Počet záznamov: 1  

Directional Predictability from Stock Market Sector Indices to Gold: A Cross-Quantilogram Analysis

  1. BAUMÖHL, Eduard - LYÓCSA, Štefan. Directional Predictability from Stock Market Sector Indices to Gold: A Cross-Quantilogram Analysis. - Registrovaný: Scopus. In Finance Research Letters. - New York : Elsevier. ISSN 1544-6123, 2017, vol. 23, pp. 152-164 online. APVV-14-0357, VEGA 1/0406/17
    Ohlasy:
    [3] HUSSAIN SHAHZAD, Syed Jawad - RAHMAN, Md Lutfur - LUCEY, Brian M. - UDDIN, Gazi Salah. When and How Does the Gold Prices Influence Gold Stocks? Evidence from Cross-Quantilogram Analysis [online]. In SSRN [cit. 2018-05-15]. Dostupné na: https://ssrn.com/abstract=3102258 , http://dx.doi.org/10.2139/ssrn.3102258
    [1] TODOROVA, Neda. The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis. In ECONOMIC MODELLING. 2017, vol. 64, no., pp. 221-230. ISSN 0264-9993., Registrované v: WOS, SCOPUS
    [1] BOURI, Elie - LIEN, Donald - ROUBAUD, David - SHAHZAD, Syed Jawad Hussain. Directional predictability of implied volatility: From crude oil to developed and emerging stock markets. In FINANCE RESEARCH LETTERS. ISSN 1544-6123, 2018, vol. 27, pp. 65-79., Registrované v: WOS, SCOPUS
    [1] SHAHZAD, Syed Jawad Hussain - REHMAN, Mobeen Ur - JAMMAZI, Rania. Spillovers from oil to precious metals: Quantile approaches. In RESOURCES POLICY. ISSN 0301-4207, 2019, vol. 61, pp. 508-521., Registrované v: WOS, SCOPUS
    [3] HAN, Heejoon. Quantile Dependence between Stock Markets and its Application in Volatility Forecasting. In arXiv preprint arXiv:1608.07193, 2018, 48 p. Dostupné na: https://economics.missouri.edu/sites/default/files/event-file/stockmarkets_20mar_2018.pdf
    [1] LIEN, Donald - WANG, Zijun. Quantile information share. In JOURNAL OF FUTURES MARKETS. ISSN 0270-7314, 2019, vol. 39, no. 1, pp. 38-55., Registrované v: WOS, SCOPUS
    [1] TROSTER, Victor - BOURI, Elie - ROUBAUD, David. A quantile regression analysis of flights-to-safety with implied volatilities. In RESOURCES POLICY. ISSN 0301-4207, 2019, vol. 62, pp. 482-495., Registrované v: WOS, SCOPUS
    [1] TIWARI, Aviral Kumar - ADEWUYI, Adeolu O. - ROUBAUD, David. Dependence between the global gold market and emerging stock markets (E7+1): Evidence from Granger causality using quantile and quantile-on-quantile regression methods. In WORLD ECONOMY. ISSN 0378-5920, 2019, vol. 42, no. 7, pp. 2172-2214., Registrované v: WOS, SCOPUS
    [1] ADEWUYI, Adeolu O. - AWODUMI, Olabanji B. - ABODUNDE, Temitope T. Analysing the gold-stock nexus using VARMA-BEKK-AGARCH and Quantile regression models: New evidence from South Africa and Nigeria. In RESOURCES POLICY. ISSN 0301-4207, 2019, vol. 61, pp. 348-362., Registrované v: WOS, SCOPUS
    [1] JIANG, Yonghong - FU, Yuyuan - RUAN, Weihua. Risk spillovers and portfolio management between precious metal and BRICS stock markets. In PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS. ISSN 0378-4371, 2019, vol. 534., Registrované v: WOS, SCOPUS
    [1] ALGIERI, Bernardina - LECCADITO, Arturo. Ask CARL: Forecasting tail probabilities for energy commodities. In Energy Economics. ISSN 01409883, 2019-10-01, vol. 84., Registrované v: SCOPUS, WOS
