This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam, Thailand, Singapore…
Abstract
Purpose
This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam, Thailand, Singapore and Malaysia).
Design/methodology/approach
The analysis uses a vector autoregression with a bivariate GARCH-BEKK model to capture return linkage and volatility transmission spanning the period including the pre- and post-2008 Global Financial Crisis.
Findings
The main empirical result is that the volatility of the Chinese market has had a significant impact on the other markets in the data sample. For the stock return, linkage between China and other markets seems to be remarkable during and after the Global Financial Crisis. Notably, the findings also indicate that the stock markets are more substantially integrated into the crisis.
Practical implications
The results have considerable implications for portfolio managers and institutional investors in the evaluation of investment and asset allocation decisions. The market participants should pay more attention to assess the worth of across linkages among the markets and their volatility transmissions. Additionally, international portfolio managers and hedgers may be better able to understand how the volatility linkage between stock markets interrelated overtime; this situation might provide them benefit in forecasting the behavior of this market by capturing the other market information.
Originality/value
This paper would complement the emerging body of existing literature by examining how China stock market impacts on their neighboring countries including Vietnam, Thailand, Singapore and Malaysia. Furthermore, this is the first investigation capturing return linkage and volatility spill over between China market and the four Southeast Asian markets by using bivariate VAR-GARCH-BEKK model. The authors believe that the results of this research’s empirical analysis would amplify the systematic understanding of spillover activities between China stock market and other stock markets.
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This study examines the inter-linkages between Bitcoin prices and CEE stock markets (Hungary, the Czech Republic, Poland, Romania and Croatia).
Abstract
Purpose
This study examines the inter-linkages between Bitcoin prices and CEE stock markets (Hungary, the Czech Republic, Poland, Romania and Croatia).
Design/methodology/approach
The dynamic contemporaneous nexus has been analyzed using both the multivariate DECO-GARCH model proposed by Engle and Kelly (2012) and quantile on quantile (QQ) methodology proposed by Sim and Zhou (2015). Our study is implemented using the daily data spanning from 6 September 2012 to 12 August 2019.
Findings
First, the findings show that the average return equicorrelation across Bitcoin prices and CEE stock indices are positive, even though it is found to be time-varying over the research period shown. Second, the Bitcoin-CEE stock market association has positive signs for most pairs of quantiles of both variables and represents a rather similar pattern for the cases of Poland, the Czech Republic and Croatia. However, a weaker and primarily negative connectedness is found for Hungary and Romania, respectively. Furthermore, the interconnectedness between the co-movements in the Bitcoin market and stock returns changes significantly across quantiles of both variables within each nation, indicating that the Bitcoin-stock market relationship is dependent on both the cycle of the stock market and the nature of Bitcoin price shocks.
Practical implications
The evidence documented in this study has significant implications for divergent economic agents, including global investors, risk managers and policymakers, who would benefit from a comprehensive knowledge of the Bitcoin-stock market relationship to build efficient risk-hedging models and to conduct appropriate policy reactions to information spillover effects in different time horizons.
Originality/value
This paper is the first study employing both the multivariate DECO-GARCH model and QQ methodology to shed light on the nexus between Bitcoin prices and the stock markets in CEE countries. The DECO model uses more information to compute dynamic correlations between each pair of returns than standard dynamic conditional correlation (DCC) models, declining the estimation noise of the correlations. Besides, QQ approach allows us to capture some nuanced features of the Bitcoin-stock market relationship and explore the interdependence in its entirely. Therefore, the main contribution of this article to the related literature in this field is significant.
研究目的
本研究旨在探討比特幣的價格與中東歐股市(匈牙利、捷克共和國、波蘭、羅馬尼亞和克羅地亞) 之相互聯繫.
研究設計/方法/理念
研究使用恩格爾與凱利(2012)(Engle and Kelly (2012)) 提出的多變量DECO-GARCH模型及Sim 與Zhou(2015)(Sim and Zhou ( 2015)) 研製的分位數-分位數方法來分析動態同期的聯繫。我們的研究使用由2012年9月6日至2019年8月12日期間取得的每日數據來進行.
研究結果
首先、研究結果顯示、跨比特幣價格與中東歐股價指數的平均回報當量關聯是正相關的,即使在研究期間被發現是隨時間而變化的。第二、比特幣與中東歐股市之聯繫在大多數兩變數分位數對而言出現正相關跡象,而且,這聯繫在波蘭、捷克共和國及克羅地亞而言表現一個頗相似的模式。唯就匈牙利而言、這聯繫則較弱、而羅馬尼亞則主要是負聯繫。研究結果亦顯示: 比特幣市場內的聯動與股票回報間之內在關聯會在每個國家內跨兩個變數的分位數而顯著地改變,這顯示比特幣-股市關係是取決於股市的週期和比特幣價格衝擊的本質.
實際的意義
本研究所記載的證據、對不同的經濟行為者而言極具意義 (這包括國際投資者、風險管理經理和政策制定者),因他們會受惠於對比特幣-股市關係的全面認識,他們可建立有效的風險對沖模型、及在不同時間範圍對資訊溢出效應進行適當的政策反應.
研究的原創性/價值
本文為首個研究使用多變量DECO-GARCH模型和分位數-分位數(QQ)方法、來解釋比特幣價格與中東歐國家之股市的關係。這DECO模型使用比標準動態條件關係模型更多資訊,來計算每對回報間之動態關係,這能減少估測雜訊,而且,QQ方法讓我們可以取得比特幣-股市關係的一些細微特徵及全面地探索其相互依賴性。因此,本文的主要貢獻是在這學術領域內有關的文獻上.
