quantile dependence of oil price movements and stock returns we examine the impact of quantile and interquantile oil price movements on different stock return quantiles by testing the hypothesis of equality in conditional and unconditional quantile distribution functions of stock returns we capture quantile dependence under different stock market conditions while taking into account different kinds of oil price movements by computing unconditional and conditional stock return quantiles through marginal models for stock returns and copula functions for oil stock dependence analyzing stock return data for three developed economies the us the uk and the european monetary union and the five brics countries brazil russia india china and south africa for 2000 to 2014 our results indicate that 1 the impact of extreme upward and downward oil price changes on upper and lower stock price quantiles was much smaller before compared to after crisis onset 2 the downside spillover effects were larger than the upside spillover effects for most countries before crisis onset and for all countries after crisis onset and 3 small positive and negative oil price movements had no impact on any stock return quantiles neither before nor after crisis onset

extreme return connectedness and its determinants between clean green and dirty energy investments abstract previous studies point to the time variation and asymmetry in the relationship between clean energy stocks and crude oil markets but there is a lack of evidence on the return spillovers between clean green assets and dirty energy assets crude oil and energy etf in lower and upper quantiles and their potential drivers to address these gaps we apply quantile based estimators to measure return connectedness at left and right tails of the conditional distribution of return shocks we find that the average level of return connectedness estimated at the mean median is 29 whereas it reaches 65 when estimated at the left and right tails thus return connectedness across clean energy stocks green bonds crude oil and energy etf is larger at both left and right tails implying that the unsuitability of applying mean based connectedness measures furthermore we show that return connectedness measures vary with time but they are less volatile in the tails notably return connectedness differs between periods of extreme negative returns and periods of extreme negative returns suggesting an asymmetric behaviour an analysis of the drivers of the return connectedness shows the importance of macroeconomic conditions especially at middle and lower quantiles us dollar has a positive impact in all cases whereas the crude oil market uncertainty intensifies the return spillovers at the lower quantile

crude oil corn ethanol nexus a contextual approach this paper offers a holistic study on the complex relationships between crude oil corn and ethanol during a turbulent period between 2006 and end of 2011 through a holistic mapping of the current market situation and a contextual analytical design we show that there exists a strong relationship between crude oil and corn markets on one side and crude oil and ethanol on the other however the price relationship between corn and ethanol was revealed to be less straightforward and is driven by the us government fuel policy furthermore the study indicates that corn markets have became more prone to volatility due to ethanol production especially when the demand for corn is high and or the crude oil prices are high enough to create a competitive market for ethanol

modeling the co movements between crude oil and refined petroleum markets abstract in this paper we investigate two types of asymmetries i e the asymmetry in the lower and upper tail dependences and the asymmetry in the propagation of crisis bubble between crude oil market and refined petroleum markets based on copula models thirteen copula models with different types of dependence structures and time varying dependence parameters are considered we find that in general the malm copula fits our sample data best based on aic criterion we find that lower and upper tail dependences are both positive indicating that crude oil and refined product markets tend to move together using the asymmetric copulas we find asymmetry in tail dependence between crude oil and heating oil returns and that between crude oil and jet fuel returns interestingly upper tail dependence is significantly greater than the lower tail dependence for the pre crisis period while the result is reversed for the post crisis period finally although our data prefers the nonexchangeable malm copula the asymmetry in the propagation of crisis bubble between crude oil and refined product returns is very weak

are corruption and taxation really harmful to growth firm level evidence exploiting a unique data set containing information about the estimated bribe payments of ugandan firms the authors study the relationship between bribe payments taxes and firm growth in uganda for the period 1995 97 using industry location averages to circumvent the potential problem of endogeneity and to deal with issues of measurement error they find that both the rate of taxation and the rate of bribery are negatively correlated with firm growth for the full data set a one percentage point increase in the bribery rate is associated with three percentage point reduction in firm growth an effect about three times that of taxation moreover after excluding outliers the authors find that bribery has a much greater negative impact on growth and taxation a considerably smaller one this provides some validation of firm level theories of corruption which posit that corruption retards development even more than taxation does

oil prices and the stock prices of alternative energy companies energy security issues coupled with increased concern over the natural environment are driving factors behind oil price movements while it is widely accepted that rising oil prices are good for the financial performance of alternative energy companies there has been relatively little statistical work done to measure just how sensitive the financial performance of alternative energy companies are to changes in oil prices in this paper a four variable vector autoregression model is developed and estimated in order to investigate the empirical relationship between alternative energy stock prices technology stock prices oil prices and interest rates our results show technology stock prices and oil prices each individually granger cause the stock prices of alternative energy companies simulation results show that a shock to technology stock prices has a larger impact on alternative energy stock prices than does a shock to oil prices these results should be of use to investors managers and policy makers

corruption manufacturing plant growth and the asian paradox indonesian evidence summary using panel data from the indonesian manufacturing industry during the suharto era 1975 95 we assess the impact of plant level corruption on output and productivity growth in support of the grease the wheels hypothesis and the view of an asian paradox we find that corruption measured as bribes and indirect tax payments has a positive and statistically significant effect on individual plant growth this effect persists over the entire period which suggests improvements in the efficacy of the bribe system and a strengthening of the long term contract between firms and the government

international evidence on crude oil price dynamics applications of arima garch models abstract we examine the usefulness of several arima garch models for modeling and forecasting the conditional mean and volatility of weekly crude oil spot prices in eleven international markets over the 1 2 1997 10 3 2009 period in particular we investigate the out of sample forecasting performance of four volatility models garch egarch and aparch and figarch over january 2009 to october 2009 forecasting results are somewhat mixed but in most cases the aparch model outperforms the others also conditional standard deviation captures the volatility in oil returns better than the traditional conditional variance finally shocks to conditional volatility dissipate at an exponential rate which is consistent with the covariance stationary garch models than the slow hyperbolic rate implied by the figarch alternative