    [1] ALI, Sajid - BOURI, Elie - CZUDAJ, Robert Lukas - SHAHZAD, Syed Jawad Hussain. Revisiting the valuable roles of commodities for international stock markets. In Resources Policy. ISSN 03014207, 2020-06-01, vol. 66., Registrované v: SCOPUS, WOS
    [3] AL-YAHYAEE, Khamis Hamed, et al. Do Islamic equity indexes outperform their conventional counterparts during normal times and global financial crises? In 2nd International Conference on Management, Economics and Finance. Rotterdam: ICMEF, 2019, 53 p. Dostupné na: https://www.dpublication.com/wp-content/uploads/2019/11/3-ICMEF.pdf
    [1] CORBET, Shaen - KATSIAMPA, Paraskevi - LAU, Chi Keung Marco. Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets. In INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS. ISSN 1057-5219, 2020, vol. 71, no., pp., Registrované v: WOS, SCOPUS
    [1] AL-YAHYAEE, Khamis Hamed - MENSI, Walid - REHMAN, Mobeen Ur - XUAN VINH VO - KANG, Sang Hoon. Do Islamic stocks outperform conventional stock sectors during normal and crisis periods? Extreme co-movements and portfolio management analysis. In PACIFIC-BASIN FINANCE JOURNAL. ISSN 0927-538X, 2020, vol. 62., Registrované v: WOS, SCOPUS
    [1] YAHYA, Muhammad - GHOSH, Sajal - KANJILAL, Kakali - DUTTA, Anupam - UDDIN, Gazi Salah. Evaluation of cross-quantile dependence and causality between nonferrous metals and clean energy indexes. In ENERGY. ISSN 0360-5442, 2020, vol. 202., Registrované v: WOS
    [1] DE LUCA, Giovanni - ROSCIANO, Monica. Quantile Dependence in Tourism Demand Time Series: Evidence in the Southern Italy Market. In SUSTAINABILITY, 2020, vol. 12, no. 8., Registrované v: WOS, SCOPUS
    [3] MARQUES, André M. - LIMA, Gilberto Tadeu. Does the wage share drive capacity utilization? Testing for Granger-causality in quantiles. In ANPEC. 2020, pp. [1-14]. Dostupné na: https://www.anpec.org.br/encontro/2020/submissao/files_I/i6-ce5e147cab5ca9059799cc7357ef1903.pdf
    [1] ZHANG, Yongjie - WANG, Meng - XIONG, Xiong - ZOU, Gaofeng. Volatility spillovers between stock, bond, oil, and gold with portfolio implications: Evidence from China. In FINANCE RESEARCH LETTERS. ISSN 1544-6123, 2021, vol. 40. Dostupné na: https://doi.org/10.1016/j.frl.2020.101786., Registrované v: WOS, SCOPUS
    [1] SHAHZAD, Syed Jawad Hussain - RAHMAN, Md Lutfur - LUCEY, Brian M. - UDDIN, Gazi Salah. Re-examining the real option characteristics of gold for gold mining companies. In RESOURCES POLICY. ISSN 0301-4207, 2021, vol. 70. Dostupné na: https://doi.org/10.1016/j.resourpol.2020.101890., Registrované v: WOS, SCOPUS
    [1] CHO, Dooyeon - HAN, Heejoon. The tail behavior of safe haven currencies: A cross-quantilogram analysis. In JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY. ISSN 1042-4431, 2021, vol. 70. Dostupné na: https://doi.org/10.1016/j.intfin.2020.101257., Registrované v: WOS, SCOPUS
    [3] ARIF, Muhammad et al. Diversifier or More? Hedge and Safe Haven Properties of Green Bonds During COVID-19. Copenhagen: Copenhagen School of Energy Infrastructure | CSEI, 2020, pp. 1-37. Dostupné na: https://www.cbs.dk/files/cbs.dk/green_bonds-arif-wp01-final-v001-al-2020_12_10_0.pdf
