Assessing nickel sector index volatility based on quantile regression for Garch and Egarch models: Evidence from the Chinese stock market 2018–2022

Lu, Linna; Lei, Yalin; Yang, Yang; Zheng, Haoqi; Wang, Wen; Ye, Meng; Meng, Chunhong; Zha, Liqiang

doi:10.1016/j.resourpol.2023.103563

Cited by 5 publications

(3 citation statements)

References 35 publications

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“…Ditambah pemberitaan dari media lokal dan internasional, bahwa adanya informasi larangan ekspor bijih nikel di Indonesia, menyebabkan kekhawatiran dan ketegangan bagi para pengimpor. Hal itu mengartkan, indeks sektor nikel sangat erat kaitannya dengan iklim ekonomi dan geopolitik global (Lu et al, 2023). Dalam beberapa tahun terakhir, pola persediaan dan permintaan nikel sulfat global telah mengalami perubahan besar.…”

Section: Pendahuluanunclassified

Keterkaitan Antara Harga Nikel, Indeks Harga Saham Dan Kurs Periode Sebelum, Setelah Kebijakan Larangan Ekspor Dan Periode Keseluruhannya

Yenny,

Wahyudi

2023

JIMEA

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Hasil penelitian ini bertujuan untuk melihat keterkaitan antara harga nikel, indeks harga saham, dan nilai tukar pada periode sebelum, periode setelah kebijakan larangan ekspor dan periode keseluruhannya. Penelitian ini mengambil sampel data harian periode 1 Januari 2013 hingga 30 April 2021. Periode sampel dibagi menjadi tiga subperiode yaitu periode sebelum kebijakan dari 1 Januari 2013 hingga 31 Desember 2019, Periode setelah kebijakan 1 Januari 2020 hingga 30 April 2021, dan periode keseluruhan dari 1 Januari 2013 hingga 30 April 2021. Masing-masing periode mempunyai total sampel pada periode sebelum 1702, periode setelah 324 sampel, dan periode keseluruhan berjumlah 2026 sampel. Analisis penelitian ini menggunakan VECM. Hasil penelitian ini membuktikan adanya keterkaitan antara variabel tersebut, namun berbeda-beda pada periode sebelum, setelah kebijakan larangan ekspor dan secara keseluruhannya. Hal ini dikarenakan adanya berbagai faktor ekonomi dan waktu serta kondisi global yang kemudian dapat menyebabkan hubungan melemahkan dan menguatkan dari variabel yang satu terhadap variabel lainnya yang mamppu mengubah arah hubungan terutama antara kurs dan IHSG. Penelitian ini juga menemukan bahwa Kurs berperan sebagai saluran transmisi mediasi dari harga nikel ke indeks harga saham.

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Section: Pendahuluanunclassified

Keterkaitan Antara Harga Nikel, Indeks Harga Saham Dan Kurs Periode Sebelum, Setelah Kebijakan Larangan Ekspor Dan Periode Keseluruhannya

Yenny,

Wahyudi

2023

JIMEA

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“…Stage 1: Use one univariate volatility models, such as GARCH (Wang and Wu 2012) or EGARCH (Nelson 1991;Lu et al 2023), to fit for r t and obtain an estimate of h i,t .…”

Section: Empirical Modelling For Time Varying Correlationsmentioning

confidence: 99%

Global Financial Market Integration: A Literature Survey

Haddad

2023

JRFM

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This article undertakes a literature review on the topic of market integration, covering over 380 articles from the 1980s to 2024. The review consists of a qualitative analysis for context and a quantitative analysis for content, identifying key research streams and proposing directions for future research. I have identified six research groups: (1) market segmentation, (2) portfolio diversification, (3) market integration evidence from developed and emerging markets, (4) spillovers and linkages, (5) economic market integration, and (6) financial market integration and volatility. The literature focuses on market integration; it aims to answer the following questions: (1) What is the scope of market integration research? (2) What are the direct influences of market integration looking at top journals and authors and characteristics of most studied and cited topics? (3) What are the past and recent topics studied within the area of market integration? (4) What are the potential future research questions to explore in market integration? The topic of market integration has been controversial in many studies, as seen in policy decision-making, investments, and other related areas; this literature will provide great benefit for such an audience.

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“…The presence of leverage effects can be tested by the hypothesis that γ 1 < 0. The impact is asymmetric if γ 1 ≠ 0 (Do et al, 2020;Lu et al, 2023;Mendoza-Urdiales et al, 2022).…”

Section: Garch (11)mentioning

confidence: 99%

Beyond the Hype: Evaluating the Real Impact of News on Cryptocurrency Market Volatility

A.,

Prakash,

et al. 2023

CBR

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This study used the CMC 200 Index as a cryptocurrency market benchmark to examine complex volatility patterns of cryptocurrencies. The growing interest in cryptocurrencies and the necessity to analyse their market dynamics, especially in the face of external inputs like news, prompted the study. The study examined market responses and causes to diverse stimuli using rigorous analytical models including GARCH, EGARCH, FIGARCH, and News Impact Curve. The asymmetricvolatility or “leverage effect” showed that negative events or news have a greater impact on market volatility than positive developments of similar magnitude. Symmetric volatility indicated large price shifts regardless of news direction. The left-skewed news effect curve emphasises this asymmetric volatility, demonstrating that negative news has a greater impact on market dynamics. The curve’s leftward skew shows the market’s increased susceptibility to pessimism. This suggests that negative news might undermine investor confidence in the crypto market more than favourable news. Beyond these initial reactions, the research revealed a “long memory” in market volatility, suggesting that prior shocks continue to affect its volatility over time. These studies emphasise the importance of investor sentiment in crypto market. Investors in this volatile market need honest communication and strong risk management due to the leverage impact and prior experience.

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Assessing nickel sector index volatility based on quantile regression for Garch and Egarch models: Evidence from the Chinese stock market 2018–2022

Cited by 5 publications

References 35 publications

Keterkaitan Antara Harga Nikel, Indeks Harga Saham Dan Kurs Periode Sebelum, Setelah Kebijakan Larangan Ekspor Dan Periode Keseluruhannya

Keterkaitan Antara Harga Nikel, Indeks Harga Saham Dan Kurs Periode Sebelum, Setelah Kebijakan Larangan Ekspor Dan Periode Keseluruhannya

Global Financial Market Integration: A Literature Survey

Beyond the Hype: Evaluating the Real Impact of News on Cryptocurrency Market Volatility

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