the costs of urban property crime this paper estimates the impact of recorded domestic property crime on property prices in the london area crimes in the criminal damage category have a significant negative impact on prices a one tenth standard deviation decrease in the local density of criminal damage adds 1 to the price of an average inner london property burglaries have no measurable impact on prices even after allowing for the potential dependence of burglary rates on unobserved property characteristics one explanation we offer here is that vandalism graffiti and other forms of criminal damage motivate fear of crime in the community and may be taken as signals or symptoms of community instability and neighbourhood deterioration in general

volatility forecasting with range based egarch models we provide a simple yet highly effective framework for forecasting return volatility by combining exponential generalized autoregressive conditional heteroscedasticity models with data on the range using standard and poor s 500 index data for 1983 2004 we demonstrate the importance of a long memory specification based on either a two factor structure or fractional integration that allows for some asymmetry between market returns and volatility innovations out of sample forecasts reinforce the value of both this specification and the use of range data in the estimation we find substantial forecastability of volatility as far as 1 year from the end of the estimation period contradicting the return based conclusions of west and cho and of christoffersen and diebold that predicting volatility is possible only for short horizons

testing persistence of wti and brent long run relationship after the shale oil supply shock abstract in the paper we study the long run relationship in the wti brent oil time series taking into account the occurrence of two relevant events the rise of shale oil production in early 2011 and the widening and closing of the wti brent price spread from 2011 to 2014 monthly data of wti and brent crude oil prices as well as us shale oil quantities from january 2000 to december 2017 is used for the analyses the empirical results of the cointegration tests with structural breaks show that two structural break occurs in february 2011 and in october 2014 we then estimate a vector error correction model vecm considering the structural break suggested by the cointegration test results the timing of the rise in shale oil production and the dynamics of the wti brent price spread our analysis reveals that wti and brent crude oil prices have had a long run relationship up to 2011 no cointegration existed during the period of widening of the spread again a new long run relationship arises after the closing of the gap which includes the shale oil production in the last period the cross price elasticity of brent on wti slightly reduces compared to the pre 2011 era whilst the shale oil production increases its importance in explaining the long run relationship between wti and brent fivefold using the generalized impulse response functions girfs we finally study the impact of exogenous shocks on the variables showing that in the first period with limited shale oil production oil prices reacted to shale oil and not vice versa after october 2014 the opposite becomes true and shale oil production follows changes in both wti and brent prices

vertical price transmission in the egyptian tomato sector after the arab spring this study assesses price transmission along the egyptian tomato food marketing chain in the period that followed the arab spring which accentuated economic precariousness in egypt static and tim

does it pay to be ethical evidence from the ftse4good abstract the empirical mean variance evidence comparing the performance of socially responsible investments sri and conventional investments suggests that there is no significant difference between the two this paper re examines the problem in the context of marginal conditional stochastic dominance mcsd which can accommodate any return distribution or concave utility function our results provide strong evidence that there is a financial price to be paid for socially responsible investing indices composed of socially responsible firms are mcsd dominated by trademarked indices composed of conventional firms as well as by indices carefully matched by size and industry with the firms in the sri indices zero cost portfolios created by shorting the sri index and using the proceeds to invest in the conventional index generate higher average returns lower variance and higher skewness than either of the two indices standing alone they also mcsd dominate the sri and conventional indices standing alone

regional and copula estimation effects on eu and us energy equity portfolios the aim of this paper is to investigate the regional interdependence structure of energy equities in the us and in the eu based on weekly stock prices of 28 big energy firms in the two regions fro

crime and microenterprise growth evidence from mexico summary we explore the relationship between property crime and growth among microenterprises in mexico we use data on microenterprises and crime incidence from victimization surveys we find that higher rates of property crime are associated with a significantly lower probability an enterprise plans to expand or experiences income growth in the subsequent 12 months these effects are unique to property crimes and are not due to preventative measures undertaken by more rapidly expanding firms or other sources of reverse causality these conclusions also are robust to a number of controls for firm heterogeneity and for local institutional quality

connectedness network and dependence structure mechanism in green investments abstract we present an empirical study of renewable energy stock returns and their relation to four major investment asset classes stocks currency us treasury bonds and oil and several sources of uncertainty applying nonlinear causality and connectedness network analysis on data covering the period 2004 2016 we investigate the directionality and connectedness among different asset classes as well as between uncertainties first from the results of the estimation of directionality and network spillovers it can be concluded that the european stock market has a strong market dependence on renewable energy stock prices second uncertainties have an economically significant impact on both return and volatility spillover in energy investments third most of the uncertainties are net transmitters of volatility connectedness during the global financial crisis gfc and european sovereign debt crisis esdc

releasing constraints to growth or pushing on a string policies and performance of mexican micro firms abstract using firm level data from mexico this paper investigates the firm characteristics associated with participation in credit markets access to training tax payments and membership in business associations we find that firms which participate in these institutions exhibit significantly higher profits moreover firms that borrow from formal or informal sources and those that pay taxes are significantly more likely to stay in business but firms that received credit exhibit lower rates of income growth these results persist when firm characteristics that are arguably correlated with unobserved entrepreneurial ability are controlled for our findings suggest that the significant within country differences in firm productivity observed in developing economies are due in part to market and government failures that limit the ability of micro firms to reach their optimal sizes

