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Available. Open Access. Open Access
Article
Publication date: 28 November 2024

Miklesh Prasad Yadav, Silky Vigg Kushwah, Farhad Taghizadeh-Hesary and Nandita Mishra

This paper aims to analyze the dynamic linkages of the energy market with the forex market. The energy market is measured by crude oil WTI, while the forex market is proxied by…

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Abstract

Purpose

This paper aims to analyze the dynamic linkages of the energy market with the forex market. The energy market is measured by crude oil WTI, while the forex market is proxied by Brazilian real (RBRL), Mexican peso (RMXN), South African rand (RZAR), Turkish lira (RTRY) and British pound sterling (RGBP) exchange rate.

Design/methodology/approach

For the study, daily observations of these constituent asset classes extending from December 31, 2019, to August 16, 2022, are taken as the data. Furthermore, it is categorized into two different sub-samples in the form of the COVID-19 outbreak (December 31, 2019 to February 23, 2022) and the Russo−Ukraine invasion (February 24, 2022 to August 16, 2022). For empirical estimation, Diebold and Yilmaz model (2014) and Barunik and Krehlik test (2018) are used to examine the dynamic linkages.

Findings

The study concludes that the Mexican peso (RMXN) receives and transmits the highest spillover, while crude oil (RCOWTI) receives and transmits the least volatility to the network connection in full sample. In addition, the authors report that the dynamic linkage is not constant in the short, medium and long run. Furthermore, the spillover index in the Russo−Ukraine invasion is higher (29.92%) than full observation (22.03%) and COVID-19 outbreak (21.10%) in the short run.

Originality/value

This paper ventures to offer insight to investors, traders and policymakers based on normal trading days and crisis periods.

Details

Review of Accounting and Finance, vol. 24 no. 1
Type: Research Article
ISSN: 1475-7702

Keywords

Available. Open Access. Open Access
Article
Publication date: 3 October 2023

Miklesh Prasad Yadav, Shruti Ashok, Farhad Taghizadeh-Hesary, Deepika Dhingra, Nandita Mishra and Nidhi Malhotra

This paper aims to examine the comovement among green bonds, energy commodities and stock market to determine the advantages of adding green bonds to a diversified portfolio.

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Abstract

Purpose

This paper aims to examine the comovement among green bonds, energy commodities and stock market to determine the advantages of adding green bonds to a diversified portfolio.

Design/methodology/approach

Generic 1 Natural Gas and Energy Select SPDR Fund are used as proxies to measure energy commodities, bonds index of S&P Dow Jones and Bloomberg Barclays MSCI are used to represent green bonds and the New York Stock Exchange is considered to measure the stock market. Granger causality test, wavelet analysis and network analysis are applied to daily price for the select markets from August 26, 2014, to March 30, 2021.

Findings

Results from the Granger causality test indicate no causality between any pair of variables, while cross wavelet transform and wavelet coherence analysis confirm strong coherence at a high scale during the pandemic, validating comovement among the three asset classes. In addition, network analysis further corroborates this connectedness, implying a strong association of the stock market with the energy commodity market.

Originality/value

This study offers new evidence of the temporal association among the US stock market, energy commodities and green bonds during the COVID-19 crisis. It presents a novel approach that measures and evaluates comovement among the constituent series, simultaneously using both wavelet and network analysis.

Details

Studies in Economics and Finance, vol. 41 no. 3
Type: Research Article
ISSN: 1086-7376

Keywords

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