COVID-19 news in USA and in China: Which is suitable in explaining the nexus among Bitcoin and Gold?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Abdelkader Derbali ◽  
Kamel Naoui ◽  
Lamia Jamel
Keyword(s):  
Design Methodology ◽  
Conditional Heteroskedasticity ◽  
Conditional Correlation ◽  
Predictive Capacity ◽  
Content Type ◽  
Dynamic Conditional Correlation ◽  
The Hours ◽  
Important Correlation ◽  
The Impact ◽  
First Time

Purpose The purpose of this paper is to examine empirically the impact of COVID-19 pandemic news in USA and in China on the dynamic conditional correlation between Bitcoin and Gold. Design/methodology/approach This paper offers a crucial viewpoint to the predictive capacity of COVID-19 surprises and production pronouncements for the dynamic conditional correlation (DCC) among Bitcoin and Gold returns and volatilities using generalized autoregressive conditional heteroskedasticity-DCC-(1,1) through the period of study since July 1, 2019 to June 30, 2020. To assess the unexpected impact of COVID-19, this study pursues the Kuttner’s (2001) methodology. Findings The empirical findings indicate strong important correlation among Bitcoin and Gold if COVID-19 surprises are integrated in variance. This study validates the financialization hypothesis of Bitcoin and Gold. The correlation between Bitcoin and Gold begin to react significantly further in the case of COVID-19 surprises in USA than those in China. Originality/value This paper contributes to the literature on assessing the impact of COVID-19 confirmed cases surprises on the correlation between Bitcoin and Gold. This paper gives for the first time an approach to capture the COVID-19 surprise component. Also, this study helps to improve financial backers and policymakers' comprehension of the digital currencies' market elements, particularly in the hours of amazingly unpleasant and inconspicuous occasions.

Is Bitcoin a safe haven? Application of FinTech to safeguard Australian stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Muhammad Kamran ◽  
Pakeezah Butt ◽  
Assim Abdel-Razzaq ◽  
Hadrian Geri Djajadikerta
Keyword(s):  
Empirical Evidence ◽  
Design Methodology ◽  
Conditional Heteroskedasticity ◽  
Sample Period ◽  
Safe Haven ◽  
Conditional Correlation ◽  
Content Type ◽  
Dynamic Conditional Correlation ◽  
Stock Indices ◽  
One Year

Purpose This study aims to address the timely question of whether Bitcoin exhibited a safe haven property against the major Australian stock indices during the first and second waves of the COVID-19 pandemic in Australia and whether such property is similar or different in one year time from the first wave of the COVID-19. Design/methodology/approach The authors used the bivariate Dynamic Conditional Correlation, Generalized Autoregressive Conditional Heteroskedasticity model, on the five-day returns of Bitcoin and Australian stock indices for the sample period between 23 April, 2011 and 19 April, 2021. Findings The results show that Bitcoin offered weak safe haven and hedging benefits when combined in a portfolio with S&P/ASX 200 Financials index, S&P/ASX 200 Banks index or S&P/ASX 300 Banks index. In regard to the S&P/ASX All Ordinaries Gold index, the authors found Bitcoin a risky candidate with inconsistent safe haven and hedging benefits. Against S&P/ASX 50 index, S&P/ASX 200 index and S&P/ASX 300 index, Bitcoin was nothing more than a diversifier. The outset of the second COVID-19 wave, which was comparatively more severe than the first, is also reflected in the results with considerably higher correlations. Originality/value There is a lack of in-depth empirical evidence on the safe haven capabilities of Bitcoins for various Australian stock indices during the first and second waves of the COVID-19 pandemic. The study bridges this void in research.

scholarly journals The dynamic dependence between the major US indices and the meat commodities indices

2020 ◽  
Vol 4 (2) ◽  
pp. 149-168
Author(s):  
Abdelkader Derbali ◽  
Houssam Bouzgarrou
Keyword(s):  
Design Methodology ◽  
Conditional Correlation ◽  
Conditional Heteroscedasticity ◽  
Content Type ◽  
Feeder Cattle ◽  
First Time

