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Investor emotional heterogeneity and oil dual attributes are the key factors that cause the asymmetry of risks in the international crude oil market. This paper uses the monthly data from April 2003 to October 2020 to identify the dynamic characteristics of oil’s commodity attribute and financial attribute, and this paper also analyzes the asymmetric characteristics of risk evolution and risk degree in the international crude oil market under the condition of oil returns heterogeneity. The empirical results show that: first, there is heterogeneity in the influence of oil attributes on the risk evolution and risk degree of the international crude oil market; second, the alternation of oil dual attributes has a significant asymmetric impact on the risk evolution of international crude oil market; third, the sudden change of international crude oil market risk caused by oil attributes is asymmetric under different oil returns trends. Based on the empirical conclusion, this paper puts forward the corresponding policy recommendations.
Yanqiong Liu; Zhenghui Li; Yanyan Yao; Hao Dong. Asymmetry of Risk Evolution in Crude Oil Market: From the Perspective of Dual Attributes of Oil. Energies 2021, 14, 4063 .
AMA StyleYanqiong Liu, Zhenghui Li, Yanyan Yao, Hao Dong. Asymmetry of Risk Evolution in Crude Oil Market: From the Perspective of Dual Attributes of Oil. Energies. 2021; 14 (13):4063.
Chicago/Turabian StyleYanqiong Liu; Zhenghui Li; Yanyan Yao; Hao Dong. 2021. "Asymmetry of Risk Evolution in Crude Oil Market: From the Perspective of Dual Attributes of Oil." Energies 14, no. 13: 4063.
The commercial and financial attributes of oil have significantly changed the evolution characteristics of prices and returns of the international crude oil market. Using monthly data from April 2003 to October 2020, this paper identifies dynamic characteristics of oil’s commercial and financial attributes based on the structural vector autoregressive model (SVAR) and further analyzes their market effects with different attributes. The result shows that there are situations of commercial and financial attributes dominating, and dual attributes co-dominating for oil. Furthermore, their durations account for 51%, 23%, and 26% respectively, of the full sample. Besides, the reactions of crude oil price or return to the different properties of oil are heterogeneous. Specifically, the dual attributes of oil play the most important role in the price evolution of the international crude oil market, which is 80.851. There are significant differences among the impact of different attributes of oil on the evolution of international crude oil market returns, which are 0.009, −0.008, and −0.004, respectively. Then, some relevant recommendations for policy-makers and investors based on the above research conclusions are also put forward.
Qingqing Hu; Tinghui Li; Xue Li; Hao Dong. Dynamic Characteristics of Oil Attributes and Their Market Effects. Energies 2021, 14, 3927 .
AMA StyleQingqing Hu, Tinghui Li, Xue Li, Hao Dong. Dynamic Characteristics of Oil Attributes and Their Market Effects. Energies. 2021; 14 (13):3927.
Chicago/Turabian StyleQingqing Hu; Tinghui Li; Xue Li; Hao Dong. 2021. "Dynamic Characteristics of Oil Attributes and Their Market Effects." Energies 14, no. 13: 3927.
The article aims to explore the heterogeneous feature in the determination of Bitcoin volatility using a Markov regime-switching model and test its forecasting ability. The forecasting methodology of the risk measurement of Bitcoin’s returns is based on the Conditional Autoregressive Value at Risk models (CAViaR) approach. Our results show that Bitcoin’s volatility is significantly related to the volatility of the crypto-asset’s return and the main determinants of volatility are speculation, investor attention, market interoperability and the interaction between speculation and market interoperability. In addition, we present evidence that investors’ attention is the main source of volatility. Speculation and the interaction term are related in a “U-shaped” form, whereas investor attention and market interoperability show a linear trend on the volatility of Bitcoin.
Zhenghui Li; Hao Dong; Christos Floros; Athanasios Charemis; Pierre Failler. Re-examining Bitcoin Volatility: A CAViaR-based Approach. Emerging Markets Finance and Trade 2021, 1 -19.
AMA StyleZhenghui Li, Hao Dong, Christos Floros, Athanasios Charemis, Pierre Failler. Re-examining Bitcoin Volatility: A CAViaR-based Approach. Emerging Markets Finance and Trade. 2021; ():1-19.
Chicago/Turabian StyleZhenghui Li; Hao Dong; Christos Floros; Athanasios Charemis; Pierre Failler. 2021. "Re-examining Bitcoin Volatility: A CAViaR-based Approach." Emerging Markets Finance and Trade , no. : 1-19.
Motivated by the risen linkage between events and Bitcoin return, this paper first defines Bitcoin-related events (BREs) based on the change points analysis and then divides these events into two categories. Furthermore, we model the impact of BREs on the Bitcoin market activities, using an event study methodology and a GARCH-X model. Empirical results show that the shock directions of Bitcoin-related events on Bitcoin price are heavily correlative with types of events. Additionally, there is a significant positive influence of domestic events on reaction volatility, whereas the foreign events impose their influences on both the expectations of market reactions and volatility.
