scholarly journals African financial markets in a storm: Cryptocurrency safe havens during the COVID-19 pandemic

2021 ◽  
Vol 3 (2) ◽  
pp. 60-70
Author(s):  
Seyram Pearl Kumah ◽  
David Adjei Abbam ◽  
Ransford Armah ◽  
Evelyn Appiah-Kubi
Keyword(s):  
Financial Markets ◽  
Frequency Domain ◽  
Significant Risk ◽  
Spillover Effects ◽  
Commodity Markets ◽  
Time Varying ◽  
Medium Term ◽  
Bear Market ◽  
Daily Frequency ◽  
Contagion Risk

The COVID-19 pandemic provides the first widespread bear market conditions since the inception of cryptocurrencies. We test the haven properties of cryptocurrencies for African stocks and commodity markets in a pandemic implementing the frequency domain spillover index. Data spans 11th August 2015 to 28th August 2020 at a daily frequency. Findings show weak interconnectedness across markets suggesting non-contagion risk and that cryptocurrency are safe havens for African stocks and commodity indices from the medium-term. We find the major transmitters of spillover effects across markets to be time-varying and heterogeneous. This study provides significant risk diversification benefits for policymakers and investors in the African financial markets.

scholarly journals INTER-MARKETS VOLATILITY SPILLOVER IN U.S. BITCOIN AND FINANCIAL MARKETS

2019 ◽  
Vol 20 (4) ◽  
pp. 694-714 ◽  
Author(s):  
Muhammad Owais Qarni ◽  
Saqib Gulzar ◽  
Syeda Tamkeen Fatima ◽  
Majid Jamal Khan ◽  
Khurram Shafi
Keyword(s):  
Financial Markets ◽  
High Frequency ◽  
Significant Risk ◽  
Time Varying ◽  
Volatility Spillover ◽  
Foreign Investors ◽  
Risk Hedging ◽  
Insignificant Effect ◽  
Asymmetry Measure ◽  
The U.S

This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 to December 29, 2017. Diebold and Yilmaz (2012) volatility spillover index, Barunik, Kocenda, and Vacha (2017) Spillover Asymmetry Measure, and Barunik and Krehlik (2018) frequency connectedness methodologies are applied to investigate the time varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the presence of low level of integration and contagion between U.S. Bitcoin and financial markets. Asymmetric nature of volatility spillover is also detected. The connectedness among the U.S. Bitcoin and financial markets is found to be concentrated at high frequency, suggesting that markets process information rapidly. Moreover, the turbulence in Bitcoin market will have insignificant effect on U.S. financial markets. This non-contagion nature of Bitcoin markets provides significant risk hedging and diversification benefits for domestic and foreign investors in the U.S.

scholarly journals Dynamic sentiment spillovers among crude oil, gold, and Bitcoin markets: Evidence from time and frequency domain analyses

PLoS ONE ◽  
2020 ◽  
Vol 15 (12) ◽  
pp. e0242515
Author(s):  
Xianfang Su ◽  
Yong Li
Keyword(s):  
Crude Oil ◽  
Frequency Domain ◽  
High Frequency ◽  
Spillover Effects ◽  
Time Varying ◽  
Volatility Spillover ◽  
Short Term ◽  
Time Frequency ◽  
Major Market ◽  
Frequency Components

This paper examines the sentiment spillovers among oil, gold, and Bitcoin markets by employing spillovers index methods in a time-frequency framework. We find that the total sentiment spillover among crude oil, gold and Bitcoin markets is time-varying and is greatly affected by major market events. The directional sentiment spillovers are also time-varying. On average, the Bitcoin market is the major transmitter of directional sentiment spillovers, whereas the crude oil and gold markets are the major receivers. In particular, the sentiment spillover effects are major created at high-frequency components, implying that the markets rapidly process the sentiment spillover effects and the shock is transmitted over the short-term. Moreover, we also find that the sentiment spillover effects differ significantly in term of intensity and direction when compared with return and volatility spillover effects. The present study has certain applications for investors and policymakers.

scholarly journals The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties

Economies ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 91
Author(s):  
Hedi Ben Haddad ◽  
Imed Mezghani ◽  
Abdessalem Gouider
Keyword(s):  
Raw Materials ◽  
Precious Metals ◽  
Fats And Oils ◽  
Spillover Effects ◽  
Commodity Price ◽  
Commodity Markets ◽  
Time Varying ◽  
Vector Autoregressive ◽  
Macroeconomic Uncertainty ◽  
Price Uncertainties

