Crude oil, stock market, and foreign exchange return volatility and spillover: a GARCH DCC analysis of Indian and Japanese financial market

Mishra, Amritkant

doi:10.1504/ijbir.2019.101687

Cited by 14 publications

(10 citation statements)

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“…It may be helpful in terms of reduction of air pollution in many significant ways, as working from home reduces public mobility that ultimately reduces the movement of large amounts of commercial and private vehicles and combats carbon emissions. These government initiatives could be helpful to curtail the population pressure on cities which have emerged due to the large migration of the population to cities (Mishra, 2019).…”

Section: Conclusion and Policy Implicationmentioning

confidence: 99%

“…, 2020a; Baker et al. , 2020; Mishra, 2019). Studies such as those conducted by Higgins-Desbiolles (2020), Hoque et al.…”

Section: Introductionmentioning

confidence: 99%

“…This practical study on the pandemic was confined to the financial market perspective. Many researchers have striven to reveal the effects of the current pandemic on the financial market outlook and made huge efforts to uncover the nexus of the crisis and the market volatility caused by it (Onali, 2020;Liu et al, 2020a;Baker et al, 2020;Mishra, 2019). Studies such as those conducted by Higgins-Desbiolles (2020), Hoque et al (2020Hoque et al ( ), G€ ossling et al (2020 and Zheng et al (2020), endeavored to unearth the difficulties of the hospitality and tourism sector caused by the Covid-19 pandemic.…”

Section: Introductionmentioning

confidence: 99%

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Positive side effects of the Covid-19 pandemic on environmental sustainability: evidence from the quadrilateral security dialogue countries

Mishra

2022

MEQ

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PurposeThe eruption of coronavirus disease 2019 (COVID-19) has pointedly subdued global economic growth and producing significant impact on environment. As a medicine or a treatment is yet available at mass level, social distancing and lockdown is expected the key way to avert it. Some outcome advocates that lockdown strategies considered to reduce air pollution by curtailing the carbon emission. Current investigation strives to affirm the impact of lockdown and social distancing policy due to covid-19 outbreak on environmental pollution in the QUAD nations.Design/methodology/approachTo calibrate the social movement of public, six indicators such residential mobility, transit mobility, workplace mobility, grocery and pharmacy mobility, retail and recreation mobility and park mobility have been deliberated. The data of human mobility have been gathered from the Google mobility database. To achieve the relevant objectives, current pragmatic analysis exerts a panel autoregressive distributed lag model (ARDL)-based framework using the pooled mean-group (PMG) estimator, proposed by Pesaran and Shin (1999), Pesaran and Smith (1995).FindingsThe outcome reveals that in the long-run public mobility change significantly impact the pollutants such as PM2.5 and nitrogen dioxide; however, it does not lead to any changes on ozone level. As per as short run outcome is concerned, the consequence unearths country wise heterogeneous impact of different indicators of public mobility on the air pollution.Research limitations/implicationsThe ultimate inferences of the above findings have been made merely on the basis of examination of QUAD economies; however, comprehensive studies can be performed by considering modern economies simultaneously. Additionally, finding could be constraint in terms of data; for instance, Google data used may not suitably signify real public mobility changes.Originality/valueA considerable amount of investigation explores the impact of covid-19 on environmental consequences by taking carbon emission as a relevant indicator of environmental pollution. Hence, the present pragmatic investigation attempts to advance the present discernment of the above subject in two inventive ways. Primarily, by investigating other components of environmental pollution such as nitrogen dioxide, PM2.5 and ozone, to reveal the impact of covid-19 outbreak on environmental pollution, as disregarded by the all preceding studies. Additionally, it makes a methodological contribution before integrating supplementary variables accompanying with ecological air pollution. Finally, the current research article provides an alternative and creative approach of modeling the impact of public mobility on environmental sustainability.

