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Article
Economics
Ricardo P. Masini et al.
Summary: This paper surveys the recent advances in supervised machine learning and high-dimensional models for time-series forecasting, including both linear and nonlinear methods. Penalized regressions and ensemble of models are highlighted among the linear methods, while shallow and deep neural networks, random forests, and boosted trees are considered among the nonlinear methods. The paper also explores ensemble and hybrid models by combining elements from different alternatives, and briefly reviews tests for superior predictive ability.
JOURNAL OF ECONOMIC SURVEYS
(2023)
Article
Business, Finance
Rangan Gupta et al.
Summary: This study uses random forests to analyze the role of investor confidence in forecasting stock market volatility in the US. The results show that investor confidence, particularly its uncertainty, has out-of-sample predictive value for volatility. These findings have important implications for investors and policymakers.
JOURNAL OF BEHAVIORAL FINANCE
(2023)
Article
Economics
Andreas Dibiasi et al.
Summary: This paper constructs internationally consistent measures of macroeconomic uncertainty by extracting uncertainty from revisions in standardized national accounts data. The authors estimate macroeconomic uncertainty for 39 countries using post-WWII real-time data, and find that the effects of uncertainty shocks are stronger and more persistent in countries with low employment protection compared to those with high employment protection. These empirical findings align with a theoretical model that considers varying firing costs.
EUROPEAN ECONOMIC REVIEW
(2023)
Article
Environmental Studies
Yanyan Cao et al.
Summary: Natural resource price volatility is a major concern, particularly during the COVID-19 period. This study contributes to the existing literature by examining the long-term influence of natural resource price volatility on economic growth and the causal relationship between them for BRICS economies. The study employs advanced estimators and panel causality tests, finding a negative influence of price volatility on economic growth but positive impact of gas and oil rents. It also reveals a bidirectional causal association between economic growth and natural resource price volatility.
Article
Environmental Studies
Moyang Cui et al.
Summary: The study investigates the impact of different asset class volatility indices on the desirability of gold as a safe-haven commodity during the COVID-19 pandemic. Using daily time series data from January 2020 to December 2021, the study analyzes the long-run and short-run relationship between gold prices and gold price volatility, oil price volatility, silver price volatility, and COVID-19. The findings suggest that oil price volatility and gold price volatility positively affect gold prices in the long run, while silver price volatility has a negative effect. In the short run, all three indices negatively impact gold prices, but COVID-19 has a positive impact, proving the validity of gold as a safe haven asset during the pandemic.
Article
Environmental Studies
Waqas Hanif et al.
Summary: We examine the time-frequency co-movements and return and volatility spillovers between rare earths and major renewable energy stocks. Our findings show that the COVID-19 crisis has led to a significant increase in co-movements and spillovers in returns and volatility between these sectors. Rare earths act as net recipients of spillovers, while clean energy stocks are net transmitters before and during the pandemic. Our results suggest the importance of portfolio rebalancing during crises.
Article
Business, Finance
Wenwen Zhang et al.
Summary: As the world's largest trading bloc, the formalization of the RCEP agreement in September 2020 is believed to have a significant impact on the post-pandemic recovery. Through an analysis of stock market reactions to common risks, it was found that RCEP economies, which saw the agreement come into effect on January 1st, 2022, exhibited better risk resistance against COVID-19 shocks. In the long run, the trading benefits brought by the RCEP agreement are expected to strengthen the risk resistance ability of stock markets among participating countries.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
(2023)
Article
Business, Finance
Michele Costola et al.
Summary: This study analyzes 203,886 online articles about COVID-19 published on MarketWatch.com, NYTimes.com, and Reuters.com from January to June 2020. Using machine learning techniques, the researchers extract the sentiment of the news and examine its relationship with the S&P 500 market. The results demonstrate a significant positive correlation between sentiment scores and the S&P 500 market, and reveal that sentiment components and news categories on NYTimes.com have different relationships with market returns.
