Percorrer por autor "Yoon, Seong-Min"
A mostrar 1 - 3 de 3
Resultados por página
Opções de ordenação
- Interdependence and spillovers between big oil companies and regional and global energy equity marketsPublication . Hanif, Waqas; Hernandez, Jose Arreola; Kang, Sang Hoon; Boako, Gideon; Yoon, Seong-MinWe examine spillovers and nonlinear dependence dynamics between big oil supermajors and regional and global energy equity markets. We derive our empirical results by fitting a directional spillover index, a conditional value-at-risk (CoVaR) method, and time-varying parameter copulas. Spillover index results indicate that big oil supermajors most largely spillover to the EU energy equity sector than to the US energy equity sector. A big oil supermajor British Petroleum (BP) consistently exerts some of the largest spillovers across regional and global energy markets. The CoVaR analysis reveals that on the downside, shocks from Royal Dutch Shell A most largely spillover to the US energy equity sector, while Royal Dutch Shell B does it on the upside. On the downside, Chevron most largely spillovers shocks to the EU energy equity sector, while BP does it on the upside. ExxonMobil most largely spillovers downside shocks to the world energy equity sector, while Royal Dutch Shell B does it on the upside. The Copula results show an asymmetric dependence between major oil companies and the US energy equity sector. The relationship between big oil companies and the EU energy equity sector is characterised by symmetric dependence dynamics.
- Nonlinear dependence and spillovers between cryptocurrency and global/regional equity marketsPublication . Hanif, Waqas; Areola Hernandez, Jose; Troster, Victor; Kang, Sang Hoon; Yoon, Seong-MinIn this paper, we investigate the nonlinear dependence dynamics among eight cryptocurrencies (Monero, Bitcoin, Dash, Litecoin, Stellar, XRP, Ethereum, and Nem) by applying time-varying copulas. We also examine the upside and downside spillovers between cryptocurrencies and equity markets by a conditional Value-at-Risk (CoVaR) approach. We show that the dynamics of dependence of the portfolio of cryptocurrencies reveal both symmetric and asymmetric features, with the symmetric dynamics being more predominant. NEM and Ethereum have the largest downside and upside CoVaR spillovers on the world equity index, respectively. The largest downside CoVaR spillovers from the world equity index are to NEM followed by Stellar, and the largest upside spillovers are to Ethereum followed by NEM. Stellar and Bitcoin exhibit the largest downside and upside CoVaR spillovers on the Americas equity index. The largest downside CoVaR spillovers from the Americas equity index are to Stellar and NEM, and those on the upside are to Ethereum and NEM. In addition, we find that most cryptocurrencies exhibit safe haven or hedge properties more often than rare metals and diamonds for daily equity indices. Finally, we conduct an out-of-sample analysis of optimal-weighting portfolio strategies based on C-vine copulas using cryptocurrencies and equity indices that entails forward-looking measures of risk that are economically significant, which outperform benchmark strategies.
- Upside/downside spillovers between oil and Chinese stock sectors: from the global financial crisis to global pandemicPublication . Mensi, Walid; Hanif, Waqas; Vo, Xuan Vinh; Choi, Ki-Hong; Yoon, Seong-MinThis paper examines the effects of the COVID-19 outbreak, recent oil price fall, and both global and European financial crises on dependence structure and asymmetric risk spillovers between crude oil and Chinese stock sectors. Using time-varying symmetric and asymmetric copula functions and the conditional Value at Risk measure, we provide evidence of positive tail dependence in most sectors using copula and conditional Value-at-Risk techniques. We can see the average dependence between oil and industries during the oil crisis. Moreover, we find strong evidence of bidirectional risk spillovers for all oil-sector pairs. The intensity of risk spillovers from oil to all stock sectors varies across sectors. The risk spillovers from sectors to oil are substantially larger than those from oil to sectors during COVID-19. Furthermore, the return spillover is time varying and sensitive to external shocks. The spillover strengths are higher during COVID-19 than financial and oil crises. Finally, oil do not exhibit neither hedge nor safe-haven characteristics irrespective of crisis periods.