56 research outputs found
Essays on commodity market uncertainties : a thesis presented in partial fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University, Albany, New Zealand
Listed in 2020 Dean's List of Exceptional ThesesThis dissertation presents three essays on commodity market uncertainties. Fundamentally, uncertainty relates to a decrease in investment and reduction in the production of goods and services that causes a momentary decline in aggregate output as well as employment. Hence, the increase in uncertainty has a pervasive impact on the aggregate income received by all the factors of production in an economy.
In the first study, we measure the daily price uncertainty of 22 commodities and analyze the time and frequency connectedness among them. Applying spillover analysis and network graphs, we find that overall connectedness among commodity uncertainties increase during the global financial crisis (GFC) and the oil price collapse of 2014-16. Network analysis shows more spillover within a specific commodity class, and that precious metals due to less spillover with other commodities may serve as safe-haven during the crisis. The decomposition of the spillover index reveals that commodity markets are more connected in the long-run.
The second study builds on the energy ā stock nexus by investigating the impact of energy commodity uncertainties on the systematic risk of twelve industries in the US. The dynamic betas indicate that real estate, financials, and basic materials are the high-risk industries. Notably, the systematic risk of the oil and gas sector was significantly affected during the Global Financial Crisis (GFC) and the Shale Oil Revolution (SOR) sub-periods. Our results provide convincing evidence of the positive impact of energy uncertainties on basic material, basic resources, financials, oil and gas, and real estate. On the other hand, we identify the negative impact on consumer goods, consumer services, health care, industrials, and technology industries.
Finally, our third study investigates the causal impact of global factors as drivers of transmission between oil and other commodity markets using the commodity uncertainty indexes. We estimate strong bi-directional transmission between oil and metal (agriculture) markets. Our analysis also suggests that oil is a net transmitter to other commodity uncertainties, and this transmission significantly increased during the period of the global financial crisis. The use of linear and nonlinear causality tests indicates that the global factors have a causal effect on the overall connectedness, especially on the total transmission from oil to other commodity uncertainties. Further segregation of transmissions between oil to individual commodity markets indicates VIX, TED spread, and EPU as the most influential drivers of connectedness among commodity markets
Sustainable corporate governance and gender diversity on corporate boards: evidence from COVID-19
The unprecedented challenges caused by the COVID-19 pandemic
have led to a need to re-examine sustainable corporate governance practices. Within this context, the current study investigates
the moderated effect of gender-diverse corporate boards on sustainable corporate governance practices in Malaysian financial
and non-financial firms during the period 2011ā2020, employing
the dynamic estimator (S-GMM). During the COVID-19 pandemic,
a negative relationship between ownership constructs and Global
Reporting Initiative (GRI) indicators is observed in non-financial
firms, whereas the opposite is reported for financial firms.
Moreover, the moderated effect of gender-diverse boards is only
substantiated in financial firms. The findings reveal that sustainable corporate governance is practised in financial firms but not
in non-financial firms. Particularly, we draw significant implications
for policymakers and regulatory bodies of Malaysia to carefully
monitor the implementation of sustainable corporate governance
given uncertain circumstances of COVID-19 pandemic. Further,
our study is beneficial for academics, practitioners, and research
scholars for their future research endeavours
Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets?
This study draws a comparison between the Global Financial
Crisis (GFC) and the COVID-19 pandemic crisis to assess the safehaven potential of Islamic stocks for G7 stock markets. We employ
the cross-quantilogram framework of Han et al., which considers
the non-linearity in the relationship, and thus captures the correlation between the Islamic and G7 stock markets across various
quantiles reflecting different market conditions. The analysis also
includes the time-varying cross-quantile correlation to observe the
evolution of Islamic stocksā safe-haven potential. Our full sample
analysis shows that Islamic stocks do not exhibit safe-haven properties for G7 stock markets. During the GFC period, Islamic stocks
show some diversification benefits for the G7 stock markets.
Notably, Islamic stocks emerged as a robust safe-haven asset for
the G7 stock markets during the pandemic crisis. The study carries
essential insights for equity investors and regulators of G7 and
other countries to implement diversification/hedging strategies
that would involve Islamic stocks to protect equity investments
and the overall financial system amid the financial downturns
Geopolitical Risk and Tourism Stocks of Emerging Economies
A bulk of literature suggests that geopolitical events such as terrorist attacks dampen tourism demand. However, there is little research on whether this effect helps predict the return of the tourism equity sector. We provide country-level evidence on whether local and global geopolitical risk (GPR) predicts the first and second moments of tourism stocks in emerging economies. This objective was achieved by employing the non-parametric causality-in-quantiles (CiQ) model and a cross-quantilogram (CQ) test, which allowed us to uncover the predictive potential of GPR for the tourism sector equities. Our findings, obtained through the CiQ model, suggest that while both local and global GPRs carry significant potential for predicting the returns and volatility of tourism stocks of most emerging economies under normal market conditions, they seem to play no such role in certain countries. These countries include South Korea, for which only a limited number of tourism stocks trade on the domestic stock market compared to other sectors, and Colombia, for which both the domestic stock market and tourism sectors are at an emerging stage. Further, it turns out that, compared to its local counterpart, global GPR has a more pronounced predictive power for the tourism stocks of emerging economies. Finally, with some exceptions, the results are qualitatively similar, and hence reasonably robust, to those when a directional predictability model is applied. Given that geopolitical shocks are largely unanticipated, our findings underscore the importance of a robust tourism sector that can help the market recover to stability as well as an open economy that allows local investors to diversify country-specific risks in their portfolios. Implications and directions for future research are discussed
Causal links between hot money and investment markets: evidence from small-scale economy
Hot money is generally associated with economic and financial turmoil
in emerging economies. In this backdrop, a number of studies
document the causal links between hot money and financial markets.
Accordingly, the study examines the causal relationship among
hot money, equities, and real estate assets in the small-scale economy
of Pakistan. For this purpose, we employ various time series
techniques such as the JJ Co-integration test, Granger causality tests,
Impulse Response Functions (IRF), and Variance Decomposition
Analysis (VDC). The findings validate the long-term association
between speculative funds and underlying investment markets. The
results uncover unidirectional causality from investment markets to
hot money in Pakistan. However, the lack of a bi-directional relationship
among the underlying variables indicates that hot money is not
a major driver of soaring prices in equities and real estate assets.
Alternatively, developing the underlying markets attracts speculative
cash inflows into the economy. The findings of the study highlight
some useful implications for investors and regulators. For instance,
the studyās findings present valuable insights for international investors
seeking diversification opportunities in small-scale economies
such as Pakistan. Also, the regulators in the underlying economy can
utilize the study findings to formulate an optimal model to manage
international capital flows
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