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Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective

Published on May 1, 2019in International Review of Financial Analysis 1.69
· DOI :10.1016/j.irfa.2018.10.008
Xiaolei Sun11
Estimated H-index: 11
,
Jun Wang3
Estimated H-index: 3
+ 2 AuthorsJianping LiXiaolei19
Estimated H-index: 19
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Abstract
Abstract In the wake of the globalization of financial markets, studying spillovers among different asset markets, especially spillovers that include sovereign CDS markets, is of vital importance. This paper attempts to build a spillover network to investigate the complex interactions within the system of sovereign CDS, stock and commodity markets by adopting the spillover index based on forecast error variance (FEV) decomposition. The results reveal that emerging countries have larger average spillovers than developed countries with regard to sovereign CDS-to-stock returns spillovers, while the developed countries contribute more average spillovers than the emerging countries in the opposite direction. Moreover, the sovereign CDS market and the commodity market still demonstrate a relatively important role during certain periods although stock markets always occupy the dominant position during every phase. Our findings provide new insights into spillovers among the major global asset markets using a network perspective, which is valuable for regulation of financial markets, asset allocation and portfolio risk management.
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Published on Mar 1, 2019in Finance Research Letters 1.71
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences),
Dayong Zhang13
Estimated H-index: 13
(SWUFE: Southwestern University of Finance and Economics)
Abstract The launching of China’s first crude oil futures contract has marked the start of a new era in the international energy market. Using high frequency transaction data in the first two trading months since its inception in March 2018, this paper seeks to present some fresh and interesting stylized facts about this new comer. Evidence shows that, first, significant jumps exist in the realized volatility; Second, trading volumes have shown clear multiple u-shape patterns, which is consisten...
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences),
Hardik A. Marfatia3
Estimated H-index: 3
(NEIU: Northeastern Illinois University),
Rangan Gupta29
Estimated H-index: 29
(University of Pretoria)
In this study, we unveil information spillover between international real estate markets using an entropy-based network approach for real estate investment trusts (REITs). Our novel approach is simple and yet flexible enough to accommodate the nature and extent of information spillover among several components of the global housing network. For a network of nine leading industrial economies, we unveil static and time-varying information spillover of REIT returns using total transfer entropy, pai...
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences),
Bouri Elie16
Estimated H-index: 16
(Holy Spirit University of Kaslik)
+ 1 AuthorsDavid Roubaud16
Estimated H-index: 16
Unlike prior studies that have mostly relied on ad hoc network structures, we use a data-driven methodology, namely the directed acyclic graph (DAG), to uncover the contemporaneous and lagged causal relations among Bitcoin and a set of financial assets. The DAG methodology allows the identification of networks of causality based on the observed correlations and partial correlations approach, without making a priori causal assumptions. The main results indicate that the Bitcoin market is quite is...
Published on Aug 1, 2018in Energy Economics 4.15
Jihong Xiao1
Estimated H-index: 1
(CSU: Central South University),
Min Zhou1
Estimated H-index: 1
(Hunan University)
+ 1 AuthorsFenghua Wen1
Estimated H-index: 1
(U of W: University of Windsor)
The crude oil volatility index (OVX) is a direct and more accurate measure of oil price uncertainty. This paper uses this kind of implied volatility index of oil prices to investigate the impacts of oil price uncertainty on the aggregate and sectoral stock returns in China. This issue is resolved by using a quantile regression, which can provide a more detailed examination under different market conditions. Meanwhile, the asymmetric effects of uncertainty shocks are also examined by using the po...
Published on May 1, 2018in International Review of Financial Analysis 1.69
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences),
Bouri Elie16
Estimated H-index: 16
(Holy Spirit University of Kaslik),
David Roubaud16
Estimated H-index: 16
We contribute to the growing literature on information flow among US equities, strategic commodities (oil and gold) and Brazil, Russia, India, China and South Africa equities. Unlike prior literature, however, we apply a graph theory approach that incorporates a dynamic conditional correlation model to disclose the dynamics of information integration and investigate the impact of political, war, macroeconomic and financial events on the changes in information flow among implied volatility indice...
Published on May 1, 2018in International Review of Financial Analysis 1.69
Russell Smyth43
Estimated H-index: 43
(Monash University),
Paresh Kumar Kumar Narayan54
Estimated H-index: 54
(Deakin University)
This paper is a survey of research on how oil prices affect stock returns. In the last couple of decades there has been an upsurge in such research, suggesting that a stock take is timely. The sheer volume of research on the interaction between oil markets and stock markets has meant that we have lost track of the key findings from the literature. The danger, in the absence of a stock take, is that we will produce a large volume of studies on how oil prices interact with stock returns without th...
Published on Feb 1, 2018in Energy Policy 4.88
Dayong Zhang13
Estimated H-index: 13
(SWUFE: Southwestern University of Finance and Economics),
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences)
Abstract The long-run oil–gas price relationship has been challenged more often in recent years, as these two prices have shown evidence of decoupling from each other. This paper proposes the use of a long-memory approach and a rolling-windows method to model the time-varying oil–gas price relationship in three markets, namely, the United States, Europe and Japan. The results extend existing research conclusions on the oil–gas price relationship and answer the question of whether it is a tempora...
Published on Jan 1, 2018in Journal of Cleaner Production 6.39
Fei Duan1
Estimated H-index: 1
(College of Management and Economics),
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences)
+ 1 AuthorsYing Fan36
Estimated H-index: 36
(Beihang University)
Abstract Overseas energy investment as an effective way of securing energy supply is being favored by the world’s leading energy consuming countries. However, energy investment has the potential high risk on multiple forms, including political and regulatory risk, currency, liquidity and refinancing risk as well as resource risk and so on. To effectively evaluate overseas energy investment risk, this study proposed a new indicator system from six dimensions. Furthermore, a fuzzy integrated evalu...
Published on Dec 1, 2017in Resources Policy 3.19
Kaijian He13
Estimated H-index: 13
(Hunan University of Science and Technology),
Yanhui Chen5
Estimated H-index: 5
(Shanghai Maritime University),
Geoffrey K.F. Tso7
Estimated H-index: 7
(CityU: City University of Hong Kong)
Abstract The precious metal markets are subject to the influence of complicated factor characterized by the interrelationship and nonlinearity with the short burst of noise data components. In this paper we propose a new Multivariate Empirical Mode Decomposition (MEMD) denoising model to identify the noise factors in the multiscale domain and forecast the precious metal price movement. Since the MEMD model is introduced to analyze and project the inter-relationship between different precious met...
Published on Dec 1, 2017in Economics Letters 0.88
Ahmet Sensoy14
Estimated H-index: 14
(Bilkent University),
Frank J. Fabozzi41
Estimated H-index: 41
(EDHEC Business School),
Veysel Eraslan2
Estimated H-index: 2
We compare the time-varying weak-form efficiency of Credit Default Swap (CDS) markets of 15 emerging countries by using permutation entropy approach. We find that CDS markets have different degrees of time-varying efficiency. Using several robustness test, we find that Thailand, China, South Korea and Malaysia have the most efficient CDS markets while South Africa, Colombia and Turkey are the least efficient. Our results show that CDS markets can be efficient even in the crisis episodes. Our fin...
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