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. Specifical...... 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 c...... 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 swath...... 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 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 e...... 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 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
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-base...... 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 thre...... hiện toàn bộ