Tag: Market Dynamics and Volatility
Market greenness predicts liquidity shocks
Market greenness predicts liquidity shocks tied to ESG investor preferences, and ESG-related liquidity better explains stock returns than standard measures during 2015-2019.
Geopolitical risk affects stock markets differently by regime
Study reveals geopolitical risk impacts stock returns asymmetrically: negatively in bullish markets, positively in downturns. Emerging markets may hedge geopolitical shocks.
China coal prices show stable long-term links across market variables
Analysis of China’s steam coal price formation reveals that port inventory, shipping costs, and oil prices drive pricing dynamics more than production alone, with implications for energy policy.
Natural disaster risk links differently to DeFi and NFTs
Study reveals natural disaster uncertainty differentially affects cryptocurrencies, DeFi assets, and NFTs across market regimes during geopolitical and inflationary crises.
Energy prices are linked to agricultural prices directly and through fertilizers
Analysis of monthly data from 1990 to 2024 shows energy prices affect wheat, maize, and soybean prices directly through fuel costs and indirectly through fertilizers.
Natural gas prices and green bonds affect each other over time
Quantile-on-quantile analysis of natural gas price and green bond market interactions reveals nonlinear, time-varying relationships within sustainable development contexts.
UAE-specific crises produced negative firm returns; global crises often positive
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in FinanceStudy examines how global and domestic crises impact UAE financial markets using STL decomposition, revealing asymmetric responses across firm characteristics and event categories.
SOI spillovers were strongest for SAFEX maize
Time-frequency analysis of Southern Oscillation Index spillovers to grain futures reveals regional asymmetries in climate vulnerability, with SAFEX maize showing significant SOI predictive capacity.