The present paper has two main objectives: first, to accurately estimate commodity price uncertainty; and second to analyze the uncertainty connectedness among commodity markets and the macroeconomic uncertainty, using the time-varying vector-autoregressive (TVP-VAR) model. We use eight main commodity markets, namely energy, fats and oils, beverages, grains, other foods, raw materials, industrial meals, and precious metals. The sample covers the period from January 1960 to June 2020. The estimated commodity price uncertainties are proven to be leading indicators of uncertainty rather than volatility in commodity markets. In addition, the time-varying connectedness analysis indicates that the macroeconomic uncertainty has persistent spillover effects on the commodity uncertainty, especially during the recent COVID-19 pandemic period. It has also found that the energy uncertainty shocks are the main drivers of connectedness among commodity markets, and that fats and oils uncertainty is the influence driver of uncertainty spillovers among agriculture commodities. The achieved results are of important significance to policymakers, firms, and investors to build accurate forecasts of commodity price uncertainties.

scholarly journals S&P 500 Index Price Spillovers around the COVID-19 Market Meltdown

2021 ◽  
Vol 14 (7) ◽  
pp. 330
Author(s):  
Camillo Lento ◽  
Nikola Gradojevic
Keyword(s):  
Exchange Rate ◽  
Financial Markets ◽  
Frequency Domain ◽  
High Frequency ◽  
Spillover Effects ◽  
High Frequency Data ◽  
Frequency Data ◽  
Data Set ◽  
Time Period ◽  
Price Movements

This paper explores price spillover effects around the COVID-19 pandemic market meltdown between the S&P 500 index, five other financial markets, and the VIX. Frequency domain causalities are estimated for the January–May 2020 time period on a high-frequency data set at five-minute intervals. The results reveal that price movements in the S&P 500 generally caused price movements in other financial markets before the market meltdown; however, a large number of bi-directional causalities emerged during the market meltdown. During the market recovery, S&P 500 price movements were more likely to be caused by other financial markets’ price movements. The VIX, exchange rate, and gold returns had the most prominent influence on the S&P 500 returns in the market recovery.

Modernization of Antimonopoly Policy in Russia (Economic Analysis of Proposed Changes in the Competition Law)

2005 ◽  
pp. 100-116
Author(s):  
S. Avdasheva ◽  
A. Shastitko
Keyword(s):  
Economic Analysis ◽  
Financial Markets ◽  
Financial Services ◽  
Competition Law ◽  
Commodity Markets ◽  
State Aid ◽  
Executive Power ◽  
Rule Of Reason ◽  
Per Se

The article is devoted to the analysis of the draft law "On Protection of Competition", which must substitute the laws "On Competition and Limitation of Monopolistic Activity on Commodity Markets" and "On Protection of Competition on the Financial Services Market". The innovations enhancing the quality of Russian competition law and new norms providing at least ambiguous effects on antimonopoly regulation are considered. The first group of positive measures includes unification of competition norms for commodity and financial markets, changes of criteria and the scale of control of economic concentrations, specification of conditions, where norms are applied "per se" and according to the "rule of reason", introduction of rules that can prevent the restriction of competition by the executive power. The interpretation of the "collective dominance" concept and certain rules devoted to antimonopoly control of state aid are in the second group of questionable steps.

scholarly journals Volatility Spillovers Arising from the Financialization of Commodities

2018 ◽  
Vol 11 (4) ◽  
pp. 72 ◽  
Author(s):  
Wing Chan ◽  
Bryce Shelton ◽  
Yan Wu
Keyword(s):  
Commodity Prices ◽  
Spillover Effects ◽  
Realized Volatility ◽  
Commodity Markets ◽  
Exchange Traded Funds ◽  
Volatility Transmission ◽  
Volatility Spillovers ◽  
The Difference ◽  
Index Investment ◽  
The Impact

This paper examines whether the proliferation of new index products, such as commodity-tracking exchange-traded funds (ETFs), amplified the volatility transmission channel introduced by financialization. This paper focuses on the volatility spillover effects among crude oil, metals, agriculture, and non-energy commodity markets. The results show financialization has an impact on the volatility of commodity prices, predominantly for non-energy commodities. However, the impact on volatility is not symmetric across all commodities. The analysis of index investment and investors’ positions in futures markets shows that, when a relationship exists, it is generally negatively correlated with the realized volatility of non-energy commodities. Using realized volatility in the difference-in-difference model provides estimates that are inconsistent with other findings that non-energy commodities, traded as a part of indices, have experienced higher volatility. The results are similar to the index investment and futures market analysis, where increased participation by investors through new investment products has put download pressure on realized volatility.

Application of CRONE Control to a Sampled Time Varying System With Periodic Coefficients

2008 ◽  
Vol 130 (6) ◽  
Author(s):  
Jocelyn Sabatier ◽  
Aitor Garcia Iturricha ◽  
Mathieu Moze ◽  
Alain Oustaloup
Keyword(s):  
Robust Control ◽  
Frequency Domain ◽  
Discrete Time ◽  
Time Varying ◽  
Periodic Coefficients ◽  
Crone Control ◽  
Time Varying Systems

An application of CRONE robust control extended to discrete-time-varying systems with periodic coefficients is presented. The application is carried out in the frequency domain through the representation of considered systems using time varying z-transforms and time varying pseudofrequency responses.

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