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
(2023)
Article
Economics
Rouven Moeller et al.
Summary: We investigate a dataset of over half a million 15-second transcribed audio snippets from major US TV stations in 2020 that mention COVID-19. Using Latent Dirichlet Allocation (LDA), an unsupervised machine learning algorithm, we identify seven COVID-19 related topics discussed in US TV news. The results show that the identified topics by LDA predict significant and economically meaningful market reactions the next day, even after considering the general TV tone derived from a COVID-19 tone dictionary. The study suggests that COVID-19 related TV content had noticeable effects on financial markets during the pandemic.
QUARTERLY REVIEW OF ECONOMICS AND FINANCE
(2023)
Article
Business, Finance
Rami Zeitun et al.
Summary: This study examines the impact of Twitter sentiment on US sectoral returns and finds that different sectors have varying sensitivity to sentiment changes. The rolling window wavelet correlation analysis reveals low correlation values for different time horizons.
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
(2023)
Article
Business, Finance
Vasco Vendrame et al.
Summary: This paper investigates the empirical performance of dynamic and moment extensions to the traditional CAPM model and their ability to explain cross-sectional average returns. The study considers three extensions: time-varying factor loadings, a four-moment CAPM incorporating coskewness and cokurtosis, and time-varying risk premia based on a Markov-switching process. The results suggest that the conditional version of the four-moment CAPM, which considers time-varying factor loadings and risk premia, significantly improves the model's performance. The total risk premium estimate for the period 1926-2021 is 0.67% per month, with all risk premia exhibiting the expected theoretical signs.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
(2023)
Article
Business, Finance
Cuicui Gang et al.
Summary: This paper investigates the impact of language complexity on technological progress and economic growth. The findings reveal that reducing language complexity has a significant positive effect on technological change and economic output, particularly for countries with isolating languages and middle to low-income countries. The study suggests that developing countries and those with isolating and agglutinative languages should simplify their native language and reform language learning institutions in schools to achieve higher levels of development.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
(2023)
Article
Management
Theresia Harrer et al.
Summary: Are trust development processes different in settings with blurred organizational boundaries compared to conventional organizational settings? Using the crowdfunding campaigns of Fin-Tech Monzo as examples, this study examines how individual, organizational, and institutional trust forms emerge and interact in online discourse, and proposes a process model that captures unique trust development dynamics. The findings contribute to the trust literature by highlighting increased dynamics and co-existence of trust forms, and by emphasizing the importance of validating extraorganizational boundary spanners in settings of blurred organizational boundaries. The study also contributes to the crowdfunding literature and provides managerial implications.
SCANDINAVIAN JOURNAL OF MANAGEMENT
(2023)
Article
Business, Finance
Noureddine Benlagha et al.
Summary: This paper examines the impact of the COVID-19 pandemic on the dynamic connectedness among gold, oil, and five leading stock markets. The study finds that the connectedness between these markets has strengthened during the pandemic compared to the pre-pandemic period. It also reveals that gold receives shocks from the five stock markets, whereas oil acts as the net transmitter of shocks.
FINANCE RESEARCH LETTERS
(2022)
Article
Environmental Studies
Yang Yu et al.
Summary: This study examines the time-frequency dynamics of spillovers between oil price shocks and economic performance globally, particularly during the global financial crises and the COVID-19 outbreak. The study reveals a strong interconnectedness between oil prices and economic activities during crises, with the highest total connectedness observed during the COVID-19 outbreak. The results have significant implications for policymakers in understanding the impact of oil price shocks on economic activities.
Article
Business, Finance
Subramanian Rama Iyer et al.
Summary: This article provides a literature review of the 81 articles accepted in the Finance Research Letters Special Issue titled COVID-19 and the Economy. The key findings of the articles are summarized by area and their influence is measured by Google Scholar citations. Directions for future research are also presented.
FINANCE RESEARCH LETTERS
(2022)
Article
Environmental Studies
Cong Li et al.
