Aikins-Abakah, E.J. (Emmanuel Joel)
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- On the linkages between Africa's emerging equity markets and global markets: Evidence from fractional integration and cointegration(Elsevier BV, 2018) Carcel, H. (Hector); Gil-Alana, L.A. (Luis A.); Aikins-Abakah, E.J. (Emmanuel Joel)This paper uses fractional integration and cointegration for the period of January 2000–June 2018 to investigate the stochastic properties of the bilateral linkages between stock markets in Africa and selected international markets to establish if markets in Africa co-move with the rest of the world. Results from the univariate analysis show that there exists a high degree of persistence with orders of integration about 1 or higher than 1, implying that shocks to these stock markets have significant permanent effects. Concerning bivariate results and testing for cointegration, evidence of cointegration is found for Egypt and Kenya against the UK and the Europe Zone. There are some other cases where partial evidence of cointegration is found, though in general, in all cases, we observe that the degree of cointegration is very low, implying very long periods of convergence
- Consumer sentiments across G7 and BRICS economies: Are they related?(Springer Nature, 2024) Kumar-Tiwari, A. (Aviral); Gil-Alana, L.A. (Luis A.); Carmona-González, N. (Nieves); Aikins-Abakah, E.J. (Emmanuel Joel)This paper utilizes fractional integration and cointegration techniques to investigate the stochastic properties of the bilateral linkages between the Consumer Sentiment Index (CSI) of eight developed economies, Australia, Canada, France, Germany, Italy, Japan, the UK and the US and five emerging economies comprising Brazil, Russia, India, China and South Africa, for the time period from 15th January 2010 to 15th July 2019. The univariate results support fractional integration with mean reverting behaviour, with many of the series displaying orders of integration in the interval (0, 1), which connotes that shocks to consumer sentiment have significant long-lasting though reverting effects. From the covariate results and testing for cointegration, we found evidence of cointegration for Australia versus Italy, and France versus Italy. For the BRICS, the only evidence of fractional cointegration is found between Russia and India. Some policy implications of the results obtained are also mentioned at the end of the article.
- Factors behind the performance of green bond markets(Elsevier, 2023) Adekoya, O.B. (Oluwasegun B.); Gil-Alana, L.A. (Luis A.); Oliyide, J.A. (Johnson A.); Aikins-Abakah, E.J. (Emmanuel Joel)The market for green bonds has grown dramatically over the past several years, necessitating an understanding of the variables that might forecast its performance. Studies on how the green bond market interacts with other markets are widely discussed in the literature, but little is known about the variables that improve predictions of green bond returns. In this study, we use data on commodity and financial asset prices, as well as speculative factors, to predict the returns on green bonds using the Feasible Quasi-Generalized Least Squares (FQGLS) and the causality-in-quantiles estimators. The findings demonstrate that most factors are significant predictors of the returns on green bonds, with speculative factors having a detrimental predictive influence, and commodity and financial asset prices having a mixed predictive impact. When asymmetries are taken into account, the asymmetric predictive model performs better at predicting the returns on green bonds than its symmetric counterpart in most instances. Finally, all the factors, except investors' sentiment, affect the returns on green bonds in a variety of market situations. The interdependence among the global financial and commodity markets, as well as economic uncertainties justify the established predictive influence, since green bonds are a component of the broader investment bonds.
- Measuring volatility persistence in leveraged loan markets in the presence of structural breaks(Elsevier, 2022) Kwesi-Arthur, E. (Emmanuel); Kumar-Tiwari, A. (Aviral); Gil-Alana, L.A. (Luis A.); Aikins-Abakah, E.J. (Emmanuel Joel)This paper examines volatility persistence in leverage loan market price series for Australia, Canada, Europe, Japan, Singapore, UK and USA in the presence of structural breaks. To the best of our knowledge, this is the first empirical study to examine volatility persistence in the leveraged loan markets. To this end, using fractional integration methods, the results indicate that both absolute and squared returns display long memory features, with orders of integration confirming the long memory hypothesis. However, after accounting for structural breaks, we find a reduction in the degree of persistence in the leveraged loan market. The evidence of persistence in volatility implies that market participants who want to make gains across trading scales need to factor the persistence properties of leveraged loan price series in their valuation and forecasting models since that will help improve long-term volatility market forecasts and optimal hedging decisions.