    [1] NAEEM, Muhammad Abubakr - MBARKI, Imen - SHAHZAD, Syed Jawad Hussain. Predictive role of online investor sentiment for cryptocurrency market: Evidence from happiness and fears. In INTERNATIONAL REVIEW OF ECONOMICS & FINANCE. ISSN 1059-0560, 2021, vol. 73, pp. 496-514. Dostupné na: https://doi.org/10.1016/j.iref.2021.01.008., Registrované v: WOS, SCOPUS
    [1] NAEEM, Muhammad Abubakr - THI THU HA NGUYEN - NEPAL, Rabindra - QUANG-THANH NGO - TAGHIZADEH-HESARY, Farhad. Asymmetric relationship between green bonds and commodities: Evidence from extreme quantile approach. In FINANCE RESEARCH LETTERS. ISSN 1544-6123, 2021, vol. 43. Dostupné na: https://doi.org/10.1016/j.frl.2021.101983., Registrované v: WOS, SCOPUS
    [3] MARQUES, André M. - LIMA, Gilberto Tadeu. Testing for Granger Causality in Quantiles Between the Wage Share and Capacity Utilization. In WORKING PAPER SERIES Nº 2021-03. Department of Economics - FEA/USP, 2021, pp. [1-22]. Dostupné na: http://www.repec.eae.fea.usp.br/documentos/Marques_Lima_WP03.pdf
    [1] REHMAN, Mohd Ziaur - TIWARI, Aviral Kumar - SAMONTARAY, Durga Prasad. Directional predictability in foreign exchange rates of emerging markets: New evidence using a cross-quantilogram approach. In Borsa Istanbul Review. ISSN 22148450, 2022-01-01, 22, 1, pp. 145-155. Dostupné na: https://doi.org/10.1016/j.bir.2021.03.003., Registrované v: SCOPUS
    [1] MANOHAR, Jambotkar Mrunali - RAJU, Guntur Anjana. Does gold retain its hedge and safe haven role for energy sector indices during covid-19 pandemic? A cross-quantilogram approach. In International Journal of Energy Economics and Policy, 2021-01-01, 11, 1, pp. 233-240. Dostupné na: https://doi.org/10.32479/ijeep.10294., Registrované v: SCOPUS
    [1] ARIF, Muhammad - NAEEM, Muhammad Abubakr - HASAN, Mudassar - ALAWI, Suha - TAGHIZADEH-HESARY, Farhad. Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets? In ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA. ISSN 1331-677X, 2021. Dostupné na: https://doi.org/10.1080/1331677X.2021.1910532., Registrované v: WOS, SCOPUS
    [1] ZHANG, Yue-Jun - PAN, Xu. Does the risk aversion of crude oil market investors have directional predictability for the precious metal and agricultural markets? In CHINA AGRICULTURAL ECONOMIC REVIEW. ISSN 1756-137X, 2021, vol. 13, no. 4, pp. 894-911. Dostupné na: https://doi.org/10.1108/CAER-05-2020-0099., Registrované v: WOS, SCOPUS
    [1] SALISU, Afees A. - XUAN VINH VO - LUCEY, Brian. Gold and US sectoral stocks during COVID-19 pandemic. In RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE. ISSN 0275-5319, 2021, vol. 57. Dostupné na: https://doi.org/10.1016/j.ribaf.2021.101424., Registrované v: WOS, SCOPUS
    [1] SHAHZAD, Syed Jawad Hussain - BOURI, Elie - REHMAN, Mobeen Ur - ROUBAUD, David. The hedge asset for BRICS stock markets: Bitcoin, gold or VIX. In WORLD ECONOMY. ISSN 0378-5920, 2022, vol. 45, no. 1, pp. 292-316. Dostupné na: https://doi.org/10.1111/twec.13138., Registrované v: WOS, SCOPUS
