The Econometric Analysis of Financial Markets

A special issue of Mathematics (ISSN 2227-7390). This special issue belongs to the section "Financial Mathematics".

Deadline for manuscript submissions: closed (13 December 2023) | Viewed by 2298

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Guest Editor
Department of Economics, Ghent University, 9000 Ghent, Belgium
Interests: market microstructure; international financial markets; emerging markets finance; international asset management and institutional investors
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Guest Editor
Faculty of Business, University of Hull, Hull, UK
Interests: finance

Special Issue Information

Dear Colleagues,

In the last few decades, the application of highly sophisticated econometric methods both by researchers and professionals has become common in the analysis of financial markets. To a large extent, this evolution has been driven by the vast expansion of the financial markets and the increasing availability of data. This refers to daily (high frequency) and intra-daily data (ultra-high frequency) and has now reached tick-by-tick data as its natural limitation. Remarkably, not only does financial econometrics apply known methods to financial markets, but it has also developed a toolkit designed to deal with finance-specific questions. Accordingly, applications of econometrics to financial markets combine statistical skills with an understanding of financial markets.

The aim of this Special Issue is to provide a selection of econometric applications to problems arising from financial markets. Therefore, we invite submissions that rely on a wide range of econometric applications on financial markets, including the testing of price predictability and market efficiency, volatility modelling, non-linear models in finance, such as the GARCH-models, machine learning, regime-switching models, and microstructure topics, amongst others. Each article shall apply econometric techniques within the context of a particular financial application.

In this Special Issue, we welcome original and applied research articles, theoretical articles, and a limited number of review articles. Articles should link an econometric focus with financial markets, e.g., by applying sophisticated econometric methods.

We are pleased to invite you to submit this Special Issue your original research dealing with the above-presented problems.

We look forward to receiving your contributions.

Prof. Dr. Michael Frömmel
Prof. Dr. Youwei Li
Guest Editors

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Published Papers (1 paper)

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Research

23 pages, 2074 KiB  
Article
Spillovers across the Asian OPEC+ Financial Market
by Darko B. Vuković, Senanu Dekpo-Adza, Vladislav Khmelnitskiy and Mustafa Özer
Mathematics 2023, 11(18), 4005; https://doi.org/10.3390/math11184005 - 21 Sep 2023
Cited by 2 | Viewed by 1727
Abstract
This research utilizes the Diebold and Yilmaz spillover model to examine the correlation between geopolitical events, natural disasters, and oil stock returns in Asian OPEC+ member countries. The study extends prior research by investigating the dynamics of the Asian OPEC+ oil market in [...] Read more.
This research utilizes the Diebold and Yilmaz spillover model to examine the correlation between geopolitical events, natural disasters, and oil stock returns in Asian OPEC+ member countries. The study extends prior research by investigating the dynamics of the Asian OPEC+ oil market in light of recent exogenous events. The analysis commences by creating a self-generated Asian OPEC+ index, which demonstrates significant volatility, as indicated by GARCH (1, 1) model estimation. The results obtained from the Diebold and Yilmaz spillover test indicate that, on average, there is a moderate degree of connectedness among the variables. However, in the event of global-level shocks or shocks specifically affecting Asian OPEC+ countries, a heightened level of connectedness is found. Prominent instances of spillover events observed in the volatility analysis conducted during the previous decade include the COVID-19 pandemic, the conflict between Russia and Ukraine, and the Turkey earthquake of 2023. Based on the facts, it is recommended that investors take into account the potential risks linked to regions that are susceptible to natural calamities and geopolitical occurrences while devising their portfolios for oil stocks. The results further highlight the significance of integrating these aspects into investors’ decision-making procedures and stress the need for risk management tactics that consider geopolitical risks and natural disasters in the oil equity market. Full article
(This article belongs to the Special Issue The Econometric Analysis of Financial Markets)
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