Summary: This study used the QARDL method to assess the empirical association between oil price, Covid-19, news-based uncertainty, and the equity market condition. The results showed a positive and significant relationship between oil price and the stock price index (SPI), a negative and significant relationship between news-based uncertainty and SPI, and a negative and significant impact of COVID-19 on SPI only in bearish and stable market conditions. Balanced government interventions are recommended based on these findings to balance economic activities and combat the spread of COVID-19.
Article
Environmental Studies
Wei Jiang et al.
Summary: This study investigates the spillover effects between metal, energy, and carbon markets, and finds that the connectedness between markets increases significantly in the post-COVID-19 period, mainly driven by short-term spillovers. Metal markets, especially copper and silver, have higher explanatory power, and the spillover within markets is stronger than across markets.
Article
Environmental Studies
Azza Bejaoui et al.
Summary: This article investigates the relationship between Bitcoin and Crude Oil, S & P500, and Natural Gas during the health crisis, using fractional cointegration analysis. The findings suggest the presence of a fractional cointegration relationship and a strong short-term joint dynamics between Bitcoin and the other assets. This analysis of the dependencies between different assets could be valuable for portfolio management.
Article
Saifuddin Ahsan et al.
Electricity Journal
(2022)
Article
Energy & Fuels
Ly Sel et al.
Summary: This paper examines the characteristics of base and peak electricity spot prices in the major European markets, as well as their dependence structures, extreme co-movements, risk spillovers, and integration relationships. The findings suggest the presence of spillover effects, heteroskedasticity, asymmetry, and leverage effects in the returns of electricity spot prices. Positive dependencies, tail dependencies, and extreme co-movements are observed among the European markets. The degree of dependence and market integration is stronger during the peak load period. Most pairs of markets exhibit symmetric co-movements and time-varying dependence. Risk spillovers are identified, with higher levels of integration leading to greater systematic risk contributions.
Article
Environmental Studies
Sufang Li et al.
Summary: This study uses time-frequency analysis to evaluate the relationship between public attention to the COVID-19 pandemic, crude oil, and gold markets in the G7 countries. The findings show heterogeneity in the relationship, suggesting that portfolio diversification across markets and investment horizons may be beneficial.
Article
Business, Finance
Kaifeng Li et al.
Summary: This paper uses a shock spillover index to examine the impact of oil prices on exchange rate behavior during the COVID-19 period. The findings consistently indicate that both the return and volatility spillovers of oil prices have become more important in explaining exchange rate movements during this period.
PACIFIC-BASIN FINANCE JOURNAL
(2022)
Article
Hospitality, Leisure, Sport & Tourism
Tuyen D. Quang et al.
Summary: This paper qualitatively assesses the impact of COVID-19 on the tourism industry in Vietnam and examines the responses of the Vietnamese government and tourism sector. Findings reveal that the initial response of Vietnam's tourism sector was passive, but it later reacted successfully in alignment with the government's reopening plans. The paper also highlights the lack of contingency plans and long-term strategies to mitigate risks posed by future crises.
CURRENT ISSUES IN TOURISM
(2022)
Article
Thermodynamics
Binrong Wu et al.
Summary: This study utilized social media information to aid in oil market forecasting, showing that it contributes to the prediction of oil price, production, and consumption. During the COVID-19 pandemic, the use of social media information can reduce prediction errors, highlighting the importance for marketers to consider the impact of social media information on market forecasting.
Article
Computer Science, Information Systems
Akib Mashrur et al.
Article
Business, Finance
John W. Goodell
FINANCE RESEARCH LETTERS
(2020)
Article
Business, Finance
Arshian Sharif et al.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
(2020)
Review
Computer Science, Artificial Intelligence
Wei-Yang Lin et al.
IEEE TRANSACTIONS ON SYSTEMS MAN AND CYBERNETICS PART C-APPLICATIONS AND REVIEWS
(2012)