    [3] YOUSAF, Imran - DEMIRER, Riza - SULEMAN, Muhammad Tahir. Green Investments: A luxury Good or a Financial Necessity. 2021, pp. 1-25. Dostupné na: https://www.researchgate.net/publication/351918851_Green_investments_A_luxury_good_or_a_financial_necessity
    [3] TROSTER, Victor - MARQUES, André M. - SHAHBAZ, Muhammad. New Insights on the Trading Volume–Return Relationship: Evidence From the Three Largest Stock Exchanges. In Economic Growth and Financial Development. Cham: Sringer, 2021, ISBN 978-3-030-79002-8, pp. 179-204. Dostupné na: https://link.springer.com/chapter/10.1007/978-3-030-79003-5_10#citeas
    [1] OURIR, Awatef - BOURI, Elie - ESSAADI, Essahbi. Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach. In COMPUTATIONAL ECONOMICS. ISSN 0927-7099, 2021. Dostupné na: https://doi.org/10.1007/s10614-021-10204-8., Registrované v: WOS, SCOPUS
    SOHAG, Kazi - SHAMS, S. M.Riad - GAINETDINOVA, Anna - NAPPO, Fabio. Frequency connectedness and cross-quantile dependence among medicare, medicine prices and health-tech equity. In Technovation, 2023-02-01, 120, pp. ISSN 01664972. Dostupné na: https://doi.org/10.1016/j.technovation.2022.102483., Registrované v: SCOPUS, WOS
    MIGHRI, Zouheir - RAGOUBI, Hanen - SARWAR, Suleman - WANG, Yihan. Quantile Granger causality between US stock market indices and precious metal prices. In Resources Policy, 2022-06-01, 76, pp. ISSN 03014207. Dostupné na: https://doi.org/10.1016/j.resourpol.2022.102595., Registrované v: SCOPUS, WOS
    PANAGIOTOU, Dimitrios - TSERIKI, Alkistis. Directional predictability between trading volume and price returns in the agricultural futures markets: risk implications for traders. In Journal of Risk Finance, 2022-04-21, 23, 3, pp. 264-288. ISSN 15265943. Dostupné na: https://doi.org/10.1108/JRF-04-2021-0063., Registrované v: SCOPUS, WOS
    PEDINI, Luca - SEVERINI, Sabrina. Exploring the hedge, diversifier and safe haven properties of ESG investments: A cross-quantilogram analysis. In MPRA, 2022, pp. [1]. Dostupné na: https://mpra.ub.uni-muenchen.de/112339/
    MARQUES, André M. - LIMA, Gilberto Tadeu. Testing for Granger causality in quantiles between the wage share in income and productive capacity utilization. In Structural Change and Economic Dynamics, 2022-09-01, 62, pp. 290-312. ISSN 0954349X. Dostupné na: https://doi.org/10.1016/j.strueco.2022.04.002., Registrované v: SCOPUS, WOS
    ARIF, Muhammad - NAEEM, Muhammad Abubakr - FARID, Saqib - NEPAL, Rabindra - JAMASB, Tooraj. Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19. In Energy Policy, 2022-09-01, 168, pp. ISSN 03014215. Dostupné na: https://doi.org/10.1016/j.enpol.2022.113102., Registrované v: SCOPUS, WOS
    HONG, Yanran - MA, Feng - WANG, Lu - LIANG, Chao. How does the COVID-19 outbreak affect the causality between gold and the stock market? New evidence from the extreme Granger causality test. In Resources Policy, 2022-09-01, 78, pp. ISSN 03014207. Dostupné na: https://doi.org/10.1016/j.resourpol.2022.102859., Registrované v: SCOPUS, WOS
    AIKINS ABAKAH, Emmanuel Joel - GIL-ALANA, Luis A. - TRIPATHY, Trilochan. Stochastic structure of metal prices: Evidence from fractional integration non-linearities and breaks. In Resources Policy, 2022-09-01, 78, pp. ISSN 03014207. Dostupné na: https://doi.org/10.1016/j.resourpol.2022.102910., Registrované v: SCOPUS, WOS
