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This paper examines the sentiment spillovers among oil, gold, and Bitcoin markets by employing spillovers index methods in a time-frequency framework. We find that the total sentiment spillover among crude oil, gold and Bitcoin markets is time-varying and is greatly affected by major market events. The directional sentiment spillovers are also time-varying. On average, the Bitcoin market is the major transmitter of directional sentiment spillovers, whereas the crude oil and gold markets are the major receivers. In particular, the sentiment spillover effects are major created at high-frequency components, implying that the markets rapidly process the sentiment spillover effects and the shock is transmitted over the short-term. Moreover, we also find that the sentiment spillover effects differ significantly in term of intensity and direction when compared with return and volatility spillover effects. The present study has certain applications for investors and policymakers.
Xianfang Su; Yong Li. Dynamic sentiment spillovers among crude oil, gold, and Bitcoin markets: Evidence from time and frequency domain analyses. PLOS ONE 2020, 15, e0242515 .
AMA StyleXianfang Su, Yong Li. Dynamic sentiment spillovers among crude oil, gold, and Bitcoin markets: Evidence from time and frequency domain analyses. PLOS ONE. 2020; 15 (12):e0242515.
Chicago/Turabian StyleXianfang Su; Yong Li. 2020. "Dynamic sentiment spillovers among crude oil, gold, and Bitcoin markets: Evidence from time and frequency domain analyses." PLOS ONE 15, no. 12: e0242515.
This paper investigates the evolutions and determinants of volatility spillover dynamics in G7 stock markets in a time-frequency framework. We decompose volatility spillovers into short-, medium-, and long-term components, using a spectral representation of variance decompositions. The impacts of hypothesized factors on the decomposed volatility spillovers are also examined, using a linear regression model and fixed effects panel model. We find that the volatility spillovers across G7 stock markets are crisis-sensitive and are, in fact, closer to a memory-less process. The low-frequency components are the main contributors to the volatility spillovers; the high-frequency components are very sensitive to market event shocks. Moreover, our results reveal that the contributing factors have different effects on short-, medium-, and long-term volatility spillovers. There is no systematic pattern of the impacts of the contributing factors on volatility spillovers. However, whether the country is the transmitter or recipient of volatility spillovers could be a potential reason.
Xianfang Su. Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets. The North American Journal of Economics and Finance 2020, 53, 101218 .
AMA StyleXianfang Su. Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets. The North American Journal of Economics and Finance. 2020; 53 ():101218.
Chicago/Turabian StyleXianfang Su. 2020. "Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets." The North American Journal of Economics and Finance 53, no. : 101218.
Green investment is a highly praised form of investment behavior in today’s China. The ecological value of green investment has reached a consensus, but its financial performance remains an open question. Based on a unique dataset of 77 green investment stocks covering the period from July 2012 to December 2017, this paper investigates the returns performance of green investments employing multifactor models and propensity score matching techniques. We find that green investment stocks underperform conventional stocks and offer less protection against extreme downside risk, which indicates that investors need to pay what amounts to a premium or supplemental cost for going green. Our empirical results point to some important implications for policymakers and investors.
Xianfang Su. Can Green Investment Win the Favor of Investors in China? Evidence from the Return Performance of Green Investment Stocks. Emerging Markets Finance and Trade 2020, 57, 3120 -3138.
AMA StyleXianfang Su. Can Green Investment Win the Favor of Investors in China? Evidence from the Return Performance of Green Investment Stocks. Emerging Markets Finance and Trade. 2020; 57 (11):3120-3138.
Chicago/Turabian StyleXianfang Su. 2020. "Can Green Investment Win the Favor of Investors in China? Evidence from the Return Performance of Green Investment Stocks." Emerging Markets Finance and Trade 57, no. 11: 3120-3138.
This paper proposes a quantile variance decomposition framework for measuring extreme risk spillover effects across international stock markets. The framework extends the spillover index approach suggested by Diebold and Yilmaz (2009) using a quantile regression analysis instead of the ordinary least squares estimation. Thus, the framework provides a new tool for further study into the extreme risk spillover effects. The model is applied to G7 and BRICS stock markets, from which new insights emerged as to the extreme risk spillovers across G7 and BRICS stock markets, and revealed how extreme risk spillover across developed and emerging stock markets. These findings have important implications for market regulators.