co movements and spillovers of oil and renewable firms under extreme conditions new evidence from negative wti prices during covid 19 we test for the existence of volatility spillovers and co movements among energy focused corporations during the outbreak of the covid 19 pandemic inclusive of the april 2020 events where west texas intermediate wti oil future prices became negative employing the spillover index approach of diebold and yilmaz 2012 as well as developing a dcc figarch conditional correlation framework and using estimated spillover indices built on a generalised vector autoregressive framework in which forecast error variance decompositions are invariant to the variable ordering we examine the sectoral transmission mechanisms of volatility shocks and contagion throughout the energy sector among several results we find positive and economically meaningful spillovers from falling oil prices to both renewable energy and coal markets however this result is only found for the narrow portion of our sample surrounding the negative wti event we interpret our results being directly attributed to a sharp drop in global oil gas and coal demand rather than because of a sudden increase in oil supply while investors observed the us fracking industry losing market share to coal they also viewed renewables as more reliable mechanism to generate long term stable and low cost supply

renewable energy oil prices and economic activity a granger causality in quantiles analysis this paper analyzes the causal relationship between renewable energy consumption oil prices and economic activity in the united states from july 1989 to july 2016 considering all quantiles of the distribution although the concept of granger causality is defined for the conditional distribution the majority of papers have tested granger causality using conditional mean regression models in which the causal relations are linear we apply a granger causality in quantiles analysis that evaluates causal relations in each quantile of the distribution under this approach we can discriminate between causality affecting the median and the tails of the conditional distribution we find evidence of bi directional causality between changes in renewable energy consumption and economic growth at the lowest tail of the distribution besides changes in renewable energy consumption lead economic growth at the highest tail of the distribution our results also support the unidirectional causality from fluctuations in oil prices to economic growth at the extreme quantiles of the distribution finally we find evidence of lower tail dependence from changes in oil prices to changes in renewable energy consumption our findings call for government policies aimed at developing renewable energy markets to increase energy efficiency in the u s

herding behaviour in energy stock markets during the global financial crisis sars and ongoing covid 19 abstract environmental change created worldwide interest in investing in renewable energy less reliance on fossil fuels would have a substantial influence on investors for alternative energy especially renewable energy the literature has concentrated on empirical studies of herding behaviour in finance but not in renewable energy this paper fills the gap by investigating herding in renewable energy using daily closing prices in renewable and fossil fuel energy stock returns in the usa europe and asia for march 24 2000 may 29 2020 which covers the global financial crisis gfc 2007 2009 the coronavirus crises of sars 2003 and the ongoing covid 19 2019 2020 pandemic the paper shows that 1 for low extreme oil returns investors are more likely to display herding in the stock market 2 for sars and covid 19 herding is more likely during extremely high oil returns after the gfc and 3 herding is more likely during periods of extremely low oil returns during the coronavirus crises these results suggest that after the gfc investors are more sensitive to asset losses so they will be more likely to display herding in the stock market however during sars and covid 19 investors panic so they may unwisely sell their assets there are strong cross sector herding spillover effects from us fossil fuel energy to renewable energy especially before the gfc while the us fossil fuel energy market has a significant influence on the europe and asia renewable energy returns during covid 19 during sars which was not a pandemic us fossil fuels only had an impact on us renewable energy returns

investigating dynamic conditional correlation between crude oil and fuels in non linear framework the financial and economic role of structural breaks abstract to understand the crude oil volatility has been a challenge the non linear behavior the skewed and leptokurtic returns the presence of structural breaks and the constant political instability in suppliers countries evidence the necessity of complex models to capture the market volatility at the same time crude oil is the raw material for several fuels such as jet fuel gasoline diesel and others having a strong influence over their prices thus this study aims to verify the presence of structural breaks in the volatility series and in the correlations between wti return and the returns of gasoline kerosene jet fuel diesel heating oil propane and natural gas to reach this objective we identified which model presents the best fit to estimate the conditional mean between wti and each fuel and we used a copula dcc garch model to estimate the conditional volatility avoiding the frequently unrealistic presumptions of normality our main results indicate the necessity of a different model for each analyzed pair and the presence of at least one structural break in the conditional volatility and in the correlation between wti and each fuel usually preceded by a structural break in wti return series

how do the stock prices of new energy and fossil fuel companies correlate evidence from china abstract this study documents the return and volatility spillover effect between the stock prices of chinese new energy and fossil fuel companies using the asymmetric bekk model based on daily samples taken from august 30 2006 to september 11 2012 the dynamics of new energy fossil fuel stock spillover are found to be significant and asymmetric compared with positive news negative news about new energy and fossil fuel stock returns leads to larger return changes in their counter assets news about both new energy and fossil fuel stock returns spills over into variances of their counter assets and the volatility spillovers depend complexly on the respective signs of the return shocks of each asset the empirical results demonstrate that new energy and fossil fuel stocks are generally viewed as competing assets that positive news about new energy stocks could affect the attractiveness of fossil fuel stocks and that new energy stock investment is more speculative and riskier than fossil fuel stock investment these results have potential implications for asset allocation financial risk management and energy policymaking

covariance breakdowns and connectedness of crude oil futures markets with non synchronous data this article identifies the breakdowns in the covariance of three benchmark crude oil futures markets wti brent and dubai and investigates the changes of market connectedness across the breakdow

systemic risk spillovers between crude oil and stock index returns of g7 economies conditional value at risk and marginal expected shortfall approaches abstract in this study we examine systemic risk and dependence between oil and stock market indices of g7 economies between january 2003 and november 2017 coincidentally this timeframe covers different distress periods in financial and energy markets we use several time constant time varying and time varying markov copula models to examine the dependence further we use the delta conditional value at risk covar of adrian and brunnermeier 2016 and marginal expected shortfall mes of acharya et al 2012 to captures the risk spillover effects and give evidence of systemic risk from the copula analysis we find dissimilar dependence structure between returns series of oil and the g7 stock markets for france germany and japan the dependence is markov switching time varying while it is time varying for the united states and canada constant for the united kingdom and around zero for italy our empirical evidence on systemic risk indicates that oil price dynamics contributes significantly more to the g7 stock market returns during volatile times than during tranquil times in particular the canada stock market appears more sensitive and vulnerable to negative external shocks emerging from the crude oil market than the other markets further the country risk rankings identified using mes and covar may not be identical in addition the analysis results suggest that the crude oil market can be a good diversifier for investors in japan and france and that the investors in the rest of g7 countries must act more carefully