    LUPU, Iulia - HURDUZEU, Gheorghe - LUPU, Radu. How Is the ESG Reflected in European Financial Stability? In Sustainability (Switzerland), 2022-08-01, 14, 16, pp. Dostupné na: https://doi.org/10.3390/su141610287., Registrované v: SCOPUS, WOS
    MENSI, Walid - AL RABABA'A, Abdel Razzaq - ALOMARI, Mohammad - VO, Xuan Vinh - KANG, Sang Hoon. Dynamic frequency volatility spillovers and connectedness between strategic commodity and stock markets: US-based sectoral analysis. In Resources Policy, 2022-12-01, 79, pp. ISSN 03014207. Dostupné na: https://doi.org/10.1016/j.resourpol.2022.102976., Registrované v: SCOPUS, WOS
    ALI, Fahad - BOURI, Elie - NAIFAR, Nader - SHAHZAD, Syed Jawad Hussain - ALAHMAD, Mohammad. An examination of whether gold-backed Islamic cryptocurrencies are safe havens for international Islamic equity markets. In Research in International Business and Finance, 2022-12-01, 63, pp. ISSN 02755319. Dostupné na: https://doi.org/10.1016/j.ribaf.2022.101768., Registrované v: SCOPUS, WOS
    GENÇYÜREK, A. Galip - EKINCI, Ramazan. Safe-haven and hedging roles of precious metals for BRICS and Turkey. In Borsa Istanbul Review, 2023-03-01, 23, 2, pp. 297-321. ISSN 22148450. Dostupné na: https://doi.org/10.1016/j.bir.2022.10.013., Registrované v: SCOPUS, WOS
    TIWARI, Aviral Kumar - SHAHBAZ, Muhammad - KHALFAOUI, Rabeh - AHMED, Rizwan - HAMMOUDEH, Shawkat. Directional predictability from energy markets to exchange rates and stock markets in the emerging market countries (E7 + 1): New evidence from cross-quantilogram approach. In International Journal of Finance and Economics, 2024-01-01, 29, 1, pp. 719-789. ISSN 10769307. Dostupné na: https://doi.org/10.1002/ijfe.2706., Registrované v: SCOPUS, WOS
    LI, Jiarui - IRWIN, Scott H. - ETIENNE, Xiaoli. Do Extreme CIT Position Changes Move Prices in Grain Futures Markets? In Journal of Agricultural and Applied Economics, 2022-11-03, 54, 4, pp. 792-814. ISSN 10740708. Dostupné na: https://doi.org/10.1017/aae.2022.40., Registrované v: SCOPUS, WOS
    SYUHADA, Khreshna - HAKIM, Arief - SUPRIJANTO, Djoko - MUCHTADI-ALAMSYAH, Intan - ARBI, Lukman. Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk. In Resources Policy, 2022-12-01, 79, pp. ISSN 03014207. Dostupné na: https://doi.org/10.1016/j.resourpol.2022.103111., Registrované v: SCOPUS, WOS
    LEI, Heng - XUE, Minggao - LIU, Huiling - YE, Jing. Precious metal as a safe haven for global ESG stocks: Portfolio implications for socially responsible investing. In Resources Policy, 2023-01-01, 80, pp. ISSN 03014207. Dostupné na: https://doi.org/10.1016/j.resourpol.2022.103170., Registrované v: SCOPUS, WOS
    KANG, Sang Hoon - ARREOLA HERNANDEZ, Jose - REHMAN, Mobeen Ur - SHAHZAD, Syed Jawad Hussain - YOON, Seong Min. Spillovers and hedging between US equity sectors and gold, oil, islamic stocks and implied volatilities. In Resources Policy, 2023-03-01, 81, pp. ISSN 03014207. Dostupné na: https://doi.org/10.1016/j.resourpol.2022.103286., Registrované v: SCOPUS, WOS
