Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions Tập 13 Số 4 - Trang 84
Nikolaos Antonakakis, Ioannis Chatziantoniou, David Gabauer
In this study, we enhance the dynamic connectedness measures originally
introduced by Diebold and Yılmaz (2012, 2014) with a time-varying parameter
vector autoregressive model (TVP-VAR) which predicates upon a time-varying
variance-covariance structure. This framework allows to capture possible changes
in the underlying structure of the data in a more flexible and robust manner.
Specifically, ther... hiện toàn bộ
Dependency Relations among International Stock Market Indices Tập 8 Số 2 - Trang 227-265
L.A. Teixeira Júnior, Asher Mullokandov, Dror Y. Kenett
We develop networks of international stock market indices using information and
correlation based measures. We use 83 stock market indices of a diversity of
countries, as well as their single day lagged values, to probe the correlation
and the flow of information from one stock index to another taking into account
different operating hours. Additionally, we apply the formalism of partial
correlati... hiện toàn bộ
The Impact of the COVID-19 Pandemic on the U.S. Economy: Evidence from the Stock Market Tập 13 Số 10 - Trang 233
Willem Thorbecke
The coronavirus crisis has damaged the U.S. economy. This paper uses the stock
returns of 125 sectors to investigate its impact. It decomposes returns into
components driven by sector-specific factors and by macroeconomic factors.
Idiosyncratic factors harmed industries such as airlines, aerospace, real
estate, tourism, oil, brewers, retail apparel, and funerals. There are thus
large swaths of the... hiện toàn bộ
Consumer Behaviour towards Organic Products: The Moderating Role of Environmental Concern Tập 13 Số 12 - Trang 330
Silvia Cachero-Martínez
The pandemic caused by COVID-19 has changed the mindset of many consumers. They
are increasingly aware of the risks of not caring for the planet. Before the
pandemic, there was a perceived increase in collective environmental concern and
sustainability, but COVID-19 has further accelerated this process and motivated
more people to assume this responsibility. Thus, the health crisis could trigger
t... hiện toàn bộ
How Does COVID-19 Affect House Prices? A Cross-City Analysis Tập 14 Số 2 - Trang 47
Bingbing Wang
Using individual level transaction data and a revised difference-in-differences
method with nonparametric smoothing, we study the effect of COVID-19 on house
prices. The analyses are performed on the areas of Houston, Santa Clara,
Honolulu, Irvine, and Des Moines in the US, which vary in the economic features
and the implementation of stay home orders. The results show that only Honolulu
experienc... hiện toàn bộ
Optimal Cash Holding Ratio for Non-Financial Firms in Vietnam Stock Exchange Market Tập 12 Số 2 - Trang 104 - 2019
Nguyen Thanh, Cuong
The purpose of this research is to investigate whether there is an optimal cash
holding ratio, in which firm’s performance can be maximized. The threshold
regression model is applied to test the threshold effect of the cash holding
ratio on firm’s performance of 306 non-financial companies listed on the Vietnam
stock exchange market during the period of 2008–2017. Experimental results
showed that ... hiện toàn bộ
Mindsponge-Based Reasoning of Households’ Financial Resilience during the COVID-19 Crisis Tập 15 Số 11 - Trang 542 - 2022
Nguyen, Minh-Hoang, Khuc, Quy Van, La, Viet-Phuong, Le, Tam-Tri, Nguyen, Quang-Loc, Jin, Ruining, Nguyen, Phuong-Tri, Vuong, Quan-Hoang
The COVID-19 crisis was remarkable because no global recession model could
predict or provide early notice of when the coronavirus pandemic would happen
and damage the global economy. Resilience to financial shocks is crucial for
households as future crises like COVID-19 are inevitable. Therefore, the current
study aims to examine the effects of financial literacy and accessibility to
financial in... hiện toàn bộ
Climate Transition Risk and the Impact on Green Bonds Tập 14 Số 12 - Trang 597
Yevheniia Antoniuk, Thomas Leirvik
The green bond market develops rapidly and aims to contribute to climate
mitigation and adaptation significantly. Green bonds as any asset are subject to
transition climate risk, namely, regulatory risk. This paper investigates the
impact of unexpected political events on the risk and returns of green bonds and
their correlation with other assets. We apply a traditional and regression-based
event ... hiện toàn bộ
A Systematic and Critical Review on the Research Landscape of Finance in Vietnam from 2008 to 2020 Tập 14 Số 5 - Trang 219 - 2021
Ho, Manh-Tung, Le, Ngoc-Thang B., Tran, Hung-Long D., Nguyen, Quoc-Hung, Pham, Manh-Ha, Ly, Minh-Hoang, Ho, Manh-Toan, Nguyen, Minh-Hoang, Vuong, Quan-Hoang
This paper endeavors to understand the research landscape of finance research in
Vietnam during the period 2008 to 2020 and predict the key defining future
research directions. Using the comprehensive database of Vietnam’s international
publications in social sciences and humanities, we extract a dataset of 314
papers on finance topics in Vietnam from 2008 to 2020. Then, we apply a
systematic appr... hiện toàn bộ
International Corporate Cash Holdings and Firm-Level Exposure to COVID-19: Do Cultural Dimensions Matter? Tập 15 Số 6 - Trang 262 - 2022
Hoang, Khanh, Nguyen, Cuong, Tran, Dung Viet, Phan, Anh
This study investigates the impact of COVID-19 exposure on corporate cash
holdings using firm data across sixteen developing and developed economies. The
results show that firms reserve more cash when their exposure to COVID-19
increases. We also find a cash burn effect during the COVID-19 pandemic, meaning
that the cash holdings are drained when firm exposure to the pandemic exceeds a
tipping poi... hiện toàn bộ