scholarly journals Relationships among the Fossil Fuel and Financial Markets during the COVID-19 Pandemic: Evidence from Bayesian DCC-MGARCH Models

2021 ◽  
Vol 14 (1) ◽  
pp. 51
Author(s):  
Chaofeng Tang ◽  
Kentaka Aruga
Keyword(s):  
Financial Markets ◽  
Fossil Fuel ◽  
Price Change ◽  
Clean Energy ◽  
Multivariate Garch ◽  
Conditional Correlation ◽  
Daily Data ◽  
Oil And Natural Gas ◽  
Negative Relationships

This study examined how the relationships among the fossil fuel, clean energy stock, gold, and Bitcoin markets have changed since the COVID-19 pandemic took place for hedging the price change risks in the fossil fuel markets. We applied the Bayesian Dynamic Conditional Correlation-Multivariate GARCH (DCC-MGARCH) models using US daily data from 2 January 2019 to 26 February 2021. Our results suggest that the fossil fuel (WTI crude oil and natural gas) and financial markets (clean energy stock, gold, and Bitcoin) generally had negative relationships in 2019 before the pandemic prevailed, but they became positive for a while in mid-2020, alternating between positive (0.8) and negative values (−0.8). As it is known that negative relationships are required among assets to hedge the risk of price changes, this implies that stakeholders need to be cautious in hedging the risk across the fossil fuel and financial markets when a crisis like COVID-19 occurs. However, our study also revealed that such negative relationships only lasted for three to six months, suggesting that the effects of the pandemic were short term and that stakeholders in the fossil fuel markets could cross hedge with the financial markets in the long term.

scholarly journals An application of multivariate GARCH models in research for the interaction of world financial markets

Equilibrium ◽  
2009 ◽  
Vol 2 (1) ◽  
pp. 61-68
Author(s):  
Tomasz Chruściński
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
Multivariate Garch ◽  
Garch Models ◽  
Data Sets ◽  
Conditional Correlation ◽  
Main Emphasis ◽  
Multivariate Garch Models ◽  
Diagonal Vech

This article presents information about taxonometric methods in classification stock-markets and selected Multivariate GARCH models. The main emphasis is placed on which market (country) influences others. Research has been geared towards three kinds of measurement: diagonal VECH models, diagonal BEKK models and Constant Conditional Correlation. The results obtained for the DBEKK model is optimal for most data-sets.

Clean Energy Development of Silk Road Economic Belt in Xinjiang

2014 ◽  
Vol 521 ◽  
pp. 846-849 ◽  
Author(s):  
Asifujiang Abudureyimu ◽  
Qian Han
Keyword(s):  
New Technology ◽  
Clean Energy ◽  
Energy Development ◽  
Silk Road ◽  
Financial Cooperation ◽  
Long Term Stability ◽  
Oil And Natural Gas ◽  
Silk Road Economic Belt ◽  
The Silk Road

Xinjiang has energy rich in its reserve of coal, oil, and natural gas, and also rich in renewable energy with plentiful sunshine and wind. Xinjiang is at the cross road of Asia, and also located in the center of the Silk Road economic belt. Silk Road Economic Belt focus is ecological safety, economic growth, education, energy development, financial cooperation, new technology and tourism development. Silk Road Economic Belt has long been important as a conduit for facilitating the exchange of ideas and technologies between China and the rest of Eurasia, and also about helping foster development and therefore long-term stability in Xinjiang.

scholarly journals REITs and the Taper Tantrum

2016 ◽  
Vol 34 (5) ◽  
pp. 457-464
Author(s):  
Stephen Lee
Keyword(s):  
Financial Markets ◽  
Real Estate Investment Trust ◽  
Content Type ◽  
Risk Return ◽  
Daily Data ◽  
The Us ◽  
Asset Portfolio ◽  
Asset Classes ◽  
Practical Implications

Purpose – The purpose of this paper is to empirically examine the effect on US stock, bond and real estate investment trust (REIT) prices triggered by the US Federal Reserve Chairman Ben Bernanke’s announcement of a possible intent to unwind, or taper, quantitative easing (QE). In particular, the author assessed whether the effect of the “Taper Tantrum” was fundamental or financial on financial markets. Design/methodology/approach – The methodology used to determine whether the effect of the “Taper Tantrum” was fundamental or purely financial is that suggested by French and Roll (1986) as extended by Tuluca et al. (2003). The analysis is based on daily data for large cap stocks, small cap stocks, long-term bonds and REITs for 18 months before Ben Bernanke’s announcement and for 18 months after the announcement. Findings – The results show that the “Taper Tantrum” had a fundamental, rather than a financial effect on all asset classes, especially so for REITs. Practical implications – The author also found that in the post-taper period following Ben Bernanke’s announcement the correlation of REITs with stocks decreased compared with pre-taper period, whereas the correlation of REITS with bonds increased substantially. In other words, the “Taper Tantrum” had a profound effect on the risk/return benefits of including REITs in the US mixed-asset portfolio. Originality/value – This is the first paper to examine the effect of the “Taper Tantrum” on REITs.