    LV, Wendai - LI, Bin. Climate policy uncertainty and stock market volatility: Evidence from different sectors. In Finance Research Letters, 2023-01-01, 51, pp. ISSN 15446123. Dostupné na: https://doi.org/10.1016/j.frl.2022.103506., Registrované v: SCOPUS, WOS
    MUJTABA, Ghulam - SIDDIQUE, Asima - NAIFAR, Nader - SHAHZAD, Syed Jawad Hussain. Hedge and safe haven role of commodities for the US and Chinese equity markets. In International Journal of Finance and Economics, 2023-01-01, pp. ISSN 10769307. Dostupné na: https://doi.org/10.1002/ijfe.2788., Registrované v: SCOPUS, WOS
    IMRAN, Zulfiqar Ali - AHAD, Muhammad. Safe-haven properties of green bonds for industrial sectors (GICS) in the United States: Evidence from Covid-19 pandemic and Global Financial Crisis. In Renewable Energy, 2023-07-01, 210, pp. 408-423. ISSN 09601481. Dostupné na: https://doi.org/10.1016/j.renene.2023.04.033., Registrované v: SCOPUS, WOS
    NAEEM, Muhammad Abubakr - SADORSKY, Perry - KARIM, Sitara. Sailing across climate-friendly bonds and clean energy stocks: An asymmetric analysis with the Gulf Cooperation Council Stock markets. In Energy Economics, 2023-10-01, 126, pp. ISSN 01409883. Dostupné na: https://doi.org/10.1016/j.eneco.2023.106911., Registrované v: SCOPUS, WOS
    JOAQUI-BARANDICA, Orlando - OROZCO-CEÓN, Óscar Walduin. Relación predictiva no lineal entre el PIB per cápita y la tasa de mortalidad: caso de estudio Reino Unido. In Revista Desarrollo y Sociedad, 2023, ISSN 0120-3584, no. 93, pp. 177-206. Dostupné na: https://doi.org/10.13043/DYS.93.5
    HASAN, Md Bokhtiar - HASSAN, M. Kabir - ALHOMAIDI, Asem. How do sectoral Islamic equity markets react to geopolitical risk, economic policy uncertainty, and oil price shocks? In Journal of Economic Asymmetries, 2023-11-01, 28, pp. ISSN 17034949. Dostupné na: https://doi.org/10.1016/j.jeca.2023.e00333., Registrované v: SCOPUS
    CHOPRA, Monika - MEHTA, Chhavi - LAL, Prerna - SRIVASTAVA, Aman. Does the big boss of coins—Bitcoin—protect a portfolio of new-generation cryptos? Evidence from memecoins, stablecoins, NFTs and DeFi. In China Finance Review International, 2023-01-01, pp. ISSN 20441398. Dostupné na: https://doi.org/10.1108/CFRI-03-2023-0076., Registrované v: SCOPUS, WOS
    CHANG, Hao-Wen - CHANG, Tsangyao - WANG, Mei-Chih. Revisit the impact of exchange rate on stock market returns during the pandemic period. In The North American Journal of Economics and Finance, 2024, vol. 70. Dostupné na: https://doi.org/10.1016/j.najef.2023.102068
    LUPU, Iulia - LUPU, Radu - CRISTE, Adina. The Nexus between Green Bonds and European Banks: A Cross-Quantilogram Approach. In Energies, 2023-12-01, 16, 24, pp. Dostupné na: https://doi.org/10.3390/en16247974., Registrované v: SCOPUS, WOS
    GYÖNYÖR, Lucie Staněk - HORVÁTH, Matúš. Does ESG affect stock market dependence? An empirical exploration of S&P 1200 companies shows the divergent nature of ESG pillars. In Research in International Business and Finance, 2024, vol. 69. Dostupné na: https://doi.org/10.1016/j.ribaf.2024.102230
Počet záznamov: 1  

  Tieto stránky využívajú súbory cookies, ktoré uľahčujú ich prezeranie. Ďalšie informácie o tom ako používame cookies.