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Section: Conclusion and Policy Implicationmentioning

confidence: 99%

“…, 2020a; Baker et al. , 2020; Mishra, 2019). Studies such as those conducted by Higgins-Desbiolles (2020), Hoque et al.…”

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Positive side effects of the Covid-19 pandemic on environmental sustainability: evidence from the quadrilateral security dialogue countries

Mishra

2022

MEQ

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“…Wang and Wu (2012) use the DCC model to forecast the volatility and correlations among the returns of crude oil, gasoline, heating oil, and jet fuel. Behmiri et al (2019) investigate the relationships among natural gas, oil and other non-energy commodities, Mishra (2019) studies the correlation between oil and foreign exchange markets, whereas Basher and Sadorsky (2016|) focus on the connection between stock indices and oil returns.…”

Section: Introductionmentioning

confidence: 99%

Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach

Andreani

Candila

Morelli

et al. 2021

Risks

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This paper shows the effects of the COVID-19 pandemic on energy markets. We estimate daily volatilities and correlations among energy commodities relying on a mixed-frequency approach that exploits information from the number of weekly deaths related to COVID-19 in the United States. The mixed-frequency approach takes advantage of the MIxing-Data Sampling (MIDAS) methods. We compare our results to those obtained by employing two well-known models that do not account for the COVID-19 low-frequency variable, namely the Dynamic EquiCorrelation (DECO) and corrected Dynamic Conditional Correlation (cDCC). Moreover, we consider four possible specifications of the volatility: GARCH, GJR, GARCH-MIDAS, and Double-Asymmetric GARCH-MIDAS. The empirical results show that our approach is statistically superior to other models and represents a valuable methodology that can be used for risk managers, investors, and policy makers to assess the effects of the pandemic on spillovers effects in energy markets.

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“…Volatilite yayılımı ile ilgili yapılan araştırmalar incelendiğinde çeşitli ekonometrik yöntemlerle ve çeşitli varlık piyasalarında yayılım etkisinin test edildiği görülmektedir. GARCH modelleri (Do, Powell, Yong ve Singh, 2019;Mishra, 2019;Ng, 2000;Toraman, İğde, Buğan ve Kılıç, 2016;Umer, Coşkun ve Kiracı, 2018;M. Wu ve Zhu, 2019), rejim değişim modeli (Baele, 2005), dinamik ARDL testi (Faizulayev ve Wada, 2019), dalgacık analizi yaklaşımı (Kumar ve Kamaiah, 2017), kantil regresyon analizi (Ben Rejeb, 2016) gibi yöntemler literatürde kullanılan yöntemlerden bazılarıdır.…”

Section: Introductionunclassified

Gelişmekte Olan Piyasalarda Finansal Bağlantılılık

Gemici¹

2020

OPUS Uluslararası Toplum Araştırmaları Dergisi

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Çalışmada elde edilen bulgular, E7 ülke borsaları arasındaki toplam volatilite yayılım endeksinin düşük seviyede olduğunu ortaya koymuştur. Özellikle diğer ülkelere doğru en yüksek finansal risk geçişinin ve risk alışının sırasıyla Meksika ve Brezilya borsalarından kaynaklandığı görülmüştür. Diğer yandan Çin borsası, diğer altı ülke piyasalarına göre risk yayma ve risk alma noktasında düşük seviyede kalmıştır. Ayrıca toplam volatilite endeksi 200 günlük kayan pencereler yaklaşımına göre incelenmiş ve E7 ülke borsaları arasındaki finansal risk geçişinin en yüksek olduğu dönem COVID-19 pandemi dönemi olarak tespit edilmiştir. Çalışmadan elde edilen bulgular dikkate alındığında çalışmanın portföy çeşitlendirmesinde ve piyasa volatilitesinin tahmin edilmesi için portföy yöneticileri ve piyasa düzenleyiciler için önem arz ettiği düşünülmektedir Anahtar Kelimeler: Finansal bağlantılılık, toplam yayılma endeksi, gelişmekte olan piyasalar.

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Crude oil, stock market, and foreign exchange return volatility and spillover: a GARCH DCC analysis of Indian and Japanese financial market

Cited by 14 publications

References 0 publications

Positive side effects of the Covid-19 pandemic on environmental sustainability: evidence from the quadrilateral security dialogue countries

Positive side effects of the Covid-19 pandemic on environmental sustainability: evidence from the quadrilateral security dialogue countries

Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach

Gelişmekte Olan Piyasalarda Finansal Bağlantılılık

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