a copula garch approach for analyzing dynamic conditional dependency structure between liquefied petroleum gas freight rate product price arbitrage and crude oil price abstract global liquefied petroleum gas lpg trade shows an increasing trend but is under researched this paper focuses on the lpg market and aims to model the dependence dynamics among lpg freight rates crude oil price and propane location arbitrage conditional copula garch model is applied to estimate dependencies different types of copulas with both time invariant and time varying dependence structures are fitted and their suitability has been compared the findings suggest that firstly baltic lpg blpg freight rate and the arbitrage between propane far east and middle east prices have conditional time varying dependence and the dependence is higher in market downturns furthermore blpg and the arbitrage between far east and us propane prices have symmetric dependence and such a relationship has strengthened since 2013 secondly middle east propane price is found to have the strongest correlation with crude oil prices compared to far east and us propane prices indicating higher sensitivity to crude oil price changes last but not least the relationship between crude oil and blpg is relatively weak and mostly positive

dependence structure in the australian electricity markets new evidence from regular vine copulae abstract in this study regular vine copula was used to investigate the dependence structure of electricity prices at the state level in the australian national electricity market nem during three periods related to the adoption and abolition of the carbon tax in the pre carbon period we found evidence of tail dependence separately in the northern and southern nem but not across them during the carbon period the joint spike in the northern nem disappeared and the tail dependence in the southern nem decreased in the post carbon period the best dependence structure turned out to be a flexible structure of the regular vine which exactly matches the geographical infrastructure connectedness of transmission wires besides both upper and lower tail dependences were found in all adjacent states after the abolition of the carbon tax suggesting a more integrated market regarding tail dependence our findings have substantial implications for risk management in the nem especially for those participants exposed to multiple states

the dynamic dependence of fossil energy investor sentiment and renewable energy stock markets abstract this study investigates the dynamic directional information spillover of return and volatility between the fossil energy market investor sentiment towards renewable energy and the renewable energy stock market using the connectedness network approach empirical results show that the spillover effects of the volatility system are generally stronger than that of the return system which suggest that risk transmission among the markets is more obvious in both systems the impact of the fossil energy market especially crude oil on the renewable energy stock market is greater than the impact of investor sentiment on the renewable energy stock market this finding shows that the renewable energy stock market is closely related to the fossil energy market furthermore the rolling window approach is adopted to examine the time varying information spillover among them the dynamic findings suggest that investor sentiment towards renewable energy can explain the return and volatility of renewable energy stock to a certain degree

officials versus thieves is public or private expropriation more harmful to small firms abstractcorruption and crime are factors that regularly affect firms yet few papers compare the two impacts this is largely due to a lack of data something i overcome using recent surveys of microenterprises in mexico after instrumenting for individual firm level incidence i find that thieves are much more harmful to microenterprises than officials the incidence of robbery and extortion is associated with declines in income and employees while the incidence of bribery and fines are associated with increases in both this highlights that crime can be a larger deterrent to firm growth than corruption in certain environments

do green investments react to oil price shocks implications for sustainable development abstract this study investigates whether green investments are connected to oil price shocks while earlier papers mainly investigate the linkage between clean energy stock and crude oil prices we consider recently introduced environmental indexes consisting of companies that use eco friendly production processes and develop green infrastructures using the markov regime switching regression approach we observe that the effect of crude oil prices on environmental investments appears to be statistically insignificant albeit positive in most of the cases one possible reason behind such a finding is that the oil dependence is limited to the case of eco friendly firms the results further indicate switching between low and high volatility regimes implying that there exist high and low volatility states for green assets given that growing concerns about climate change and energy security would inspire market participants shift towards ethical investments our results could be of interest to investors aiming at decarbonizing their portfolios by including more environmental assets one important finding of our empirical analysis is that green assets are found to be more susceptible to oil market volatility rather than to oil price fluctuations this is a novel finding given that prior literature focusing on the association of oil sectors and green assets mainly consider the information on oil prices rather than oil volatility hence our study aims to conceal an important void in the exiting literature

assessment and optimization of clean energy equity risks and commodity price volatility indexes implications for sustainability abstract although clean energy equities have emerged as a new asset class for market participants especially environmentally concerned investors existing and previous studies pay very little attention to how equity investors in clean energy markets can reduce their downside risk the authors of this paper address this void by considering the roles of the commodity market volatility indexes of crude oil gold and silver the results of the dynamic conditional correlation model show that commodity volatilities and clean energy equity prices move in opposite directions based on the hedging effectiveness each of the three volatility indexes acts as an effective tool for reducing the risk of clean energy equity indexes the implied volatility index of crude oil is the most effective tool followed by that of gold and silver further analysis indicates the robustness of the results to the application of an asymmetric conditional correlation model the findings extend the limited understanding of how to hedge the downside risk of clean energy stock indexes and provide useful implications to market participants on the ability of implied volatility indexes of major commodities to hedge that risk

the copula garch model of conditional dependencies an international stock market application abstract modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics when returns are non normal it is often simply impossible to specify the multivariate distribution relating two or more return series in this context we propose a new methodology based on copula functions which consists in estimating first the univariate distributions and then the joining distribution in such a context the dependency parameter can easily be rendered conditional and time varying we apply this methodology to the daily returns of four major stock markets our results suggest that conditional dependency depends on past realizations for european market pairs only for these markets dependency is found to be more widely affected when returns move in the same direction than when they move in opposite directions modeling the dynamics of the dependency parameter also suggests that dependency is higher and more persistent between european stock markets

