Journal Articles
Permanent URI for this collectionhttp://10.0.100.92:4000/handle/123456789/21
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Item Markov-switching multifractal volatility spillovers among European stock markets during crisis periods(Applied Economics, 2025) Tiwari, Aviral Kumar; Abakah, Emmanuel Joel Aikins; Dwumfour, Richard Adjei; Lee, Chi-ChuanThis research investigates time-varying volatility spillovers and connectedness among European stock markets during the COVID-19 pandemic and the Russia – Ukraine war, two events that destabilized global markets. With data from 20 European stock markets spanning 17 December 2019, to 17 March 2022, we employ the TVP-VAR model and estimate volatility using the Markov-switching multifractal volatility technique. Findings from log-volatility estimates suggest that markets are highly connected, with price movement driven mainly by spillover effects from other markets in the same region. Most emerging markets are net receivers of volatility, with most of Europe’s major markets being net transmitters of shocks. The COVID-19 pandemic appears to have impacted European stock markets more than the Russia – Ukraine war. Shifting to the results obtained based on MSM volatility estimates, we find that markets strongly correlate for both high and low volatility. In the case of a high volatility regime, we document the dominance of Finland, Denmark, and Iceland over major European markets. In contrast, under a low volatility regime, we note the dominance of major markets, including the UK and France, over emerging markets in Europe. The findings reveal the diversification potential of emerging European stock markets.Item Nexus of crude oil and clean energy stock indices: Evidence from time-vector-auto-regression in conjunction with conditional-autoregressive-value-at-risk(Heliyon, 2025-01-15) Trabelsi, Nader; Tiwari, Aviral Kumar; Ghallabi, Fahmi; Khemakhem, ImenThe current study aims to elicit information regarding the tail risk transmission mechanism between crude oil (CO) and selected clean energy (CE) stock indices across time and during certain economic events. A Time-Varying Parameter Vector Auto-Regressive model (TVP-VAR) paired with the conditional autoregressive value-at-risk (CAViaR) approach was used to investigate data from January 1, 2015 to December 29, 2022. Overall, we show that an increased vulnerability to tail risk and deficits might be linked to dynamic spillover over examined markets. We also provide evidence that connectedness rises during significant crisis situations, and the last epidemic has the potential to make a lasting impact on the various marketplaces of concern. According to the return and conditional variance time-series, CE stock indices are the most important source of return shocks to CO. However, the CO is the primary cause of volatility in CE stock indices. During the recent virus pandemic, the most significant volatility shock transmissions from CO to CE stock indices occurred. During the Russia-Ukraine war, volatility shocks to CO were mostly caused by CE stock indices. The results of our study offer concrete consequences and new perspectives to various market players in order to improve the management and understanding of risks.Item The dynamic connectedness between oil price shocks and emerging market economies stock markets: Evidence from new approaches(Energy Economics, 2025-01) Tiwari, Aviral Kumar; Dam, Mehmet Metin; Altıntaş, Halil; Bekun, Festus VictorThis paper uses the dynamic connectedness framework to investigate the interrelationship between the decomposed oil supply, demand and risk shocks that Ready (2018) developed and the stock market returns of emerging market economies. For this purpose, we use daily data from 11 October 2001 to 5 April 2021. Novel empirical methodologies, including wavelet quantile correlation (WQC), cross-quantilogram analysis, nonparametric causality-in-quantile approaches, contemporaneous R2 connectedness approach and generalized R2 connectedness approaches, are employed. The results show that oil price fluctuations significantly impact the economic performance of emerging market economies, reflecting historical events. Demand price shocks are regarded as net transmitters within the system, whereas supply and risk price shocks are net receivers of spillovers. Concurrently, our findings indicate a considerable degree of dynamic connectedness among the stock markets of emerging market economies. In particular, the stock markets of Brazil, Mexico, and Argentina have been identified as net transmitters of spillovers. In contrast, the stock markets of Turkey, South Korea, Malaysia, Indonesia and India are classified as net receivers of spillovers. Furthermore, we examine and document the advantages of diversified portfolios that include all sector indices, including oil price shocks and emerging market economy stock markets, in terms of portfolio performance. The insights offered here are valuable for investors and policymakers striving to enhance their strategic approaches in today's interconnected global financial context. The results show that oil price fluctuations significantly impact the economic performance of emerging market economies and reflect historical events. Demand shocks affecting the stock market indices of Brazil, Argentina and Mexico tend to act as net spillover transmitters. In contrast, supply shocks affecting the stock market indices of Indonesia, South Korea, India, Turkey and Malaysia mainly act as net spillover receivers. Net pairwise interconnectedness analysis reveals that, except for crisis periods, interactions between financial markets or macroeconomic indicators are evenly distributed. Thus, systemic risk is lower, and markets act independently. Empirical findings obtained using WQC generally show the presence of negative correlations at long-time scales and low quantiles, which is considered an indicator of the safe-haven feature associated with the asset in question. The hedge feature is observed to be evident only at long time scales. The results of the cross-quantilogram analysis show mixed evidence of correlation in all stock indices, especially in the weekly lag structure, compared to daily and monthly lags. Finally, non-parametric Granger causality test results show that stock returns are insensitive to oil price fluctuations, making these markets attractive for investors seeking diversification strategies. These findings provide valuable recommendations for investors seeking sustainable equities in a volatile oil market.