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Economies
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Financial Market Volatility under Uncertainty
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Financial Market Volatility under Uncertainty

A special issue of Economies (ISSN 2227-7099). This special issue belongs to the section "Macroeconomics, Monetary Economics, and Financial Markets".

Deadline for manuscript submissions: 31 December 2024 | Viewed by 3026

Special Issue Editor

Prof. Dr. Tapas Mishra

E-Mail Website
Guest Editor
Southampton Business School, University of Southampton, Southampton, Building 2, Highfield Campus, Southampton SO17 1BJ, UK
Interests: timeseries econometrics; economic growth; spatiotemporal econonometrics; nonlinear modellling in economics and finance; stochastic environment and demography; financial market volatility under uncertainty
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

Financial markets around the world are facing unprecedented challenges, both regarding the sudden changes in the fundamental values of traditional assets and across competing new assets which possess no theoretical fundamental financial value. There are growing concerns; therefore, on the sustainability of finance amidst chaotic patterns of movements, we aim to accurately predict financial returns and inclusively distribute net returns. This Special Issue is seeking contributions from researchers which can advance our understanding on the challenges and strategies to deal with them. Both theoretical and empirical contributions are welcome. The following broad areas can be considered:

  • Dynamic interactions between traditional assets and cryptos, studying, for instance, the risk appetite nature of investments and possible diversification and hedging;
  • Predictions of cryptos and traditional assets by considering joint co-movement;
  • Policy support and sustainability;
  • Machine learning and ESG investment;
  • Blockchain and productivity.

Prof. Dr. Tapas Mishra
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Economies is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1800 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • volatility modeling
  • asset prices
  • crypto and blockchain
  • sustainability
  • ESG
  • productivity

Published Papers (3 papers)

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Research

16 pages, 651 KiB  
Article
Green Shocks: The Spillover Effects of Green Equity Indices on Global Market Dynamics
by Tiago Trancoso and Sofia Gomes
Economies 2024, 12(4), 83; https://doi.org/10.3390/economies12040083 - 07 Apr 2024
Viewed by 533
Abstract
This study investigates the impact of green equity indices on global market dynamics using a time-varying parameter vector autoregression (TVP-VAR) model. We uncover a significant shift in the role of the global market, transitioning from a shock transmitter to a shock receiver, as [...] Read more.
This study investigates the impact of green equity indices on global market dynamics using a time-varying parameter vector autoregression (TVP-VAR) model. We uncover a significant shift in the role of the global market, transitioning from a shock transmitter to a shock receiver, as the influence of green finance grows. By directly comparing green equity indices with their corresponding global parent indices, we adopt a global perspective that transcends the limitations of studies focusing on specific regions, such as the USA, China, or Europe. This novel approach minimizes the potential biases in the transmission channels within regional markets, enabling a more comprehensive understanding of the relationship between green finance and global market dynamics. Moreover, by focusing on equity indices we ensure a consistent comparison of financial instruments, avoiding the complexities that arise when comparing different asset classes such as green bonds and conventional equities. For global investors, our results highlight the importance of dynamic and flexible hedging strategies that adapt to the distinct characteristics of green assets and their growing influence on the global market. Risk managers should incorporate these time-varying spillover effects into their models to better assess and mitigate potential risks. Policymakers should consider the growing influence of green finance on the broader market when formulating regulations and incentives to support sustainable investing, as our findings underscore the increasing importance of this sector in shaping market dynamics. Full article
(This article belongs to the Special Issue Financial Market Volatility under Uncertainty)
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24 pages, 1226 KiB  
Article
Drivers of S&P 500’s Profitability: Implications for Investment Strategy and Risk Management
by Marek Nagy, Katarina Valaskova, Erika Kovalova and Marcel Macura
Economies 2024, 12(4), 77; https://doi.org/10.3390/economies12040077 - 28 Mar 2024
Viewed by 797
Abstract
The financial markets, shaped by dynamic forces, including macroeconomic trends and technological advancements, are influenced by a multitude of factors impacting the S&P 500 stock index, a pivotal indicator in the US equity markets. This paper highlights the significance of understanding the exogenous [...] Read more.
The financial markets, shaped by dynamic forces, including macroeconomic trends and technological advancements, are influenced by a multitude of factors impacting the S&P 500 stock index, a pivotal indicator in the US equity markets. This paper highlights the significance of understanding the exogenous variables affecting the index’s profitability for academics, portfolio managers, and investment professionals. Amid the global ramifications of the S&P 500, particularly in combating the eroding purchasing power caused by inflation, investing in stock indexes emerges as a means to safeguard wealth. The study employs various statistical techniques, emphasizing a methodical approach to uncover influential variables, and using static regression and autoregressive models for immediate and time-lagged effects. In conclusion, the findings have broad practical implications beyond investment strategy, extending to portfolio construction and risk management. Acknowledging inherent uncertainties in financial market forecasts, future research endeavors should target long-term trends, specific influences, and the impact of exchange rate fluctuations on index evolution. Collaboration across regulatory bodies, academia, and the financial industry is underscored, holding the potential for effective risk monitoring and bolstering overall economic and financial market stability. This research serves as a foundational step towards enhancing market understanding and facilitating more efficient investment decision-making approaches. Full article
(This article belongs to the Special Issue Financial Market Volatility under Uncertainty)
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17 pages, 1524 KiB  
Article
Oil Price Spillover Effects to the Stock Market Sentiment: The Case of Higher vs. Lower Oil Import EU Countries
by Stefan Stojkov, Emilija Beker Pucar, Olgica Glavaški and Marina Beljić
Economies 2023, 11(11), 279; https://doi.org/10.3390/economies11110279 - 13 Nov 2023
Viewed by 1311
Abstract
The process of deepening the economic integration of European economies reached its peak with the formation of a supranational entity for conducting monetary policy. However, the high degree of financial integration of the market also implied the vulnerability of the economic union in [...] Read more.
The process of deepening the economic integration of European economies reached its peak with the formation of a supranational entity for conducting monetary policy. However, the high degree of financial integration of the market also implied the vulnerability of the economic union in terms of prompt reaction to external shocks with divergent effects. Oil price fluctuations are of essential importance for macroeconomic performance, which is particularly reflected in countries more dependent on the import of this raw material. This research aims to apostrophize the asymmetric effects of oil price fluctuations on the stock market indices on a sample of higher (Germany, Italy, France) vs. lower (Croatia, Bulgaria, Ireland) oil importers. The empirical findings are determined based on impulse response functions derived from the VAR model as well as the Granger causality test of the relationship between stock market indices and oil price fluctuations. In order to identify the isolated impact of oil price movements on stock market indices of selected European economies, the VAR (Vector AutoRegression) model is evaluated in the time period 2013M1-2023M1. The results of the research indicate an asymmetric mechanism of the impact of oil shocks on the financial markets of EU member states. Full article
(This article belongs to the Special Issue Financial Market Volatility under Uncertainty)
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