Xianfnag Su. Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis. The North American Journal of Economics and Finance 2019, 51, 101098 .
AMA StyleXianfnag Su. Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis. The North American Journal of Economics and Finance. 2019; 51 ():101098.
Chicago/Turabian StyleXianfnag Su. 2019. "Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis." The North American Journal of Economics and Finance 51, no. : 101098.
The causal relationships between spot and futures crude oil prices have attracted the attention of many researchers in the past several decades. Most of the studies, however, do not distinguish among the various oil market situations in analyses of linear and nonlinear causalities. In light of the fact that a booming or depressing oil market produces heterogeneous investment behaviors, this study applied a quantile causality framework to capture different causalities across various quantile levels and found that the causal relationships between crude oil spot and futures prices significantly derive from tail quantile intervals and appear as heterogeneous effects. Before the Iraq War, crude oil spot and futures prices were mutually Granger-caused at lower quantile levels, and only futures prices led spot prices at upper quantile levels. Since the war, a clear bidirectional causality has existed at the upper quantile levels, but only in lower quantile levels have futures prices led spot prices. These results provide useful information to investors using crude spot or futures prices to hedge or manage downside or upside risks in their portfolios.
Xianfang Su; Huiming Zhu; XinXia Yang. Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis. Sustainability 2019, 11, 1359 .
AMA StyleXianfang Su, Huiming Zhu, XinXia Yang. Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis. Sustainability. 2019; 11 (5):1359.
Chicago/Turabian StyleXianfang Su; Huiming Zhu; XinXia Yang. 2019. "Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis." Sustainability 11, no. 5: 1359.
This paper uses a quantile impulse response approach to investigate the impact of oil price shocks on Chinese stock returns. This process allows us to uncover asymmetric effects of oil price shocks on stock market returns by taking into account the different quantiles of oil price shocks. Our results show that the responses of Chinese stock market returns to oil price shocks differ greatly, depending on whether the oil and stock market is in a bust or boom state and whether the shock is driven by demand or supply. The impacts of oil price shocks on Chinese stock returns present asymmetric features. In particular during a bust phase, oil supply and demand shocks significantly depress stock market returns, while during a boom period, the aggregate demand shock enhances stock market returns. These results suggest some important implications for investors and decision makers.
Huiming Zhu; Xianfang Su; Yawei Guo; Yinghua Ren. The Asymmetric Effects of Oil Price Shocks on the Chinese Stock Market: Evidence from a Quantile Impulse Response Perspective. Sustainability 2016, 8, 766 .
AMA StyleHuiming Zhu, Xianfang Su, Yawei Guo, Yinghua Ren. The Asymmetric Effects of Oil Price Shocks on the Chinese Stock Market: Evidence from a Quantile Impulse Response Perspective. Sustainability. 2016; 8 (8):766.
Chicago/Turabian StyleHuiming Zhu; Xianfang Su; Yawei Guo; Yinghua Ren. 2016. "The Asymmetric Effects of Oil Price Shocks on the Chinese Stock Market: Evidence from a Quantile Impulse Response Perspective." Sustainability 8, no. 8: 766.
The determinants of exchange rates have attracted considerable attention among researchers over the past several decades. Most studies, however, ignore the possibility that the impact of oil shocks on exchange rates could vary across the exchange rate returns distribution. We employ a quantile regression approach to address this issue. Our results indicate that the effect of oil shocks on exchange rates is heterogeneous across quantiles. A large US depreciation or appreciation tends to heighten the effects of oil shocks on exchange rate returns. Positive oil demand shocks lead to appreciation pressures in oil-exporting countries and this result is robust across lower and upper return distributions. These results offer rich and useful information for investors and decision-makers.
Xianfang Su; Huiming Zhu; Wanhai You; Yinghua Ren. Heterogeneous effects of oil shocks on exchange rates: evidence from a quantile regression approach. SpringerPlus 2016, 5, 1187 .
AMA StyleXianfang Su, Huiming Zhu, Wanhai You, Yinghua Ren. Heterogeneous effects of oil shocks on exchange rates: evidence from a quantile regression approach. SpringerPlus. 2016; 5 (1):1187.
Chicago/Turabian StyleXianfang Su; Huiming Zhu; Wanhai You; Yinghua Ren. 2016. "Heterogeneous effects of oil shocks on exchange rates: evidence from a quantile regression approach." SpringerPlus 5, no. 1: 1187.