DYNAMIC NETWORK CONNECTEDNESS OF BRICS EQUITY MARKETS DURING THE COVID-19 ERA

In this paper, we explore the volatility spillovers across different Bitcoin markets. We decompose the realized volatility into common and idiosyncratic volatilities, as well as the good and bad volatilities. Then the asymmetry in volatility spillovers between Bitcoin markets is measured by the DY (Diebold and Yilmaz) index. In addition, we construct statistics to test the asymmetry in volatility spillovers between different Bitcoin markets. The results are achieved as follows. The spillovers of systematic and idiosyncratic volatilities dominate the connectedness among different Bitcoin markets. In addition, the idiosyncratic volatility spillovers are more easily influenced by policies. Good volatility spillovers dominate the Bitcoin markets and change over time. The further results suggest that there is significant asymmetry between systematic and idiosyncratic volatility spillovers in the Bitcoin markets, while the asymmetries between good and bad volatility spillovers are heterogeneous in different markets. The findings in this paper can provide some suggestions for regulators controlling market stability and investors generating investment strategies.

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The dynamic network connectedness and hedging strategies across stock markets and commodities: COVID-19 pandemic effect

Asia-Pacific Journal of Business Administration ◽

10.1108/apjba-01-2021-0036 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Taicir Mezghani ◽

Fatma Ben Hamadou ◽

Mouna Boujelbène Abbes

Keyword(s):

Portfolio Management ◽

Stock Markets ◽

Dynamic Network ◽

Portfolio Allocation ◽

Oil Price ◽

Health Crisis ◽

Content Type ◽

Hedging Strategies ◽

Network Connectedness ◽

The Impact

PurposeThe aim of this study was to investigate the dynamic network connectedness between stock markets and commodity futures and its implications on hedging strategies. Specifically, the authors studied the impact of the 2014 oil price drop and coronavirus disease 2019 (COVID-19) pandemic on risk spillovers and portfolio allocation among stock markets (United States (SP500), China (SSEC), Japan (Nikkei 225), France (CAC40) and Germany (DAX)) and commodities (oil and gold).Design/methodology/approachIn this study, the authors used the Baba, Engle, Kraft and Kroner–generalized autoregressive conditional heteroskedasticity (BEKK–GARCH) model to estimate shock transmission among the five financial markets and the two commodities. The authors rely on Diebold and Yılmaz (2014, 2015) methodology to construct network-associated measures.FindingsRelying on the BEKK–GARCH, the authors found that the recent health crisis of COVID-19 intensified the volatility spillovers among stock markets and commodities. Using the dynamic network connectedness, the authors showed that at the 2014 oil price drop and the COVID-19 pandemic shock, the Nikkei225 moderated the transmission of volatility to the majority of markets. During the COVID-19 pandemic, the commodity markets are a net receiver of volatility shocks from stock markets. In addition, the SP500 stock market dominates the network connectedness dynamic during the COVID-19 pandemic, while DAX index is the weakest risk transmitter. Regarding the portfolio allocation and hedging strategies, the study showed that the oil market is the most vulnerable and risky as it was heavily affected by the two crises. The results show that gold is a hedging tool during turmoil periods.Originality/valueThis study contributes to knowledge in this area by improving our understanding of the influence of fluctuations in oil prices on the dynamics of the volatility connection between stock markets and commodities during the COVID-19 pandemic shock. The study’s findings provide more implications regarding portfolio management and hedging strategies that could help investors optimize their portfolios.

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Rolling and Recursive Tests of Stability on Market Integration - Consideration of Real Estate and Equity Markets

10.15396/eres1996_101 ◽

1996 ◽

Keyword(s):

Real Estate ◽

Market Integration ◽

Equity Markets

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A Comparative study on secure routing algorithms SAODV and A-SAODV in Mobile AdHoc Networks (MANET) – The Enhancements of AODV

INTERNATIONAL JOURNAL OF COMPUTERS & TECHNOLOGY ◽

10.24297/ijct.v3i3a.2948 ◽

2012 ◽

Vol 3 (2) ◽

pp. 419-423

Author(s):

JARUPULA RAJESHWAR ◽

Dr G NARSIMHA

Keyword(s):

Routing Protocol ◽

Routing Protocols ◽

Dynamic Network ◽

Secure Routing ◽

Mobile Adhoc Networks ◽

Security Challenges ◽

Basic Protocol ◽

Freely Moving ◽

Adhoc Networks ◽

Secure Routing Protocols

A freely moving nodes forming as group to communicate among themselves are called as Mobile AdHoc Networks (MANET). Many applications are choosing this MANET for effective commutation due to its flexible nature in forming a network. But due to its openness characteristics it is posing many security challenges. As it has highly dynamic network topology security for routing is playing a major role. We have very good routing protocols for route discovery as well as for transporting data packers but most of them lack the feature of security like AODV. In this paper we are studying the basic protocol AODV and identify how it can be made secure. We are studying a protocol S-AODV which is a security extension of AODV which is called Secure AODV (S-AODV) and we are studying enhanced version of S-AODV routing protocol a Adaptive Secure AODV (A-SAODV). Finally we have described about the parameter to be taken for performance evaluation of different secure routing protocols

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