scholarly journals Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management

2021 ◽  
Vol 14 (5) ◽  
pp. 222
Author(s):  
Mohamed Yousfi ◽  
Abderrazak Dhaoui ◽  
Houssam Bouzgarrou
Keyword(s):  
Portfolio Management ◽  
Stock Markets ◽  
Multivariate Garch ◽  
Conditional Correlation ◽  
Financial Variables ◽  
Global Pandemic ◽  
Daily Data ◽  
Hedge Ratios ◽  
Portfolio Managers ◽  
Multivariate Garch Models

This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets and different financial variables and commodities during the pre-COVID-19 and COVID-19 crisis, using daily data and multivariate GARCH models. Our results indicate that the risk spillover has reached the highest level during the COVID-19 period, compared to the pre-COVID period, which means that the COVID-19 pandemic enforced the risk spillover between U.S. stock markets and the remains assets. We confirm the economic benefit of diversification in both tranquil and crisis periods (e.g., a negative dynamic conditional correlation between the VIX and SP500). Moreover, the hedging analysis exhibits that the Dow Jones Islamic has the highest hedging effectiveness either before or during the recent COVID19 crisis, offering better resistance to uncertainty caused by unpredictable turmoil such as the COVID19 outbreak. Our finding may have some implications for portfolio managers and investors to reduce their exposure to the risk in their portfolio construction.

scholarly journals Review of energy conservations policy and alternative solutions in gulf countries

2018 ◽  
Vol 4 (2) ◽  
pp. 97-108
Author(s):  
Hani Sait ◽  
Jose M Martiniz-Valb
Keyword(s):  
Fossil Fuel ◽  
Clean Energy ◽  
Energy Resources ◽  
Conservation Strategies ◽  
Gulf Countries ◽  
Negative Side Effects ◽  
Alternative Sources ◽  
Power Shortages ◽  
Alternative Solutions

The robust growth in population and gross domestic product (GDP) for Gulf Countries (GC) has led to negative side-effects such as power shortages and environmental pollution. Therefore, it is necessary for GC to have quick actions to preserve their energy resources and protect their environment. The current paper identifies the main energy conservation strategies that were widely adopted in GC. The efforts that were conducted by GC to manage the energy consumption and to establish the required regulations are presented. The paper also investigates possibilities for the use of alternative sources of clean energy that might avoid the disadvantages of the conventional sources of energy. It is found that in order to protect the environment and the maintain the fossil fuel wealth for longer time, long term strategies must be implemented, and alternative sources of renewable energy must be utilized.

scholarly journals Environmental Assessment of Energy Scenarios for a Low-Carbon Electrical Network in Chile

2019 ◽  
Vol 11 (18) ◽  
pp. 5066 ◽  
Author(s):  
Ivan Merino ◽  
Israel Herrera ◽  
Hugo Valdés
Keyword(s):  
Global Warming ◽  
Renewable Energy ◽  
Fossil Fuel ◽  
Clean Energy ◽  
Electrical Network ◽  
Energy Sources ◽  
Low Carbon ◽  
Energy Demands ◽  
Near Future

Nowadays, establishing clean energy sources is an undeniable need for all territories to reconcile energy and competitiveness objectives with those of security and sustainability. This article shows the main advantages of implementing clean energy sources in the long-term Chilean electrical network. The clean energy considered in this work is based on Renewable Energy (Conventional and Non-Conventional) with the backup of gas or nuclear. Thus, four scenarios are proposed and were simulated for the year 2050, the year assumed for the decommissioning of all coal plants in the country. These scenarios contemplate a high or low penetration of Renewable Energy. Additionally, a reference and realistic scenario for the year 2018 has also been considered to compare to the clean scenarios proposed. The results obtained coincide with the goals of reducing environmental impacts such as global warming emissions and fossil fuel dependence. However, the backup that was chosen for supporting the intermittence of renewable energy may have an important role in the main system considering the expected growth of energy demands in the near future.

scholarly journals Um Estudo Empírico da Dinâmica da Correlação do Retorno das Ações do Brasil