oil shocks and their impact on energy related stocks in china abstract this paper contributes to the current literature by adopting time varying conditional correlation and asset pricing models to discover how the dynamics of international oil prices affect energy related stock returns in china after conditioning for structural instability the results show a much stronger relation following the 2008 financial crisis we argue that this reflects the fact that investors in the chinese stock market especially for energy related stocks are more sensitive to the shocks in international crude oil market

is corruption an efficient grease this paper tests whether corruption may be an efficient grease in the wheels of an otherwise deficient institutional framework it analyzes the interaction between aggregate efficiency corruption and other dimensions of governance for a panel of 69 countries both developed and developing using two measures of corruption and two other aspects of governance we observe that corruption is less detrimental to efficiency in countries where institutions are less effective it may even be positively associated with efficiency in countries where institutions are extremely ineffective we thus find evidence for the grease the wheels hypothesis in its weak and strong forms

disentangling the role of the exchange rate in oil related scenarios for the european stock market abstract the literature has been analysing so far the response of the stock market to a distress scenario for oil prices considering prices in domestic currency this assumption implies merging commodity risk and exchange rate risk this article proposes to generate oil related scenario depending on the source of risk the same distress oil related scenario in euros could generate an opposite impact on the european stock market depending on the source of risk results show higher losses for eurostoxx when oil prices in euros experience a downward movement due to a decrease of oil price in us dollars and when oil prices in euros experience an upward movement due to a depreciation of the euro against the us dollar this framework can improve our understanding of how the exchange rate interacts in global markets also it contributes to the design of tailor made international scenarios for stress testing

dependence structure between the equity market and the foreign exchange market a copula approach abstract this paper investigates the dependence structure between the equity market and the foreign exchange market by using copulas in particular several copulas with different dependence structure are compared and used to directly model the underlying dependence structure we find that there exists significant symmetric upper and lower tail dependence between the two financial markets and the dependence remains significant but weaker after the launch of the euro our findings have important implications for both global investment risk management and international asset pricing by taking into account joint tail risk

systemic risk and international portfolio choice returns on international equities are characterized by jumps moreover these jumps tend to occur at the same time across countries leading to systemic risk we capture these stylized facts using a multivariate system ofjump diffusion processes where the arrival of jumps is simultaneous across assets we then determine an investor s optimal portfolio for this model of returns systemic risk has two effects one it reduces the gains from diversification and two it penalizes investors for holding levered positions we find that the loss resulting from diminished diversification is small while that from holding very highly levered positions is large returns on international equities are characterized by jumps 1 moreover these jumps tend to occur at the same time across countries implying that conditional correlations between international equity returns tend to be higher in periods of high market volatility or following large downside moves 2 our objective in

the impact of energy prices on clean energy stock prices a multivariate quantile dependence approach abstract we assess the impact of quantile price movements in oil gas coal and electricity on the quantiles of clean energy stock returns using a multivariate vine copula dependence setup for the period 2009 2016 our evidence shows that oil and electricity prices were major contributors to the dynamics of clean energy stock returns in the usa and the eu respectively whereas the other energy prices played a minor role in shaping clean energy stock returns furthermore we find evidence of a symmetric energy price impact so extreme upward and downward energy price movements had a similar impact on clean energy stock returns this evidence has potential implications for risk management decision making by energy investors and for policy maker decisions regarding support for clean energy deployment

eight questions about corruption this paper will discuss eight frequently asked questions about public corruption 1 what is corruption 2 which countries are the most corrupt 3 what are the common characteristics of countries with high corruption 4 what is the magnitude of corruption 5 do higher wages for bureaucrats reduce corruption 6 can competition reduce corruption 7 why have there been so few recent successful attempts to fight corruption 8 does corruption adversely affect growth

wavelet based test of co movement and causality between oil and renewable energy stock prices abstract we studied co movement and causality between oil and renewable energy stock prices using continuous and discrete wavelets firstly to obtain information on dynamic correlations over time and for different time scales from wavelet coherence and secondly to obtain information on linear and non linear granger causality in the time frequency domain for general and sectoral renewable energy indices for the period 2006 2015 our findings indicate that dependence between oil and renewable energy returns in the short run was weak but gradually strengthened towards the long run mainly for the period 2008 2012 our causality tests provide evidence against linear causality at higher frequencies and in favour of unidirectional and bidirectional linear causality at lower frequencies in contrast we found consistent evidence of non linear causality running from renewable energy indices to oil prices at different time horizons and mixed evidence of causality running from oil to renewable energy prices these results have potential implications for investors in terms of hedging and for policymakers in terms of policy support decisions regarding the development of renewable energy

asymmetric and extreme influence of energy price changes on renewable energy stock performance abstract promoting the development of renewable energy has become the key factor to solve the problems of energy and climate change issues however its development is largely constrained by the prices of traditional fossil energy this paper explores the influence of various fossil energy price changes on renewable energy stock returns using a network approach specifically a positive and negative returns network and value at risk var network are constructed separately for identifying the asymmetric and extreme information spillover our findings show the fossil energy renewable energy network system has a relatively high level of interdependence the electricity market behaves as the major contributor to the changes of renewable energy returns in the returns connectedness network while oil and coal contribute most to the changes of renewable energy returns in the var connectedness network the dynamic results show that the contributions of fossil energy price changes to renewable energy returns have strong time varying pattern with high volatility over time the total connectedness in the positive returns network is slightly stronger than that in the negative returns network for most of the time during our sample period

modeling renewable energy company risk abstract the renewable energy sector is one of the fastest growing components of the energy industry and along with this increased demand for renewable energy there has been an increase in investing and financing activities the tradeoff between risk and return in the renewable energy sector is however precarious renewable energy companies are often among the riskiest types of companies to invest in and for this reason it is necessary to have a good understanding of the risk factors this paper uses a variable beta model to investigate the determinants of renewable energy company risk the empirical results show that company sales growth has a negative impact on company risk while oil price increases have a positive impact on company risk when oil price returns are positive and moderate increases in sales growth can offset the impact of oil price returns and this leads to lower systematic risk

