Browsing by Author "Dang THN"

Now showing 1 - 5 of 5

Contemporaneous and lagged 𝑅2 decomposed connectedness approach: New evidence from the energy futures market
(Elsevier Inc, 2023-11) Balli F; Balli HO; Dang THN; Gabauer D
In this study, we investigate the return propagation mechanism across six energy futures, namely, Crude Oil, Heating Oil, Gasoline, Natural Gas, Kerosene, and Propane ranging from November 21st, 2014 until April 6th, 2023 by using a novel R2 decomposed connectedness approach. This framework allows to efficiently decompose connectedness measures into contemporaneous and lagged components. We find that the dynamic total connectedness is heterogeneous over time and economic-event dependent. Furthermore, the empirical results highlight that the contemporaneous effects are more pronounced on average while a significant amount of lagged spillovers occur in the case of Kerosene and Propane. We find that Heating Oil is the main net transmitter of shocks followed by Gasoline and Crude Oil while the main net receiver of shocks is Kerosene followed by Propane and Natural Gas. Finally, robust R2 connectedness measures are provided.
Demographic-governance factors shaping cryptocurrency holding behavior
(Elsevier B.V., 2025-11) Dang THN; Balli F; Balli HO; Kilic I
Employing cross-sectional data of 142 countries worldwide, this paper examines the macroeconomic factors in shaping cryptocurrency adoption. We find that the aggregate impact of inflation volatility on crypto adoption is dependent on the level of corruption control in higher-income countries. The control of corruption appears to discourage cryptocurrency adoption, emphasizing the role of institutional trust in financial choices. We also find that higher emigrant ratios in non-high-income and lower-income countries are associated with increased cryptocurrency usage, which suggests that migrants tend to use cryptocurrencies for faster, cheaper remittances compared to traditional services. Last, we find that internet penetration plays a key role in crypto adoption, particularly in higher-income countries with advanced digital infrastructure.
Energy market deregulation: A new perspective on dividend smoothing
(Elsevier B.V. Netherlands, 2026-01) Balli F; Balli HO; Hoxha I; Nguyen H; Dang THN
This paper investigates how U.S. electricity and gas utility firms adapted their dividend policies in response to deregulation of the energy sector, with a focus on understanding the internal financial mechanisms that support or constrain dividend smoothing. Using Lintner’s (1956) speed of adjustment model and a variance decomposition framework, we provide new evidence that deregulation significantly reduced dividend smoothing among utility firms, unlike their counterparts in the broader energy sector or non-energy industries. Specifically, we find that after deregulation, utility firms relied more heavily on debt financing and curtailed investment when faced with an income shock but also reflected that shock in the dividends more than before deregulation. Our empirical analysis draws on firm-level data from 1969 to 2021 and compares behaviour before and after deregulation across multiple firm categories, including a matched sample of non-utility firms. We show that deregulation made it harder for firms to maintaining the same level of dividend smoothing. These findings give insights on the importance of regulatory context in corporate finance research, and how market liberalization can impact not only competition and pricing for the affected sectors, but also the strategies firms use to balance investor expectations and operational needs.
Sectoral uncertainty spillovers in emerging markets: A quantile time–frequency connectedness approach
(Elsevier Inc, 2024-06) Dang THN; Balli F; Balli HO; Gabauer D; Nguyen TTH
This study investigates the sectoral expected uncertainty connectedness in emerging markets across different frequencies and quantiles using the novel quantile time–frequency connectedness approach of Chatziantoniou et al. (2022a). The employed dataset spans from January 1st, 2003 to October 4th, 2022, encompassing 10 key sectors. The findings reveal a robust and notable interconnection among these sectors, with a substantial total connectedness index of 91.01%. We also note that the largest proportion of the sectoral total connectedness is associated with long-term spillovers. Consumer Cyclicals emerges as the primary source of net risk transmission. Conversely, the Communications & Networking and Healthcare appear to be the greatest net receivers of shocks at the median level. Furthermore, we find that the degree of interconnectedness substantially varies over time, frequency, and quantile, and by economic events. In addition, we find suggestive evidence of asymmetric sectoral uncertainty connectedness effects as the uncertainty spillovers are higher during turbulent market conditions than normal market conditions. A positive relationship between uncertainty measures and sectoral connectedness is also observed during periods of smooth and normal market conditions. Besides, we also conduct different portfolio analyses illustrating the importance of risk diversification to reduce investment uncertainty. This has important implications for international investors and policymakers in forming optimal investment portfolios reducing adverse risk spillovers.
The global geopolitical-energy uncertainty index and total factor productivity: New evidence from firm-level analysis
(Elsevier B.V., 2026-01) Dang THN; Balli F; Balli HO; Qiu M; Nguyen H
This paper examines the impact of the global geopolitical-energy uncertainty (GEU) on firm-level total factor productivity, considering variation across countries, industries, and firm sizes. Employing the novel GEU index proposed by Dang et al. (2024a) and firm-level annual data from 2001 to 2023, we find strong evidence that the GEU index negatively affects firm productivity. There is heterogeneity in the GEU index's impact. Firms in developed countries such as the US, UK, France, and Germany are more negatively affected, whereas Canadian firms show a positive response. Energy-intensive firms and smaller firms experience stronger negative impacts. Mechanism analysis further demonstrates that both firm level characteristics and macroeconomic energy conditions shape productivity responses to GEU. Higher profitability reduces the negative impact of GEU shocks, while higher cost intensity and higher global energy prices amplify the adverse effects, increasing productivity losses. Our baseline results remain robust under different robustness checks. The paper's findings offer guidance for firms to develop effective strategies to manage risks during periods of heightened geopolitical-energy uncertainty.