ABSTRACT
Motivated by the severe impacts of the Covid 19 outbreak on the global trade and capital flows, which can shift the forex market structure, this paper aims to examine the equicorrelation and causal association across major currency markets during Covid 19 pandemic using novel approaches: DECO-GARCH and Transfer Entropy. We find that major exchange rate markets have a positive equicorrelation, and these trends have been more pronounced during the Covid-19 crisis, uncovering the existence of contagion effects. The results also show the causal associations between the currency markets, depicted by three categories: no effect, mono-direction, and bi-direction. Such connections unveil the shock sender and receiver in the examined exchange rate markets, supporting that there is contagion risk across currency markets. Our findings suggest important implications for investors, firms, and policymakers in risk management during crisis periods. © 2022 Elsevier B.V.
ABSTRACT
The increasing concerns of investors toward green bonds and their appealing nature of diversification has motivated the current research to study the risk connectedness between green and conventional assets spanning from August 2014 to December 2020. We first estimate the dynamic equi-correlations through DECO-GARCH. Next, we assess the dynamic and static risk connectedness in the median, extreme low, and extreme high quantiles arguing that spillovers vary across different time periods particularly during economically intense time periods. Finally, we analyzed the hedge ratio and hedge effectiveness between green bonds and other assets. We find that equi-correlations are intense during economic shocks such as the Shale oil crisis, Brexit, US interest rate hike, and COVID-19 pandemic. The volatility analysis at average, lower, and upper quantiles also validate time-varying attributes of green and conventional assets. Further, network figures of green and conventional assets identify potential diversification opportunities. Meanwhile, the hedge effectiveness indicates that green bonds are effective hedge for precious metals and cryptocurrencies. Our findings draw multiple implications for policymakers, green investors, financial market participants, and regulatory authorities regarding flight-to-safety during crisis times and maintaining a diverse portfolio to escape potential losses.
ABSTRACT
We examine market integration across and clean and green investments, crude oil, and conventional stock indices covering technology stocks, and United States and European stocks. Using daily data covering the period December 1, 2008-October 8, 2020, we first apply the dynamic equicorrelation (DECO) model and make inferences regarding the time-varying level of market integration. Then, we use several regression models and uncover the driving factors of market integration under lower and upper quantiles of the distribution of the equicorrelation. The results show that return equicorrelation varies with time and is shaped by the COVID19 outbreak. Various uncertainty measures are the main drivers of market integration, especially at high levels of market integration. During the COVID-19 outbreak period, the United States Dollar index, the term spread, and the Chinese stock market index have significantly increased market integration.
ABSTRACT
Kajoetangan or Kayutangan kampong heritage is a new tourist spot in Malang that emphasizes the empowerment of local communities in realizing settlement-based sustainable tourism that existed during the colonial era which was composed of dozens of Indische architecture in the late 19th to early 20th centuries. Kayutangan heritage villages are composed of settlements with a small size with access in the form of a small footpath combined with a mural and various outdoor plants. The houses in the area have not changed for nearly a hundred years, which have been passed down from generation to generation. Descriptive qualitative method is used in this research by combining the data obtained based on in-depth interviews, survey and combined with literature studies. Purpose of this research is to explore historical sequences and processes of sustainable tourism management controlled by local residents with financial assistance from various partners. The results of the study show that the role of local communities is quite positive in efforts to support tourists either by being directly or indirectly involved by building supporting facilities for core tourism such as culinary spots and souvenirs. Collaboration with several government agencies, universities and banks also makes the additions and directions in making and using additional facilities more structured.