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The purpose of this paper is to examine the conditional correlations and spillovers of volatilities across CEE markets, namely, Hungary, Poland, the Czech Republic, Romania and…
Abstract
Purpose
The purpose of this paper is to examine the conditional correlations and spillovers of volatilities across CEE markets, namely, Hungary, Poland, the Czech Republic, Romania and Croatia, in the post-2007 financial crisis period.
Design/methodology/approach
The authors use five-dimensional GARCH-BEKK alongside with the CCC and DCC models.
Findings
The estimation results of the three models generally demonstrate that the correlations between these markets are particularly significant. Also, own-volatility spillovers are generally lower than cross-volatility spillovers for all markets.
Practical implications
These results recommend that investors should take caution when investing in the CEE equity markets as well as diversifying their portfolios so as to minimize risk.
Originality/value
Unlike the previous studies in this field, this paper is the first study using multivariate GARCH-BEKK alongside with CCC and DCC models. The study makes an outstanding contribution to the existing literature on spillover effects and conditional correlations in the CEE financial stock markets.
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Thailand has seen waves of youth-led protests over the past three years. Pro-democracy youth activists have vociferously criticised authority figures: teachers, parents and…
Abstract
Thailand has seen waves of youth-led protests over the past three years. Pro-democracy youth activists have vociferously criticised authority figures: teachers, parents and political leaders, especially the king. Drawing on vignettes assembled over a 14-year ethnographic work with young people in Thailand, as well as on current research on youth (online and offline) activism in Bangkok, I examine the multi-layered meaning of kinship in Thai society. The chapter reveals the political nature of childhood and parenthood as entangled modes of governance that come into being with other, both local and international cultural entities. I argue that Thai youth activists are attempting to rework dominant tropes that sustain “age-patriarchy” in the Buddhist kingdom. Their “engaged siblinghood” aims to reframe Thailand's generational order, refuting the moral principles that establish citizens' political subordination to monarchical paternalism and, relatedly, children's unquestionable respect to parents. As I show, Thai youth activists are doing so by engaging creatively with transnational discourses such as “democracy” and “children's rights,” while simultaneously drawing on K-pop icons, Japanese manga and Buddhist astrology. In articulating their dissent, these youths are thus bearers of a “bottom-up cosmopolitanism” that channels culturally hybrid, and politically subversive notions of childhood and citizenship in Southeast Asia's cyberspace and beyond. Whatever the outcome of their commitment, Thai youth activism signals the cultural disarticulation of the mytheme of the Father in Thailand, as well as the growing political influence of younger generations in the region.
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Thi Kieu Van Tran, Ehsan Elahi, Liqin Zhang, Habibullah Magsi, Quang Trung Pham and Tuan Minh Hoang
The purpose of this paper is to estimate a recent trend in climate change and its impact on livelihood of community living in Nam Dinh province, Vietnam. Further, it aims to…
Abstract
Purpose
The purpose of this paper is to estimate a recent trend in climate change and its impact on livelihood of community living in Nam Dinh province, Vietnam. Further, it aims to increase the government attention for adaptation measures by providing awareness of climate change and its negative impacts on livelihood.
Design/methodology/approach
For study purpose, cross-sectional and secondary data sets were used. The community perceptions about climate change were recorded by face-to-face interviews of 500 respondents from Nam Dinh province, Vietnam in April 2015 by using a well-structured questionnaire, whereas secondary data were collected from the statistical yearbook of General Statistics Office of Vietnam. To accomplish the study objectives, Cobb–Douglas production function and Likert scale were used to estimate the community perceptions of climate change and impact of climate change on livelihood, respectively.
Findings
Results depict that climate change negatively impacted on the productivity of rice and livestock. Particularly, frequently occurring of droughts, floods and salinity intrusion negatively impacted on rice productivity, while livestock productivity is decreased by frequent occurring of flood storms in study area.
Originality/value
The study results suggest a government support is essential to achieve sustainable livelihoods for coastal communities living in the Red River Delta, particularly some adaptation measures in the context of climate change are required in study area.
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Lysann Seifert, Nathan Kunz and Stefan Gold
The purpose of this paper is to map and analyse the literature from 1989 to 2016 on humanitarian supply chain management (SCM) responding to refugees. This literature review…
Abstract
Purpose
The purpose of this paper is to map and analyse the literature from 1989 to 2016 on humanitarian supply chain management (SCM) responding to refugees. This literature review systematically assesses existing literature, thereby highlighting gaps, challenges and directions for future research.
Design/methodology/approach
The authors apply a structured content analysis method which has been recognised as a traceable, systematic and reproducible research tool to analyse qualitative and quantitative aspects of existing literature.
Findings
The relative scarcity of literature implies that the interface of the fields of Humanitarian SCM and refugees has been rarely addressed. More specifically, the quantitative content analysis highlights a dearth of research that focusses on both fields in a well-balanced manner. In particular, empirical, practice-led studies, as well as research on development aid operations are under-represented. The qualitative analysis finds that further research on logistics models as well as technological innovations is necessary to increase data availability, forecast accuracy and the efficiency of (local) supply network operations during disasters.
Research limitations/implications
The review suggests a number of areas in need of future research, proposes possibilities of collaborations between different actors and provides a research agenda for Humanitarian SCM in the context of refugees.
Originality/value
This review is the first to analyse the literature on Humanitarian SCM related to refugees.