Purpose The purpose of this study is to examine empirically the conditional correlation between the major US indices (S&P500 index and Dow Jones Industrial index) and three selected meat commodities as: Feeder Cattle, Leen Hogs and Live Cattle during the period from July 22, 2010 to June 30, 2017. Design/methodology/approach In this study, the authors use for the first time the GARCH-DECO (1,1) to examine empirically the conditional nexus between the major US indices (S&P500 index and Dow Jones Industrial index) and three selected meat commodities as; Feeder Cattle, Leen Hogs and Live Cattle during the period from July 22, 2010 to June 30, 2017. Findings From the empirical findings, the authors conclude the existence of a highly significance of conditional heteroscedasticity parameters can demonstrate us to distinguish the nature of the volatility dependency between S&P500 index and Dow Jones Industrial index and three selected meat commodities indices. Originality/value This can find clear the significance of relationship in the process of financialization of the major US index and meat commodities indices in the case of this paper.

scholarly journals Fed and ECB: which is informative in determining the DCC between bitcoin and energy commodities?

2020 ◽  
Vol 4 (1) ◽  
pp. 77-102
Author(s):  
Abdelkader Derbali ◽  
Lamia Jamel ◽  
Monia Ben Ltaifa ◽  
Ahmed K. Elnagar ◽  
Ali Lamouchi
Keyword(s):  
Monetary Policy ◽  
Design Methodology ◽  
Commodity Markets ◽  
Portfolio Risk ◽  
Conditional Correlation ◽  
Predictive Capacity ◽  
Federal Funds ◽  
Content Type ◽  
The Us ◽  
Risk Managers

PurposeThis paper provides an important perspective to the predictive capacity of Fed and European Central Bank (ECB) meeting dates and production announcements for the dynamic conditional correlation (DCC) between Bitcoin and energy commodities returns and volatilities during the period from August 11, 2015 to March 31, 2018.Design/methodology/approachTo assess empirically the unanticipated component of the US and ECB monetary policy, the authors pursue the Kuttner's approach and use the federal funds futures and the ECB funds futures to assess the surprise component. The authors use the approach of DCC as introduced by Engle (2002) during the period from August 11, 2015 to March 31, 2018.FindingsThe authors’ results suggest strong significant DCCs between Bitcoin and energy commodity markets if monetary policy surprises are incorporated in variance. These results confirmed the financialization of Bitcoin and commodity energy markets. Finally, the DCC between Bitcoin and energy commodity markets appears to respond considerably more in the case of Fed surprises than ECB surprises.Originality/valueThis study is a crucial topic for policymakers and portfolio risk managers.

The job rotation scheduling problem considering human cognitive effects: an integrated approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ashkan Ayough ◽  
Farbod Farhadi ◽  
Mostafa Zandieh
Keyword(s):  
Sensitivity Analysis ◽  
Optimization Model ◽  
Design Methodology ◽  
Heuristic Algorithms ◽  
Job Rotation ◽  
Content Type ◽  
Input Parameters ◽  
Job Rotation Scheduling ◽  
The Impact ◽  
First Time

Purpose This paper aims to unfold the role that job rotation plays in a lean cell. Unlike many studies, the authors consider heterogeneous operators with dynamic performance factor that is impacted by the assignment and scheduling decisions. The purpose is to derive an understanding of the underlying effects of job rotations on performance metrics in a lean cell. The authors use an optimization framework and an experimental design methodology for sensitivity analysis of the input parameters. Design/methodology/approach The approach is an integration of three stages. The authors propose a set-based optimization model that considers human behavior parameters. They also solve the problem with two meta-heuristic algorithms and an efficient local search algorithm. Further, the authors run a post-optimality analysis by conducting a design of experiments using the response surface methodology (RSM). Findings The results of the optimization model reveal that the job rotation schedules and the human cognitive metrics influence the performance of the lean cell. The results of the sensitivity analysis further show that the objective function and the job rotation frequencies are highly sensitive to the other input parameters. Based on the findings from the RSM, the authors derive general rules for the job rotations in a lean cell given the ranges in other input variables. Originality/value The authors integrate the job rotation scheduling model with human behavioral and cognitive parameters and formulate the problem in a lean cell for the first time in the literature. In addition, they use the RSM for the first time in this context and offer a post-optimality analysis that reveals important information about the impact of the job rotations on the performance of operators and the entire working cell.