- Re-examination of international bond market dependence: Evidence from a pair copula approach(Elsevier, 2021) Kumar-Tiwari, A. (Aviral); Gil-Alana, L.A. (Luis A.); Addo, E. (Emmanuel); Aikins-Abakah, E.J. (Emmanuel Joel)The finance literature provides substantial evidence on the dependence between international bond markets across developed and emerging countries. Early works in this area were based on linear models and multivariate GARCH models. However, based on the limitations of these models this paper re-examines the non-linearity, multivariate and tail dependence structure between government bond markets of the US, UK, Japan, Ger- many, Canada, France, Italy, Australia and the Eurozone, from January 1970 to February 2019 using ARMA- GARCH based pair- copula models. We find that the bond markets in our sample tend to have both upper tail dependence in terms of positive shocks and lower tail dependence in terms of negative shocks. The estimated C-vine shows Eurozone has the highest average dependency. The D-vine, with optimal chain dependency structure shows the best order of connectedness to be the UK, the USA, Italy, Japan, Eurozone, France, Canada, Germany and Australia. The R-vine copula results underline the complex dynamics of bond market relations existing between the selected economies. The estimated R-vine shows Eurozone, Germany and Australia are the most interconnected nodes. The multivariate distribution structure (interdependency) of bond markets for all countries were modelled with the C-vine, D-vine and R-vine copulas. In this application, the R-vine copula allows for detailed modelling of all bond markets and hence provides a more accurate goodness of fit and mean square error for the interdependency between all markets. In light of the changing volatility in bond markets, we conduct additional tests using time-varying copulas and find that the dependence structure among the bond markets examined is time-varying with the dynamic dependence parameter plots revealing that the nature of the dependence structure is intense during crisis periods
- The outbreak of COVID-19 and stock market liquidity: Evidence from emerging and developed equity markets(Elsevier, 2022) Kwasi-Karikari, N. (Nana); Kumar-Tiwari, A. (Aviral); Gil-Alana, L.A. (Luis A.); Aikins-Abakah, E.J. (Emmanuel Joel)The outbreak of the novel corona virus has heightened concerns surrounding the adverse financial effects of the outbreak on stock market liquidity and economic policies. This paper contributes to the emerging strand of studies examining the adverse effects of the virus on varied aspect of global markets. The paper examines the causality and co-movements between COVID-19 and the aggregate stock market liquidity of China, Australia and the G7 countries (Canada, France, Italy, Japan, Germany, the UK and the US), using daily three liquidity proxies (Amihud, Spread and Traded Value) over the period December 2019 to July 2020. Our empirical analysis encompasses wavelet coherence and phase-differences as well as a linear Granger causality test. Linear cau- sality test results suggest that a causal relationship exists between the number of cases of COVID 19 infections and stock market liquidity. To quantitatively examine the degree of causality be- tween COVID-19 outbreak and stock market liquidity, we employ the continuous wavelet coherence approach with results revealing the unprecedented impact of COVID-19 on stock market liquidity during the low frequency bands for countries that were hard hit with the COVID- 19 outbreak, i.e., Italy, Germany, France, the UK and the US. Further, evidence shows that there is a heterogeneous lead-lag nexus across scales for the entire period of the study
- Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX: Evidence using Markov-switching copulas(Elsevier, 2022) Alagidede, I.P. (Imhotep Paul); Kumar-Tiwari, A. (Aviral); Gil-Alana, L.A. (Luis A.); Aikins-Abakah, E.J. (Emmanuel Joel)This study re-examines the empirical relationship between risk and return from 1994m12 to 2020m08 in fifteen international equity markets employing the novel time-varying Markov switching copula models. We provide first-time insightful evidence of time-varying Markov tail dependence structure and dynamics between risk and return in international equity markets. Results show that the dependence structure is positive for USA, UK, Germany, Italy, Brazil, Australia, Taiwan, Canada, Mexico, Japan, France and South Africa and negative for Singapore, India, Japan and China. Finally, we document the effects of policy uncertainty, geopolitical risk and VIX conditional on different markets states.