Co-movement in crypto-currency markets:evidences from wavelet analysis

We study the time varying co-movement patterns of the crypto-currency prices with the help of wavelet-based methods;employing daily bilateral exchange rate of four major crypto-currencies namely Bitcoin,Ethereum,Lite and Dashcoin.First,we identify Bitcoin as potential market leader using Wavelet multiple correlation and Cross correlation.Further,Wavelet Local Multiple Correlation for the given cryptocurrency prices are estimated across different time-scales.From the results,it is found that that the correlation follows an aperiodic cyclical nature,and the crypto-currency prices are driven by Bitcoin price movements.Based on the results obtained,we suggest that constructing a portfolio based on crypto-currencies may be risky at this point of time as the other crypto-currency prices are mainly driven by Bitcoin prices,and any shocks in the latter is immediately transformed to the former.

The Impact of US Stock Market on the Co-Movements of BRIC Stock Markets—Evidence from Linear Conditional Granger Causality

This paper investigates the impact of the US stock market on the co-movements among the BRIC stock markets using conditional Granger causality which allows a comprehensive exploration on direct and indirect causality. The results from linear conditional causality test show a strong influence of the US stock market on the co-movements of BRIC. Our findings identify the US stock market which is the main inner factor making major contributions to the co-movements among the BRIC stock markets. Further, this study provides robust evidence that the co-movements cannot be significantly influenced by the common information factor. These findings show a more complete picture of the relationships between the US and the BRIC stock markets, offering important implications for policymakers and investors.

The CMB Luminosity Distance and Cosmological Redshifts

We will outline the relationship between luminosity distance and cosmological redshifts, demonstrating that it is consistent with a new cosmological model recently proposed by Haug and Tatum [1] , which appears to resolve the Hubble tension within the Rh=ctcosmology.

ON THE OBJECTIVE STRESS RATE IN CO-MOVING COORDINATE SYSTEM

The objective stress rate is a rather important problem in mechanics of finite deformation. In this paper, the objective stress rate in co-moving coordinate is derived by applying nonlinear geometric field theory of deformation. Problems, such ax targe extension coupled with rotation, and large shear deformation, are exemplified by using the new formula. Comparing with Jaumann 's stress rate and other formulae presented in current literature, the new result appears to be the reasonable one in co-moving coordinate system.

Price linkage between Chinese and international nonferrous metals commodity markets based on VAR-DCC-GARCH models

Using VAR-DCC-GARCH model,the literature on commodity price was extended by exploring the co-movement between Chinese nonferrous metal prices and global nonferrous metal prices represented by the nonferrous metal prices from London Metal Exchange(LME).The results show that LME nonferrous metals prices still have a greater impact on Chinese nonferrous metals prices.However,the impact of Chinese nonferrous metals prices on LME nonferrous metals prices is still weak except for lead price.The co-movement of nonferrous metal prices between LME and China presents hysteretic nature,and it lasts for 7-8trading days.Furthermore,the co-movement between LME nonferrous metals prices and Chinese nonferrous metals prices has the characteristics of time-varying,and the correlation of lead prices between LME and China is the more stable than all other nonferrous metals prices.

Investigating liquidity constraints as a channel of contagion: a regime switching approach

The present study investigates the timing and repercussion of the subprime crisis of 2008–09 in a regime-switching model.The interdependence and co-movement of financial markets in different countries has been enhanced due to the globalization of international trade,and investment trends can spread globally as a result of investors owning international portfolios.This study uses a regime-switching model to illustrate the timing of the crisis regime and calm regime for United States(US)stock index returns and the corresponding impact on Indian stock index returns.The Indian stocks investigated are classified into“remote”and“reachable”stocks,and different effects are found for these two types.It is found that shocks originating in the US can be transferred to the Indian reachable market as a result of foreign investors.There is,however,a less persistent impact on remote stocks.Accordingly,the study contributes to the literature on the material impacts of the crisis resulting from liquidity constraints and fear of contagion among investors.