green bond and financial markets co movement diversification and price spillover effects abstract we examine co movement between the green bond and financial markets finding that the green bond market couples with corporate and treasury bond markets and weakly co moves with stock and energy commodity markets we also find that green bonds have negligible diversification benefits for investors in corporate and treasury markets whereas diversification benefits are sizeable for investors in stock and energy markets we further confirm that green bonds are affected by substantial price spillovers from corporate and treasury fixed income markets and that large price swings in stock and energy markets have a negligible impact on green bond prices

evaluating density forecasts with applications to financial risk management density forecasting is increasingly more important and commonplace for example in financial risk management yet little attention has been given to the evaluation of density forecasts the authors develop a simple and operational framework for density forecast evaluation they illustrate the framework with a detailed application to density forecasting of asset returns in environments with time varying volatility finally the authors discuss several extensions copyright 1998 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

a note on asset proportions stochastic dominance and the 50 rule in this note we analyze the composition of an optimal portfolio by considering the cumulative conditional expected outcome of two dependent assets we develop a conditional stochastic dominance relation and show that for any concave von neumann morgenstern utility function the proportion of wealth invested in the dominant asset will be greater than 50

systemic risk measurement multivariate garch estimation of covar abstract we modify adrian and brunnermeier s 2011 covar the var of the financial system conditional on an institution being in financial distress we change the definition of financial distress from an institution being exactly at its var to being at most at its var this change allows us to consider more severe distress events to backtest covar and to improve its consistency monotonicity with respect to the dependence parameter we define the systemic risk contribution of an institution as the change from its covar in its benchmark state defined as a one standard deviation event to its covar under financial distress we estimate the systemic risk contributions of four financial industry groups consisting of a large number of institutions for the sample period june 2000 to february 2008 and the 12 months prior to the beginning of the crisis we also investigate the link between institutions contributions to systemic risk and their characteristics

time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices abstract this paper examines the time and frequency dynamics of connectedness among stock prices of u s clean energy companies crude oil prices and a number of key financial variables using the methodology developed by barunik and krehlik 2018 this approach allows measuring the dynamics of return and volatility connectedness over time and across frequencies simultaneously the empirical results show that most of return and volatility connectedness is generated in the very short term i e movements up to five days while the long term plays a minor role our analysis further reveals a greater degree of interconnectedness across crude oil and financial markets since the onset of the u s subprime mortgage crisis in summer of 2007 consistent with the view of a global re pricing of risk triggered by the recent worldwide financial crisis crude oil prices do not appear as a key driver of the stock market performance of renewable energy companies in the short term or the long term which suggests a decoupling of the alternative energy industry from the traditional energy market moreover crude oil prices are a net receiver of financial shocks supporting the financialization of the commodity markets since the early 2000s in addition a significant pairwise connectedness is found mainly in the short term between clean energy and technology stock prices indicating that these two types of stocks are perceived by investors as similar assets these results can have important practical implications for investors and policy makers with different time horizons

oil price uncertainty and clean energy stock returns new evidence from crude oil volatility index abstract earlier studies evidence that oil price shocks have significant impacts on clean energy stock returns while the previous literature uses traditional oil price series to investigate such effects we aim to assess whether the variance of alternative energy stock returns can be explained using the information content of crude oil volatility index ovx an indicator of oil price uncertainty to serve our purpose we employ several measures to frame the realized volatility rv of alternative energy sector equity returns in particular we use three different range based rv estimators recommended by parkinson 1980 rogers and satchell 1991 and alizadeh et al 2002 respectively our findings reveal that clean energy stock market returns are highly sensitive to ovx shocks thus oil market uncertainty measured by ovx embodies a crucial role in modeling the volatility of renewable energy equity returns in addition we find a strong indication that ovx provides additional information beyond what is contained in the historical volatilities of equity returns we also document that the magnitude of the effect of ovx is much bigger than that of the realized variance of wti oil spot prices finally we find that the information content of crude oil volatility index improves the volatility forecasts for the clean energy equity market

portfolio theory for independent assets this paper presents several new concepts for portfolio problems with independently distributed asset prices a criterion is developed for including or excluding assets in an optimal portfolio for an investor maximizing the expected value of a von neumann morgenstern utility function the central concept of the generalized harmonic mean is introduced it is shown to be the analogue of the riskless rate of return for problems without a riskless asset a new ordering theorem is proven showing that an optimal portfolio always consists of positive amounts of the assets with the largest mean values next the concept of independence from irrelevant alternatives is introduced for portfolio problems this is a property of utility functions and is proven to be true for most of the commonly used utility functions altogether the results provide new insights and tools for portfolio problems with independent assets and extend earlier results by samuelson and fishburn and porter

short term forecasting of electricity prices for miso hubs evidence from arima egarch models this study estimates three time series models arima arima egarch and arima egarch m for hourly real time electricity prices for each of the five hubs of the midwest independent system operator miso and examines the in and out of sample forecasting performance of the respective models the results from the arima models reveal the presence of autoregressive conditional heteroskedasticity recognizing the possibility of asymmetric time varying volatility the egarch specification for the variance equation demonstrates the presence of an inverse leverage effect in electricity prices for each hub with respect to forecasts no one model clearly dominates the others in terms of in sample forecasting performance based on four forecast evaluation statistics however the arima egarch m model outperforms the other models michigan hub is the exception in terms of the out of sample forecasting performance

separating bric using islamic stocks and crude oil dynamic conditional correlation and volatility spillover analysis abstract this paper explores the dynamic conditional correlation and volatility linkage between islamic indexes and oil for bric countries correlations between these assets increase during the global financial crisis for india and china but not for brazil and russia the volatility error forecast variance of all five indexes comes from spillover but is much lower compared to volatility spillover between conventional indexes and oil hedging performance of islamic indexes are superior in india and china compared to conventional indexes in emerging markets an optimal minimum variance portfolio without reducing expected return can be achieved by investing in lower weights of bric islamic indexes and oil compared to conventional indexes