Zhenghui Li; Liming Chen; Hao Dong. What are bitcoin market reactions to its-related events? International Review of Economics & Finance 2021, 73, 1 -10.
AMA StyleZhenghui Li, Liming Chen, Hao Dong. What are bitcoin market reactions to its-related events? International Review of Economics & Finance. 2021; 73 ():1-10.
Chicago/Turabian StyleZhenghui Li; Liming Chen; Hao Dong. 2021. "What are bitcoin market reactions to its-related events?" International Review of Economics & Finance 73, no. : 1-10.
In this paper, we explore the volatility spillovers across different Bitcoin markets. We decompose the realized volatility into common and idiosyncratic volatilities, as well as the good and bad volatilities. Then the asymmetry in volatility spillovers between Bitcoin markets is measured by the DY (Diebold and Yilmaz) index. In addition, we construct statistics to test the asymmetry in volatility spillovers between different Bitcoin markets. The results are achieved as follows. The spillovers of systematic and idiosyncratic volatilities dominate the connectedness among different Bitcoin markets. In addition, the idiosyncratic volatility spillovers are more easily influenced by policies. Good volatility spillovers dominate the Bitcoin markets and change over time. The further results suggest that there is significant asymmetry between systematic and idiosyncratic volatility spillovers in the Bitcoin markets, while the asymmetries between good and bad volatility spillovers are heterogeneous in different markets. The findings in this paper can provide some suggestions for regulators controlling market stability and investors generating investment strategies.
Shuanglian Chen; Hao Dong. Dynamic Network Connectedness of Bitcoin Markets: Evidence from Realized Volatility. Frontiers in Physics 2020, 8, 1 .
AMA StyleShuanglian Chen, Hao Dong. Dynamic Network Connectedness of Bitcoin Markets: Evidence from Realized Volatility. Frontiers in Physics. 2020; 8 ():1.
Chicago/Turabian StyleShuanglian Chen; Hao Dong. 2020. "Dynamic Network Connectedness of Bitcoin Markets: Evidence from Realized Volatility." Frontiers in Physics 8, no. : 1.
Diverse types of healthcare systems in countries offer opportunities to explore the heterogeneous sources of health financing. This paper widely explores the effect of the business cycle on subsidized, voluntary and out-of-pocket health spending in 34 countries with different types of healthcare systems, by the methodology of hierarchical linear modeling (HLM). We use a panel of annual data during the years from 2000 to 2016. It further examines the business cycle-health financing mechanism by inquiring into the mediating effect of external conditions and innovative health financing, based on the structural equation modeling (SEM). The empirical results reveal that the business cycle harms subsidized spending, whereas its effect on voluntary and protective health spending is positive. Results related to the SEM indicate that the mediating effect of external conditions on the relationship between the business cycle and health financing is negative. However, we find that the business cycle plays a positive effect on health financing through innovative health financing channels. Thus, designing and implementing efforts to shift innovative health financing have substantial effects on the sustainability of healthcare systems.
Hao Dong; Zhenghui Li; Pierre Failler. The Impact of Business Cycle on Health Financing: Subsidized, Voluntary and Out-of-Pocket Health Spending. International Journal of Environmental Research and Public Health 2020, 17, 1928 .
AMA StyleHao Dong, Zhenghui Li, Pierre Failler. The Impact of Business Cycle on Health Financing: Subsidized, Voluntary and Out-of-Pocket Health Spending. International Journal of Environmental Research and Public Health. 2020; 17 (6):1928.
Chicago/Turabian StyleHao Dong; Zhenghui Li; Pierre Failler. 2020. "The Impact of Business Cycle on Health Financing: Subsidized, Voluntary and Out-of-Pocket Health Spending." International Journal of Environmental Research and Public Health 17, no. 6: 1928.
In this paper, we measure the asymmetric volatility spillover among six virtual financial asset (VFA) markets from January 1, 2014, to September 30, 2017, using the volatility spillover index based on a Markov regime-switching vector autoregressive (VAR) model and conduct a static and dynamic analysis under different regimes. The static results show that asymmetric effects of total, internal and net volatility spillover, on average, exist in all six VFA markets under different regimes. The dynamic results show that total, directional, and net spillover have significantly asymmetric effects. Thus, the government should monitor the specific VFA regimes and improve market regulation.
Hao Dong; Liming Chen; Xinyi Zhang; Pierre Failler; Sa Xu. The Asymmetric Effect of Volatility Spillover in Global Virtual Financial Asset Markets: The Case of Bitcoin. Emerging Markets Finance and Trade 2019, 56, 1293 -1311.