The 2007-2009 Financial Crisis on Emerging Markets： Quantitative Identification of Crisis in Continent-based Regions

This paper focuses on a direct quantitative identification of crisis periods in selected emerging stock markets from four continent-based regions of Europe, Latin America, East Asia, and Middle East and North Africa （MENA）, in the context of an influence of the 2007 U.S. subprime financial crisis. The 17 emerging stock markets and, for comparison, the U.S. stock market are investigated. A statistical method of dividing market states into bullish and bearish markets, based on monthly logarithmic returns of major stock market indexes, is employed. The analyzed sample period begins in January 2003 and ends in December 2013. As there is no unanimity in the literature about the crisis periods in the continent-based regions, a formal statistical identification of crises is worthwhile to conduct. Furthermore, the effect of increasing cross-market correlations in the crisis compared to the pre-crisis period in the context of contagion is examining. To address this issue, both standard contemporaneous cross-correlations and volatility-adjusted cross-correlations are applied. The results are consistent with the literature and confn＇m that tests for contagion based on cross-market correlations are problematic due to the bias introduced by changing volatility in market returns. As contagion can be confused with globalization, the globalization tests in the group of international investigated markets are employed. The results generally do not confirm a global world market integration effect, i.e. there is no reason to reject the research hypothesis of no globalization during the 2007-2009 financial crisis.

中国股市和债市间避险对冲效应及其定价机制

经过三十多年的发展,中国股票和债券市场规模全球第二,表现出全球“避风港”的潜力,研究这两个大类资产间避险对冲效应,探索中国特色社会主义市场体系中资本市场的运行规律,对中国经济学的构建具有重要的意义。本文运用条件协偏度和协峰度来刻画一种资产风险变大和出现极端风险的情况下另一个市场是否具有对冲功能,并检验这种避险对冲效应是否影响股票和国债的风险溢价。结果发现,当一种资产对另一资产的条件协偏度下降和条件协峰度上升时,其预期收益会随之上升,说明我国股票市场和国债市场之间可以互相对冲风险,其跨市场定价机制符合偏度偏好和峰度厌恶假设。比较分析国债期货重新上市交易前后样本,可以发现随着利率市场化的推进,股票和国债市场间避险对冲效应有所加强。本文还将研究拓展至期货市场,发现国债现货能够对冲股票期货市场的波动性和极端风险,但相互避险的作用在股指期货和国债期货市场之间、其他现货和期货交叉市场间并不显著。这些发现为监管部门继续发展和完善股票市场和国债市场,放开国债期货和股指期货交易的管制,进一步推动利率市场化改革,促进中国金融市场的良性互动发展提供了重要的科学依据。

Conditional dependence between oil price and stock prices of renewable energy: a vine copula approach

The current paper focusses on the co-movement between oil prices and renewable energy stock markets in a multivariate framework.The vine copula approach that offers a great flexibility in conditional dependence modelling is used.More specifically,we investigate the issue of the average dependence and co-movement between oil prices(West Texas Intermediate[WTI])and renewable energy stock prices(Wilder Hill New Energy Global Innovation Index[NEX],Wilder Hill Clean Energy Index[ECO]and S and P Global Clean Energy Index[SPGCE])by applying the vine copula based threshold generalised autoregressive conditional heteroskedasticity(TGARCH)model.Over the period 2003–2016,empirical findings reveal significant and symmetric dependence between the considered markets.Therefore,there is symmetric tail dependence,indicating the evidence of upper and lower tail dependence.This means that movements in oil prices and renewable energy indices are coupled to the same direction.These empirical insights are of particular interest to policymakers,risk managers and investors in renewable energy sector.

Toward energy finance market transition:Does China's oil futures shake up global spots market?

China is breaking through the petrodollar system,establishing RMB-dominating crude oil futures market.The country is achieving a milestone in its transition to energy finance market internationalization.This study explores the price leadership of China's crude oil futures and identifies its price co-movement to uncover whether it truly shakes up the global oil spots market.First,we find that for oil spots under different gravities,China's oil futures is only a net price information receiver from light-,medium-,and heavy-gravity oil spots,but it has a relatively stronger price co-movement with these three spots.Second,for oil spots under different sulfur contents,China's oil futures still has weak price leadership in sweet,neutral,and sour oil spots,but it has strong co-movement with them.Third,for oil spots under different geographical origins,China's oil futures shows price leadership in East Asian and Australian oil spots at the medium-and longrun time scales and strong price co-movement with East Asian,Middle Eastern,Latin American and Australian oil spots.China's oil futures may not have good price leadership in global spots market,but it features favorable price co-movement.