percentage of stakeholder groups' positive, negative, and neutral perceptions of cryptocurrency. The main obstacles hindering cryptocurrency investment growth are the fear of current scams, lack of definitional issues and the absence of a legal framework in some countries. The fourth study included the findings from the first, second and third studies to develop a cryptocurrency predictive model by factoring in macroeconomic variables. Panel data regression with fixed and dynamic effects was employed to analyse the data from 2017 to 2002. The findings suggest the impact of each macroeconomic variable selected in the study for the cryptocurrency price changes while adding more significance to technological variables. The overall findings provide strong support for the portfolio diversification possibilities of cryptocurrencies. Inclusions of the wide range of investment classes, exploring stakeholder perception and highlighting the macroeconomic variables' influence on the cryptocurrency price prediction generate new insights and valuable comparisons about cryptocurrency markets for academia, crypto issuers, investors, government, policymakers, and fund managers to use as an investment and decision-support tools. Keywords: Cryptocurrency, ARDL, Financial Markets, Cointegration, Causality, Portfolio diversification, Precious Metals, Predictive model.Doctor of Philosoph