the impact of twitter sentiment on renewable energy stocks abstract we study the impact of twitter sentiment and sentiment divergence on returns volatility and trading volumes for renewable energy stocks based on daily time series for twitter sentiment and twitter sentiment divergence we estimate var models and evaluate spillovers between sentiment and renewable energy stock pricing and trading we find that whereas twitter sentiment has no sizeable impact on returns volatility or trading volumes twitter sentiment divergence generates feedback effects on volatility and trading volumes our evidence would indicate that the wisdom of the twitter crowd is not substantial in shaping prices and trading for renewable energy companies

correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies abstract in this paper multivariate garch models are used to model conditional correlations and to analyze the volatility spillovers between oil prices and the stock prices of clean energy companies and technology companies four different multivariate garch models bekk diagonal constant conditional correlation and dynamic conditional correlation are compared and contrasted the dynamic conditional correlation model is found to fit the data the best and generates results showing that the stock prices of clean energy companies correlate more highly with technology stock prices than with oil prices on average a 1 long position in clean energy companies can be hedged for 20 cents with a short position in the crude oil futures market

corruption and microenterprises in russia abstract in russia compliance with the rules and regulations that govern almost all aspects of economic life has created a hostile environment for microenterprises more serious than the regulations per se however is the potential niche they create for opportunistic behavior by regulatory authorities in russia the regulatory state has created a corrupt cadre of government bureaucrats who frequently engage in rent seeking behavior while enforcing regulations firms are not uniformly affected by corruption however this paper shows empirical evidence of differential incidence of extortion based on firm and entrepreneurial characteristics corruption in russia is similar to a regressive tax and acts as a disincentive to innovation and growth it may induce technologically inefficient production decisions and can dilute economies of scale and scope

how do correlations of crude oil prices co move a grey correlation based wavelet perspective abstract previous research on the oil market has focused mainly on the static relationship between bivariate oil prices ignoring the dynamic correlation of bivariate or multivariate oil prices this study provides a novel perspective on multivariate dynamic correlations for studying the oil market by using an optimal wavelet analysis on the basis of grey correlation we used china daqing and its three reference benchmark oil prices brent dubai and minas as empirical data our main findings are as follows first the time frequency phenomena of the analysis results from one to one and many to one correlation time series support the hypothesis of the regional and global characteristics of the oil market respectively second the u shaped wavelet variance plot indicates that the fluctuation intensity of the shortest and longest time frequency domains plays a leading role in the dynamic process of oil price correlation for the chinese government the oil price adjustment strategy in the short term should reduce the reference weights of brent and the long term strategy should reduce the reference weights of minas to avoid the risk of a single reference the investor s portfolio management should pay more attention to the leading oil price of the corresponding period to make clear market timing third the significant lead lag relationships of oil price correlations showed a time varying spread phenomenon of benchmark oil prices relative influence on daqing which provides a useful time reference when crafting an oil price adjustment strategy and intertemporal arbitrage

demand for risky financial assets a portfolio analysis abstract demand for risky financial assets takes place in portfolio settings the common stochastic orders applied in economics fail to rank demand for assets in such situations even for risk averse investors therefore the evaluation of the relative desirability of risky financial assets requires the establishment of new orders we prove that if returns on risky assets are ordered by the monotone likelihood ratio order then dominating assets will be more desired by all investors with nondecreasing utility functions

stock prices of clean energy firms oil and carbon markets a vector autoregressive analysis recent discussions of energy security and climate change have attracted significant attention to clean energy we hypothesize that rising prices of conventional energy and or placement of a price on carbon emissions would encourage investments in clean energy firms the data from three clean energy indices show that oil prices and technology stock prices separately affect the stock prices of clean energy firms however the data fail to demonstrate a significant relationship between carbon prices and the stock prices of the firms

impact of silver price uncertainty on solar energy firms abstract to the best of our knowledge we are the first to investigate if silver market uncertainty impacts the stock price performance of solar energy firms such investigation could be of vital importance to investors and policymakers given that silver is heavily utilized in photovoltaic pv process for producing solar energy methodologically we apply the garch jump process to estimate the effect of silver market uncertainty proxied by silver volatility index vxslv on the global solar energy stock indexes using a recent data set we document the following key findings first there exists a negative effect of vxslv on the equity indexes under study this result suggests that an upsurge in silver market volatility would create a chaos in the solar energy business second the impact of silver volatility index on renewable energy firms holds even when we control for the impact of oil price volatility ovx albeit ovx when compared to vxslv transmits higher risk to alternative energy stocks as evidenced by the magnitudes of the estimated parameters third the impact of silver market uncertainty appears to be symmetric implying that increases and decreases in vxslv would have a homogeneous impact on the solar energy stock returns we finally show that equity prices of solar energy firms are characterized by time varying jumps the implications of the results are discussed as well

renewable energy and politics a systematic review and new evidence abstract this paper reviews the literature in the intersection of renewable energies and politics adopting a multidisciplinary social sciences perspective we begin by analyzing the recent literature dealing with renewable energies and politics illustrating the analysis with bibliometric data the search protocol revealed 853 contributions dated from 1998 then we focus on the 186 contributions approached from a social sciences perspective establishing a taxonomy to classify the contributions into the main issues covered we identify contributions dealing with governance with public acceptance with markets and prices and with political or policy determinants of renewable energies in an empirical application we show that more democratic countries tend to invest more in renewable energies taking into account other determinants e g income energy dependence pollution emissions of this investment