On the impact of market mergers over herding: evidence from EURONEXT

2014 ◽  
Vol 6 (2) ◽  
pp. 104-135 ◽  
Author(s):  
Panagiotis Andrikopoulos ◽  
Andreas Albin Hoefer ◽  
Vasileios Kallinterakis
Keyword(s):  
Risk Factors ◽  
Design Methodology ◽  
Market Volatility ◽  
Herd Behavior ◽  
Content Type ◽  
Common Risk Factors ◽  
The Impact ◽  
First Time ◽  
European Equity ◽  
Insight Into

Purpose – The purpose of this paper is to present and empirically test for the first time the hypothesis that herding in a market increases following the market's merger in an exchange group. Design/methodology/approach – The hypothesis is tested empirically in EURONEXT's four European equity markets (Belgium, France, the Netherlands and Portugal) on the premise of the Hwang and Salmon (2004) measure which allows us insight into the significance, structure and evolution of market herding. Tests are conducted for each market for the period prior to and after its merger into EURONEXT, controlling for a series of variables (market conditions, common risk factors, size) to gauge the robustness of the findings. Findings – Results indicate that, with the exception of Portugal, herding grows in significance, yet declines in momentum post-merger. The authors ascribe the findings to EURONEXT's enhanced transparency (which makes it easier for investors to observe their peers’ trades, thus allowing them to infer and free-ride on their information) and its fast-moving informational dynamics that render herding movements shorter-lived. These results are robust when controlling for various market states and common risk factors, with deviations being observed when controlling for size and market volatility. Originality/value – The study presents results for the first time on the impact of exchange mergers on herd behavior. The authors believe these to constitute useful stimulus for further research on the issue and bear important implications for regulators/policymakers in view of the ongoing proliferation of exchange mergers that has been underway since the 1990s.

scholarly journals Triage: line or nets? Early intervention and the youth justice system

2014 ◽  
Vol 13 (4) ◽  
pp. 147-160 ◽  
Author(s):  
Sarah Soppitt ◽  
Adele Irving
Keyword(s):  
Restorative Justice ◽  
Justice System ◽  
Design Methodology ◽  
Qualitative Data ◽  
Youth Justice ◽  
Content Type ◽  
The Impact ◽  
First Time

Purpose – The purpose of this paper is to present a discussion of the value of early diversion schemes, underpinned by the principles of restorative justice (RJ), for First Time Entrants (FTEs) into the criminal justice system (CJS). Design/methodology/approach – The paper focuses specifically on the findings of a 12-month study into the introduction of “Triage” by one Youth Offending Team (YOT) in the northeast of England. Findings – Re-offending data suggested that Triage is more effective in reducing re-offending than conventional justice practices, due to the restorative nature of the scheme. However, the qualitative data raised a number of issues, particularly relating to problems of “net-widening” and the impact of recording processes on young people's desistance, as well as the role of victim engagement in the process. These issues could undermine the long-term effectiveness of Triage and its successful application within other youth justice contexts. Originality/value – The paper aims to contribute further understanding regarding the impacts of RJ practices on reducing re-offending compared to traditional processes, and in particular, consider the role of implementation issues in the production of outcomes and impacts.

Impact of IPO grading on earnings management

2015 ◽  
Vol 13 (2) ◽  
pp. 142-158 ◽  
Author(s):  
Yogesh Maheshwari ◽  
Khushbu Agrawal
Keyword(s):  
Earnings Management ◽  
Initial Public Offering ◽  
Design Methodology ◽  
Discretionary Accruals ◽  
Alternative Measure ◽  
Cross Sectional ◽  
Content Type ◽  
Public Offering ◽  
The Impact ◽  
First Time

Purpose – This paper aims to examine the impact of initial public offering (IPO) grading on earnings management by Indian companies in their IPOs. Specifically, it investigates whether earnings management significantly differs in the pre-IPO grading regime and post-IPO grading regime. Further, it examines whether earnings management significantly differs between high-graded and low-graded IPOs. Design/methodology/approach – The cross-sectional modified Jones model is used to obtain the discretionary accruals, a proxy for earnings management. The impact of IPO grading on earnings management is assessed using multiple regression analysis. Findings – Earnings management is significantly lower in graded IPOs as compared to the ones that are not graded. Further, among the graded IPOs, the high-graded IPOs exhibit lower earnings management as compared to the low-graded IPOs. The findings are robust to the use of an alternative measure for discretionary accruals. Originality/value – IPO grading in India is a unique certification mechanism, introduced for the first time in any market. This paper establishes the efficacy of this mandatory certification mechanism in reducing earnings management. The findings could be valuable to issuer companies, investors and market regulators.

