Dynamic connectedness of oil price shocks and exchange rates

Malik, Farooq; Umar, Zaghum

doi:10.1016/j.eneco.2019.104501

Cited by 164 publications

(57 citation statements)

References 23 publications

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“…The issue of contagion and connectedness between various types of investments has been widely documented. ( Akhtaruzzaman et al., 2014 , 2019 ; Akhtaruzzaman and Shamsuddin, 2016 ; Awartani et al., 2016 ; Spierdijk and Umar, 2017 ; Malik and Umar, 2019 ; Zaremba et al., 2020 ; Naeem et al., 2020 ; Stereńczak et al., 2020 ; Umar et al., 2019 ). However, little evidence is there regarding the connectedness of ESG leader investments.…”

Section: Literature Reviewmentioning

confidence: 99%

The static and dynamic connectedness of environmental, social, and governance investments: International evidence

2020

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We investigate the connectedness of the most significant global equity indices that comprise companies with the highest environmental, social, and governance (ESG) performance. Motivated by the rapid growth of socially responsible investing during the last two decades, we examine whether these investments are prone to similar exogenous economic and financial shocks as their conventional counterparts. Employing a variety of influential macroeconomic and financial variables over the period 10/1/2007–4/15/2020, we document statistically significant and consistent transmissions between the employed equity indices throughout the sample period. In particular, the connectedness exhibits dynamic patterns during three periods: the European sovereign debt crisis, the systemic Greek problems, and the outbreak of the coronavirus pandemic. We also find that developed equity markets are the shock transmitters to Asian and other emerging markets. Our results highlight the risk of contagion and the diminishing portfolio diversification benefits of these equity indices during turbulent periods.

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Section: Literature Reviewmentioning

confidence: 99%

The static and dynamic connectedness of environmental, social, and governance investments: International evidence

2020

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“…Currency and cryptocurrency markets represent a complex system in the domain of economics and finance ( Yang et al, 2016 , Bouri et al, 2019 , Gomes and Gubareva, 2020 ; and the references therein). These studies of interdependence of foreign exchange markets and cryptocurrency markets have been attracting a vast research interest from the point of view of contagion, adversely impacting portfolio risk management, strategic asset allocation, and financial instruments pricing ( Baumohl, 2019 , Kristjanpoller and Bouri, 2019 , Malik and Umar, 2019 , Celeste et al, 2020 ).…”

Section: Introductionmentioning

confidence: 99%

A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets

Umar

Gubareva

2020

Journal of Behavioral and Experimental Finance

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We apply wavelet analyses to examine the impact of the Covid-19 fueled panic on the volatility of major fiat and cryptocurrency markets during January-May, 2020. There is high coherence between moves of the Coronavirus Panic Index and the price moves in Euro, British pound, and Renminbi currencies as well as movements of the Bloomberg Galaxy Crypto Index. The main conclusions for each index pair are quite similar and corroborate with our thesis that the cross-currency hedge strategies, which could work under normal market conditions, are likely to fail during the periods of global crisis, e.g., such as the Covid-19 pandemic. However, we document some important differences in currency markets behavior, which potentially could be used to design effective cross-currency hedges capable of withstanding adverse impacts of global financial and economic turmoil. Our findings could be of use for future development of financial policies and currency markets regulation rules.

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“…Moreover, we can also obtain the time-varying spillover effect by using the moving window method. Many recent studies have used this method to study spillover effects and connectedness between assets, such as Singh et al [19], Kang and Lee [20], and Malik and Umar [21]. In a more recent study, Lovcha and Perez-Laborda [22] used the Diebold-Yilmaz approach and the Barunik and Krehlik methodology to analyze the volatility connectedness between Henry Hub natural gas and West Texas Intermediate (WTI) crude oil in the time and frequency domains.…”

Section: Introductionmentioning

confidence: 99%

Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe

Liu

Nakajima

et al. 2020

Energies

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Using a fresh empirical approach to time-frequency domain frameworks, this study analyzes the return and volatility spillovers from fossil fuel markets (coal, natural gas, and crude oil) to electricity spot and futures markets in Europe. In the time domain, by an approach developed by Diebold and Yilmaz (2012) which can analyze the directional spillover effect across different markets, we find natural gas has the highest return spillover effect on electricity markets followed by coal and oil. We also find that return spillovers increase with the length of the delivery period of electricity futures. In the frequency domain, using the methodology proposed by Barunik and Krehlik (2018) that can decompose the spillover effect into different frequency bands, we find most of the return spillovers from fossil fuels to electricity are produced in the short term while most of the volatility spillovers are generated in the long term. Additionally, dynamic return spillovers have patterns corresponding to the use of natural gas for electricity generation, while volatility spillovers are sensitive to extreme financial events.

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Dynamic connectedness of oil price shocks and exchange rates

Cited by 164 publications

References 23 publications

The static and dynamic connectedness of environmental, social, and governance investments: International evidence

The static and dynamic connectedness of environmental, social, and governance investments: International evidence

A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets

Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe

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