Treatment after Pollution?

The paper considers the causal relationship about CO2 emissions, traffic density and urbanization development in China's provinces by the quantile causality test The method can capture the structural breaks under different quantiles from the nonlinear perspective. The robust results don't find the causality relationship between traffic density and CO2 emissions. Urbanization will increase CO2 emission at the high quantile level while the impact of CO2 emissions on urbanization presents a symmetric relationship. The promoting effect of transportation on urbanization only occurs at the beginning of urbanization. It shows the environmental pollution is a key factor to the whole process of urbanization. With the advancement of urbanization, the increase of traffic line density has no significant impact on the urbanization process. The results can provide references for the government in the layout of local traffic lines and the improvement of urbanization.

Role of Export Diversification and Renewable Energy on the Load Capacity Factor in Indonesia: A Fourier Quantile Causality Approach

Sustainable development and reducing environmental pressure are major issues that concern developed as well as developing countries. Although researchers widely use carbon dioxide emissions and ecological footprint within the scope of environmental degradation, a more comprehensive ecological indicator is needed to assess environmental sustainability. In this context, the load capacity factor enables a comprehensive environmental sustainability assessment through the simultaneous analysis of biocapacity and ecological footprint. However, there are few studies analyzing the determinants of load capacity factor and this study aims to fill this gap for Indonesia. Using the recently developed Fourier quantile causality test, this study investigates the impact of income, export diversification, non-renewable and renewable energy consumption on the load capacity factor for Indonesia during 1965Q1–2014Q4. The results show unidirectional causality from non-renewable energy consumption to the load capacity factor at all quantiles, while income, export diversification, and renewable energy are the causes of environmental quality at middle and higher quantiles (within 0.5, 0.7, and 0.9). Most importantly, renewable energy and export diversification increase the load capacity factor and thus support environmental quality. In contrast, an increase in income and consumption of non-renewable energy reduces the load capacity factor. These results highlight the importance of renewable energy and export diversification for the sustainable development of Indonesia.

Time- and Quantile-Varying Causality between Investor Attention and Bitcoin Returns: A Rolling-Window Causality-in-Quantiles Approach

This study proposes a novel approach that incorporates rolling-window estimation and a quantile causality test. Using this approach, Google Trends and Bitcoin price data are used to empirically investigate the time-varying quantile causality between investor attention and Bitcoin returns. The results show that the parameters of the causality tests are unstable during the sample period. The results also show strong evidence of quantile- and time-varying causality between investor attention and Bitcoin returns. Specifically, our results show that causality appears only in high volatility periods within the time domain, and causality presents various patterns across quantiles within the quantile domain.

Asymmetric relationship of investor sentiment with stock return and volatility: evidence from India

PurposeThe study examines the cross-sectional and asymmetric relationship of investor sentiment with the stock returns and volatility in India.Design/methodology/approachThe investor sentiment is captured using a market-based measure Market Mood Index (MMI) and a survey-based measure Consumer Sentiment Index (CSI). The asymmetric effect of the relationship is examined using quantile causality approach and cross-sectional effect is examined by considering indices such as the BSE Sensex, and the various size indices such as BSE Large cap, BSE Mid cap and BSE Small cap.FindingsThe result of the study found that investor sentiment (MMI) cause stock returns at extreme quantiles. Lower sentiment induces fear-induced selling, thereby lowers the returns and high sentiment is followed by lower future returns as market reverts to fundamentals. On the other hand, bullish shifts in sentiment lower the volatility. There exists a positive feedback effect of stock return and volatility in the formation of investor sentiment.Originality/valueThe study captures both asymmetric and cross-sectional relationship of investor sentiment and stock market in an emerging economy, India. The study uses a novel data set (i.e.) MMI which captures the sentiment based on market indicators and are widely disseminated to the public.

OPEC news and predictability of energy futures returns and volatility: evidence from a conditional quantile regression

Purpose This paper aims to provide an important perspective to the predictive capacity of Organization of the Petroleum Exporting Countries (OPEC) meeting dates and production announcements for energy futures (crude oil West Texas Intermediate (WTI), gasoline reformulated gasoline blendstock for oxygen blending (RBOB), Brent oil, London gas oil, natural gas and heating oil) market returns and volatilities. Design/methodology/approach To examine the impact of OPEC news on energy futures market returns and volatilities, the authors use a conditional quantile regression methodology during the period from April 01, 2013 to June 30, 2017. Findings From the empirical findings, the authors show a conditional dependence between energy futures returns and OPEC-based predictors; hence, the authors can find clear the significance of relationship in the process of financialization of the OPEC announcements and energy futures in the case of this paper. From the quantile-causality test, the authors find that the effect of OPEC news is important to energy futures. Specifically, OPEC announcements dates predict the quantiles of the conditional distribution of energy futures market returns. Originality/value The authors confirm the presence of unidirectional nexus between OPEC news and energy commodities futures in the long term.