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
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 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
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
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
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
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
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
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
This paper aimed to investigate the drivers of sovereign credit risk spreads
changes in the case of four Gulf Cooperation Council (GCC) countries, namely
Kingdom of Saudi Arabia (KSA), the United Arab Emirates (UAE), Qatar, and
Bahrain. Specifically, we explained the changes in sovereign credit default swap
(hereafter SCDS) spreads at different locations of the spread distributions by
three catego... hiện toàn bộ