how do crude oil prices co move a copula approach abstract this paper examines the dependence structure between crude oil benchmark prices using copulas by considering several copula models with different conditional dependence structures and time varying dependence parameters we find evidence of significant symmetric upper and lower tail dependence between crude oil prices these findings suggest that crude oil prices are linked with the same intensity during bull and bear markets thus supporting the hypothesis that the oil market is one great pool in contrast with the hypothesis that states that the oil market is regionalized our findings on crude oil price co movements also have implications for risk management hedging strategies and asset pricing

cross quantilogram based correlation and dependence between renewable energy stock and other asset classes abstract we study the cross quantile dependence of renewable energy re stock returns on aggregate stock returns changes in oil and gold prices and exchange rates applying a recently developed cross quantilogram approach we provide two novel findings first although prior studies show that re stock returns have a positive dependence on changes in oil prices and in the aggregate stock index we find that the relationship is not symmetric across quantiles and that this asymmetry is higher in longer lags second while the extant literature provides evidence that exchange rates and gold returns exert a positive influence on aggregate stock returns we report that this positive influence on re stock returns is observed only during extreme market conditions these results are robust i even after controlling for economic policy and equity market uncertainties as well as ii in both a time static full sample and recursive subsamples

is there dependence and systemic risk between oil and renewable energy stock prices abstract we study systemic risk and dependence between oil and renewable energy markets using copulas to characterize the dependence structure and to compute the conditional value at risk as a measure of systemic risk we found significant time varying average and symmetric tail dependence between oil returns and several global and sectoral renewable energy indices our evidence on systemic risk indicates that oil price dynamics significantly contributes around 30 to downside and upside risk of renewable energy companies these results have important implications for risk management and renewable energy policies

asset proportions in optimal portfolios the paper is concerned with conditions under which the proportion of a given asset in the optimal portfolio of a risk averse agent is at least as large as some given proportion the paper provides a condition that is necessary and sufficient for such a result to hold the analysis is then confined to portfolios in which the distributions of assets differ by either a first degree stochastic dominance shift or by a mean preserving shift examples are provided to show that under some conditions a risk averter may invest a smaller proportion of his wealth in the dominating asset than in the dominated asset the paper then provides conditions that are necessary and sufficient for a risk averter to invest more in the dominating asset the question of whether risk averse agents should or should not choose diversified portfolios as opposed to specialized ones has been analysed quite extensively in the literature examples of such works are samuelson 1967 brumelle 1974 hadar and russell 1974 russell and seo 1979 hadar and seo 1980 and macminn 1984 what has not been examined at all except for very special cases is the question of the optimal proportions of the various assets in a diversified portfolio in this paper we present conditions which imply that the optimal amount invested in a particular asset is at least as large as some given proportion of the available fund in the case of two asset portfolios one may especially want to know which of the two assets represents more than half the investible fund indeed we find it convenient to start the analysis with the two asset case while the extension to n asset protfolios is essentially straightfoward it is presented in a subsequent section focusing first on the two asset case will make it easier for the reader to see the main logical steps in the proofs of the theorems some of our analysis is facilitated by the use of a particular subset of risk averters this subset has the property that if its members behave in a particular way then all risk averters behave in that way we refer to such a subset as a representative set of all risk averters 2 the usefulness of the representative set derives from the fact that its members have utility functions of a very simple form consisting of two linear pieces and its applicability to the problems on hand derives from the fact that any concave function can be approximated by a linear combination of members of the representative set in the next section we present some formal results demonstrating the equivalence of unanimity among members of the representative set and unanimity among all risk averters in certain types of choice situations these theorems are then used in section 3 in which we present the results about optimal asset proportions

why do markets move together an investigation of u s japan stock return comovements this article explores the fundamental factors that affect cross country stock return correlations using transactions data from 1988 to 1992 we construct overnight and intraday returns for a portfolio of japanese stocks using their nyse traded american depository receipts adrs and a matched sample portfolio of u s stocks we find that u s macroeconomic announcements shocks to the yen dollar foreign exchange rate and treasury bill returns and industry effects have no measurable influence on u s and japanese return correlations however large shocks to broadbased market indices nikkei stock average and standard and poor s 500 stock index positively impact both the magnitude and persistence of the return correlations stock return cross country covariances play a key role in international finance changes in these covariances affect the volatility of portfolios and asset prices as these covariances increase one expects that a fewer domestic risks are internationally diversifiable so portfolio volatility increases b the risk premium on the world market portfolio increases 1 c the cost of capital increases for individual firms and d the domestic version of the capm becomes increasingly inadequate 2 despite the important economic consequences of changes in cross country covariances the determinants of the levels and dynamics of these covariances have been little studied from an academic

making inefficient market indices efficient this paper uses the concept of marginal conditional stochastic dominance and a generalization of the 50 portfolio rule to develop a tractable and parsimonious methodology for constructing a second degree stochastic dominance ssd efficient portfolio from a given inefficient index because the ssd approach considers the entire probability distributions of asset returns the resulting portfolios are efficient with respect to all risk averse utility maximizing investors regardless of the form of their utility functions or the distributions of asset returns

the dynamics of crude oil price differentials abstract crude oil price differentials are modelled as a two regime threshold autoregressive tar process using the method proposed by caner and hansen caner m hansen b e threshold autoregression with a unit root econometrica 2001 69 1555 1596 while standard unit root tests suggest that the prices of crude oil of different varieties move closely together such that their price differential is stationary the tar results indicate strong evidence of threshold effects in the adjustment process to the long run equilibrium these findings suggest that crude oil prices are linked and thus at the very general level the oil market is one great pool adelman m a international oil agreements the energy journal 1984 5 1 9 however differences in the dynamics of adjustment suggest that within this one pool oil markets are not necessarily integrated in every time period and hence the dynamics of crude oil price differentials may not follow a stationary process at all times although the development of a liquid futures market around the crude oil benchmarks has helped make some distant markets more unified arbitrage is not costless or risk free and temporary breakdowns in the benchmarks can lead to decoupling of crude oil prices