2019 ◽  
Vol 16 (4) ◽  
pp. 635 ◽  
Author(s):  
Hudson Chaves Costa ◽  
Sabino Da Silva Porto Junior ◽  
Gabrielito Menezes
Keyword(s):  
Structural Breaks ◽  
Statistical Tests ◽  
Multivariate Garch ◽  
Garch Models ◽  
Conditional Correlation ◽  
Temporal Series ◽  
Largest Eigenvalues ◽  
Multivariate Garch Models ◽  
Long Term Trend

This article examines empirically the behavior of the correlation between the return of shares listed on the BMF& BOVESPA over the period from 2000 to 2015. To this end, we use multivariate GARCH models introduced by Bollerslev (1990) to remove the temporal series of arrays of conditional correlation of returns of stocks. With the temporal series of the largest eigenvalues of matrices of correlation estimated conditional, we apply statistical tests (unit root, structural breaks and trend) to verify the existence of stochastic trend or deterministic to the intensity of the correlation between the returns of the shares represented by eigenvalues. Our results confirm that both in times of crises at national and international turbulence, there is greater correlation between the actions. However, we did not find any long-term trend in time series of the largest eigenvalues of matrices of correlation conditional.

Power Projects and Covid-19: A Practical Analysis of the Relevance of Force Majeure Clauses under the Standardised Power Purchase and Implementation Agreements of Uganda

2020 ◽  
Vol 1 (2) ◽  
pp. 189-193
Author(s):  
Aisha Naiga ◽  
Loyola Rwabose Karobwa
Keyword(s):  
Renewable Energy ◽  
Renewable Energy Sources ◽  
Clean Energy ◽  
The State ◽  
Energy Sources ◽  
Policy Goals ◽  
Force Majeure ◽  
Practical Analysis ◽  
Energy Justice

Over 90% of Uganda's power is generated from renewable sources. Standardised Implementation Agreements and Power Purchase Agreements create a long-term relationship between Generating Companies and the state-owned off-taker guaranteed by Government. The COVID-19 pandemic and measures to curb the spread of the virus have triggered the scrutiny and application of force majeure (FM) clauses in these agreements. This article reviews the FM clauses and considers their relevance. The authors submit that FM clauses are a useful commercial tool for achieving energy justice by ensuring the continuity of the project, despite the dire effects of the pandemic. Proposals are made for practical considerations for a post-COVID-19 future which provides the continued pursuit of policy goals of promoting renewable energy sources and increasing access to clean energy, thus accelerating just energy transitions.

Impact of FII’s and FDI’s on Indian Stock Market

2016 ◽  
Vol 1 (1) ◽  
Author(s):  
Dr. Kamlesh Kumar Shukla
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Global Economy ◽  
Short Term ◽  
Earnings Growth ◽  
The Past ◽  
Bull Market ◽  
Indian Stock Market

FIIs are companies registered outside India. In the past four years there has been more than $41 trillion worth of FII funds invested in India. This has been one of the major reasons on the bull market witnessing unprecedented growth with the BSE Sensex rising 221% in absolute terms in this span. The present downfall of the market too is influenced as these FIIs are taking out some of their invested money. Though there is a lot of value in this market and fundamentally there is a lot of upside in it. For long-term value investors, there’s little because for worry but short term traders are adversely getting affected by the role of FIIs are playing at the present. Investors should not panic and should remain invested in sectors where underlying earnings growth has little to do with financial markets or global economy.

Disruptive Soft Law and Post-Crisis US Reform

2018 ◽  
Author(s):  
Abraham L. Newman ◽  
Elliot Posner
Keyword(s):  
Financial Markets ◽  
Great Recession ◽  
Regulatory Reform ◽  
The United States ◽  
Soft Law ◽  
Long Term Effects ◽  
The Great Recession ◽  
The Us ◽  
International Interaction

Chapter 6 examines the long-term effects of international soft law on policy in the United States since 2008. The extent and type of post-crisis US cooperation with foreign jurisdictions have varied considerably with far-reaching ramifications for international financial markets. Focusing on the international interaction of reforms in banking and derivatives, the chapter uses the book’s approach to understand US regulation in the wake of the Great Recession. The authors attribute seemingly random variation in the US relationship to foreign regulation and markets to differences in pre-crisis international soft law. Here, the existence (or absence) of robust soft law and standard-creating institutions determines the resources available to policy entrepreneurs as well as their orientation and attitudes toward international cooperation. Soft law plays a central role in the evolution of US regulatory reform and its interface with the rest of the world.

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