Journal Articles

Permanent URI for this collectionhttps://mro.massey.ac.nz/handle/10179/7915

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Author: search.filters.author.Balli FSubject: search.filters.subject.Connectedness

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    Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions?
    (Elsevier B V, 2023-09) Balli F; O Balli H; Nguyen TTH
    The paper aims to explore the presence of connectedness between oil price changes and stock returns of oil & gas sector. The analysis, adopting the connectedness approach developed by and the frequency connectedness developed by demonstrates a high level of connectedness, especially during the extreme economic meltdown. The short-term (1–5 days) level of total connectedness is substantially higher than the medium-term (5–30 days) and long-term levels (30–262 days). In addition, when examining the impact of the sectors' financial characteristics on the extent of the connectedness, we found that sectors with greater solvency position (lower debt to asset ratio and higher interest coverage) are less connected with the oil price changes. The impact of sector's solvency position on connectedness (between stock return and oil prices) is even more obvious for financially more open markets. Also, change in oil prices have a less impact on the returns of sectors with higher profitability ratios. The paper, therefore, brings several implications to both policy makers and investors.
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    Interconnectivity and investment strategies among commodity prices, cryptocurrencies, and G-20 capital markets: A comparative analysis during COVID-19 and Russian-Ukraine war
    (Elsevier Inc, 2023-11) Kumar S; Jain R; Narain; Balli F; Billah M
    Economic and political disorders have multidimensional impacts on all economies around the world. The global world has faced out COVID-19 pandemic in 2020, and now the Russian-Ukraine geopolitical crisis. This study investigates the nexus among commodities, crypto, and G20 capital markets along with risk and returns implications. To examine the impact, we applied the TVP-VAR technique suggested by Koop and Korobilis (2014), and Antonakakis, Chatziantoniou, and Gabauer (2020) by adjusting the framework of Diebold and Yilmaz (2012). The research findings reveal that a high level of connectedness was observed during Covid-19, which was persistent for a long period and has multidimensional impacts. More particularly, EU, Canada, France Germany, and the UK were the principal supplier of spillovers to other commodities, Bitcoin, and the remaining markets. During Geopolitical Crisis (here after GPC), conclusively it is observed that of USA, Brazil, Saudi Arabia, Canada, Mexico, China, Indonesia, and Japan are the net receivers of the volatility spillovers and Russia, Germany, France, European Union, Italy, UK, Argentina, India, Australia, Turkey, Korea, and South Africa are the net transmitters of volatility spillovers. Interestingly, among net transmitters Argentina, South Africa and Turkey are suffered from high inflation and substantial budget deficits, considered as weak economies of G20. Portfolio weights has been increased dramatically during COVID-19 and Russian-Ukraine war. This research could be utilized to take investment, hedging, and diversification decisions about commodities, cryptocurrencies, and stocks, particularly in such turmoil situations with the help of connectedness and various hedging techniques.