The consideration of trees in rights of light cases: part 1

2014 ◽  
Vol 32 (3) ◽  
pp. 219-237 ◽  
Author(s):  
Peter S. Defoe ◽  
Catherine Spence
Keyword(s):  
Design Methodology ◽  
Theoretical Modelling ◽  
Deciduous Trees ◽  
Content Type ◽  
Reasonable Degree ◽  
Considerable Benefit ◽  
The Right ◽  
The Impact ◽  
First Time ◽  
Practical Implications

Purpose – The purpose of this paper is to establish a methodology by which the impact of trees may be assessed in rights of light cases. Design/methodology/approach – By considering the available technologies and theoretical modelling, the research demonstrated that the loss of daylight resulting from the existence of trees can be evaluated to a reasonable degree such that their effect in rights of light cases may be taken into account by the courts. Findings – The extent of obstruction to daylight that is caused by trees changes from season to season, i.e. trees grow in height and/or width and deciduous trees tend to lose their leaves during the winter. Measurement of the trees should occur during winter months and reasonable approximations can be made. Research limitations/implications – Further research is advisable to provide a more complete compendium of tree types and to build a reliable database of transparency values and rights of light software will need to be modified to simplify the calculation process. Practical implications – The consideration of trees in rights of light cases may be very significant. A dominant owner may be more affected by a proposed development if part of their light is already obstructed by trees and a servient owner may have an argument that existing trees cause a significant obstruction which might, in the right circumstances, reduce or remove the actionability of their proposals. Social implications – This research will have considerable benefit to anyone contemplating rights of light involving obstruction by trees. Originality/value – This is the first time that the use of BRE transparency factors for trees has been considered in connection with rights of light.

Data bibliometrics: metrics before norms

2017 ◽  
Vol 41 (3) ◽  
pp. 428-435 ◽  
Author(s):  
David Stuart
Keyword(s):  
Design Methodology ◽  
Research Data ◽  
Content Type ◽  
Data Citation ◽  
Different Types ◽  
Data Ecosystem ◽  
The Impact ◽  
First Time

Purpose The purpose of this paper is to highlight the problem of establishing metrics for the impact of research data when norms of behaviour have not yet become established. Design/methodology/approach The paper considers existing research into data citation and explores the citation of data journals. Findings The paper finds that the diversity of data and its citation precludes the drawing of any simple conclusions about how to measure the impact of data, and an over emphasis on metrics before norms of behaviour have become established may adversely affect the data ecosystem. Originality/value The paper considers multiple different types of data citation, including for the first time the citation of data journals.

Stock–bond co-movement in ASEAN-5: the role of financial integration and financial development

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Airil Khalid ◽  
Zamri Ahmad
Keyword(s):  
Financial Development ◽  
Design Methodology ◽  
Financial Integration ◽  
Panel Data Analysis ◽  
Conditional Heteroskedasticity ◽  
Conditional Correlation ◽  
Diversification Strategy ◽  
Content Type ◽  
Domestic Stock

PurposeThis study aims to observe the extent of asset diversification benefits in the Association of Southeast Asian Nations (ASEAN)-5 market by examining the effect of financial integration (FI) and financial development (FD) on domestic stock–bond co-movements, SBcorr.Design/methodology/approachThe dynamic conditional correlation - multivariate generalized autoregressive conditional heteroskedasticity (DCC-MGARCH) technique is adopted to construct FI and stock−bond co-movement variables. Then, the study uses static panel data analysis to examine the effect of FI on stock−bond co-movements.FindingsFI does not provide asset diversification benefits due to high country risks in ASEAN-5. However, when FI is moderated by FD, FI × FD, the study shows that FI × FD provides higher asset diversification benefits in ASEAN-5.Originality/valueThis study shows the importance of incorporating the level of FD when assessing the effect of FI on stock–bond co-movements in ASEAN-5. In the presence of FI, a well-diversified investor should always consider the state of FD, which will show a better representation of asset diversification strategy in the emerging markets. Additionally, policymakers of ASEAN-5 countries should prioritise enhancing their financial system to attract more investment into the countries.

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