AMA StyleHao Dong, Liming Chen, Xinyi Zhang, Pierre Failler, Sa Xu. The Asymmetric Effect of Volatility Spillover in Global Virtual Financial Asset Markets: The Case of Bitcoin. Emerging Markets Finance and Trade. 2019; 56 (6):1293-1311.
Chicago/Turabian StyleHao Dong; Liming Chen; Xinyi Zhang; Pierre Failler; Sa Xu. 2019. "The Asymmetric Effect of Volatility Spillover in Global Virtual Financial Asset Markets: The Case of Bitcoin." Emerging Markets Finance and Trade 56, no. 6: 1293-1311.
Because of the crucial implications of the market power of OPEC, the aim of this paper was to investigate the oil asymmetric market reactions, such as the price and risk reactions, to OPEC’s announcements. Specifically, this paper first explored the oil price reactions to OPEC’s announcements and their heterogeneity to depict the directional role of OPEC based on event study methodology. Furthermore, this paper analyzed the oil risk reactions in the framework of a linear model. Our findings reveal several key results. The oil price reactions to OPEC production decisions behave quite heterogeneously in three kinds of decisions. Specifically, the reaction to announcements of a production increase shows an invert “U” shape, whereas there is a linear effect of cut announcements. Otherwise, when a maintain decision is announced, the oil prices have no obvious change over the sample period. Additionally, the oil risk reactions to OPEC’s announcements are heavily related to the interaction item between OPEC decisions and its production over full sample periods. Furthermore, OPEC’s role in promoting stability in crude oil markets by changing its production shows a heterogeneous condition after global financial crisis.
Yue Liu; Hao Dong; Pierre Failler. The Oil Market Reactions to OPEC’s Announcements. Energies 2019, 12, 3238 .
AMA StyleYue Liu, Hao Dong, Pierre Failler. The Oil Market Reactions to OPEC’s Announcements. Energies. 2019; 12 (17):3238.
Chicago/Turabian StyleYue Liu; Hao Dong; Pierre Failler. 2019. "The Oil Market Reactions to OPEC’s Announcements." Energies 12, no. 17: 3238.
The paper presents the results of a study that attempts to investigate the impact of foreign direct investment (FDI) on environmental performance (EP) by constructing a panel quantile regression model. Based on panel data from 1990 to 2014, this study contributes to evaluate the EP of each of the 40 countries using a directional slack-based model considering undesirable output. Our findings reveal several key conclusions: first, FDI has an insignificant influence on EP for the full sample. Second, the impact of FDI on EP between developed and developing countries exists heterogeneity. Furthermore, there is heterogeneity regarding the effect of FDI on EP at different quantiles of EP in developed countries. Specifically, in the developed countries, the effect is statistically insignificant at the lower quantile of EP, then it turns significantly positive at the middle and high quantile, and the positive effect rises with the increase of quantiles of EP. Finally, based on the conclusions of quantitative analysis, some important policy recommendations are proposed: different governments ought to enact different strategies for the introduction of FDI, according to different development situations of different countries.
Zhenghui Li; Hao Dong; Zimei Huang; Pierre Failler. Impact of Foreign Direct Investment on Environmental Performance. Sustainability 2019, 11, 3538 .
AMA StyleZhenghui Li, Hao Dong, Zimei Huang, Pierre Failler. Impact of Foreign Direct Investment on Environmental Performance. Sustainability. 2019; 11 (13):3538.
Chicago/Turabian StyleZhenghui Li; Hao Dong; Zimei Huang; Pierre Failler. 2019. "Impact of Foreign Direct Investment on Environmental Performance." Sustainability 11, no. 13: 3538.
In this article, we investigate the nonlinear impact on outward foreign direct investment (OFDI) using panel smooth transition regression (PSTR) model with the sample of 12 countries along “The Belt and Road Initiative” in the period of 2010–2015. We find that both overall economic freedom (EF), the interaction of EF and institutional instance, bilateral trade, GDP, and patent significantly influence OFDI. We also demonstrate that EF and economic development exert the inverted “U” effect on OFDI in the different regime. Accordingly, policies specifically designed to increase development of OFDI should be required to address the negative effects considering the differences of EF and economic development.
Zhenghui Li; Zhehao Huang; Hao Dong. The Influential Factors on Outward Foreign Direct Investment: Evidence from the “The Belt and Road”. Emerging Markets Finance and Trade 2019, 55, 3211 -3226.
AMA StyleZhenghui Li, Zhehao Huang, Hao Dong. The Influential Factors on Outward Foreign Direct Investment: Evidence from the “The Belt and Road”. Emerging Markets Finance and Trade. 2019; 55 (14):3211-3226.
Chicago/Turabian StyleZhenghui Li; Zhehao Huang; Hao Dong. 2019. "The Influential Factors on Outward Foreign Direct Investment: Evidence from the “The Belt and Road”." Emerging Markets Finance and Trade 55, no. 14: 3211-3226.