Suchergebnisse

Environmental degradation, global warming, and climate change have become eminent risk factors posing a serious threat to global security. One of the reasons behind those risk factors is greenhouse gases (GHGs) that are mainly consisted of carbon dioxide (CO2) emissions. Previous studies try to discern the economic and noneconomic determinants of CO2 emissions to impede environmental degradation. However, the impact of economic policy uncertainty (EPU) on CO2 emissions remains largely understudied. To address this gap, this study examines the impact of EPU on CO2 emissions in the US using a novel methodology of bootstrap ARDL approach that allows for discerning heterogeneity in the impacts between the short run and the long run. The results indicate that EPU intensifies CO2 emissions in short run, suggesting that high EPU is responsible for environmental degradation in the short run. Conversely, in long run, EPU plunges CO2 emissions, implying that high EPU ameliorates environmental quality in the long run. Such evidence on trade‐off between EPU and CO2 emissions implies that policymakers should adopt measures to reduce EPU in the short run to improve environmental quality. In long run, if policymakers seek to simultaneously control EPU and CO2 emissions, they should search for alternate ways (e.g., renewable energy consumption) to mitigate CO2.

Purpose
– This paper aims to examine the dynamic relationship across stock market returns in Morocco, Tunisia, Egypt, Lebanon, Jordan, Kuwait, Bahrain, Qatar, United Arabic Emirates (UAE), Saudi Arabia, and Oman from June 2005 to January 2012.


Design/methodology/approach
– The paper uses a multivariate model with leptokurtic distribution which allows for both return asymmetry and fat tails. The paper also derives from the model the conditional correlation between stock markets and examines the impact of the global financial crisis of 2008 on the conditional variance and correlation.


Findings
– The empirical results show that the Middle East and North African (MENA) markets are interconnected by their volatilities and not by their returns. Volatility persists in each market and significant volatility spillovers from small to relatively larger markets. During the crisis, the paper finds that conditional volatilities across markets increase but then during the post-crisis period return to their pre-crisis levels. More importantly, the conditional correlation behaves differently, with a significant evidence of downwards trend in some correlations across the MENA stock markets.


Research limitations/implications
– One limitation of the study relates to the relatively short-sample period which drives the empirical results.


Practical implications
– The key results imply that there is still a possibility of benefits from portfolio diversification across specific MENA countries during periods of high volatility.


Originality/value
– No previous study investigates the transmission of both the first and second moments of the return series across the MENA stock markets allowing for time-varying volatility and correlation and accounts for the 2008 global financial crisis to examine whether the conditional volatilities and correlations have strengthened or weakened during the crisis and afterwards.

AbstractIn this paper, we first estimate the monthly realised correlation, based on daily data, between stock returns of the United States (US) and Bitcoin returns. Then, we relate the realised correlation over the period October 2011 to May 2019 with a news‐based measure of the growth of trade uncertainty of the US. Our results show that the realised correlation is negatively impacted by increases in trade uncertainty, which continues to hold under alternative robustness checks, suggesting that Bitcoin can act as a hedge relative to the conventional stock market in the wake of heightened trade policy‐related uncertainties, and provide diversification benefits for investors.