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  1. Artikel ; Online: Degree and structure of return dependence among commodities, energy stocks and international equity markets during the post-COVID-19 period.

    Azimli, Asil

    Resources policy

    2022  Band 77, Seite(n) 102679

    Abstract: This paper examines the safe-haven role of copper, iron, gold, silver, and energy stocks for international equity markets during the COVID-19 pandemic. Specifically, the degree and structure of return dependence at different points of conditional return ... ...

    Abstract This paper examines the safe-haven role of copper, iron, gold, silver, and energy stocks for international equity markets during the COVID-19 pandemic. Specifically, the degree and structure of return dependence at different points of conditional return distributions are examined for the pre-COVID and post-COVID periods. The results show that copper is a weak safe-haven for the US equity market at the upper-tail of conditional distribution of cooper returns during the post-COVID period. Gold loses its hedge status during the post-COVID period while silver is a strong safe-haven against international equity markets at the upper-tail of conditional return distribution of silver. Further, iron pose weak safe-haven properties against international equity markets when iron returns are extremely positive. However, neither conventional nor green energy stocks act as safe-haven against international equity markets. Current results may provide guidance for risk management, portfolio management and policy decisions during the post-COVID-19 period.
    Sprache Englisch
    Erscheinungsdatum 2022-03-21
    Erscheinungsland England
    Dokumenttyp Journal Article
    ISSN 1873-7641
    ISSN (online) 1873-7641
    DOI 10.1016/j.resourpol.2022.102679
    Datenquelle MEDical Literature Analysis and Retrieval System OnLINE

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  2. Artikel ; Online: The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach.

    Azimli, Asil

    Finance research letters

    2020  Band 36, Seite(n) 101648

    Abstract: This paper examines the impact of the novel coronavirus (COVID-19) on the degree and structure of risk-return dependence in the US. The results from quantile regression (QR) indicate a left-tailed asymmetric dependence structure of sectoral returns with ... ...

    Abstract This paper examines the impact of the novel coronavirus (COVID-19) on the degree and structure of risk-return dependence in the US. The results from quantile regression (QR) indicate a left-tailed asymmetric dependence structure of sectoral returns with market portfolio. Following the COVID-19 outbreak, degree of dependence among returns and market portfolio have increased in the higher quantiles. Further, the outbreak has converted left-tailed dependence into a right-tailed dependence. Interaction among Google Search Index for coronavirus (GSIC) and returns also examined. Findings reveal an asymmetric GSIC-return dependence that is significant in tails.
    Schlagwörter covid19
    Sprache Englisch
    Erscheinungsdatum 2020-06-25
    Erscheinungsland Netherlands
    Dokumenttyp Journal Article
    ISSN 1544-6131
    ISSN (online) 1544-6131
    DOI 10.1016/j.frl.2020.101648
    Datenquelle MEDical Literature Analysis and Retrieval System OnLINE

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  3. Artikel ; Online: The impact of COVID-19 on the degree of dependence and structure of risk-return relationship

    Azimli, Asil

    Finance Research Letters

    A quantile regression approach

    2020  Band 36, Seite(n) 101648

    Schlagwörter Finance ; covid19
    Sprache Englisch
    Verlag Elsevier BV
    Erscheinungsland us
    Dokumenttyp Artikel ; Online
    ISSN 1544-6123
    DOI 10.1016/j.frl.2020.101648
    Datenquelle BASE - Bielefeld Academic Search Engine (Lebenswissenschaftliche Auswahl)

    Volltext online

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  4. Artikel: The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach

    Azimli, Asil

    Financ Res Lett

    Abstract: This paper examines the impact of the novel coronavirus (COVID-19) on the degree and structure of risk-return dependence in the US. The results from quantile regression (QR) indicate a left-tailed asymmetric dependence structure of sectoral returns with ... ...

    Abstract This paper examines the impact of the novel coronavirus (COVID-19) on the degree and structure of risk-return dependence in the US. The results from quantile regression (QR) indicate a left-tailed asymmetric dependence structure of sectoral returns with market portfolio. Following the COVID-19 outbreak, degree of dependence among returns and market portfolio have increased in the higher quantiles. Further, the outbreak has converted left-tailed dependence into a right-tailed dependence. Interaction among Google Search Index for coronavirus (GSIC) and returns also examined. Findings reveal an asymmetric GSIC-return dependence that is significant in tails.
    Schlagwörter covid19
    Verlag WHO
    Dokumenttyp Artikel
    Anmerkung WHO #Covidence: #614127
    Datenquelle COVID19

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  5. Artikel: The oil price risk and global stock returns

    Azimli, Asil

    Energy. 2020 May 01, v. 198

    2020  

    Abstract: This study investigates the oil price risk exposure of stock level returns for 23 developed financial markets from July 1990 to March 2019. The oil price factor is included into the factor-based asset pricing framework as a pricing factor and tested ... ...

    Abstract This study investigates the oil price risk exposure of stock level returns for 23 developed financial markets from July 1990 to March 2019. The oil price factor is included into the factor-based asset pricing framework as a pricing factor and tested against returns on global portfolios sorted by different fundamental variables such as size and book-to-market (B/M), size and profitability and size and investment. The oil price risk model is also tested against the aggregate market returns of five major regions, namely the US, Asia Pacific, North America, Japan and Europe. The results show that the oil price risk is not an influential pricing factor within the framework of factor-based asset pricing models. The information content of the oil price factor can be easily subsumed by the established asset pricing factors. The findings are robust against different pricing models and multiple test statistics.
    Schlagwörter assets ; costs and returns ; markets ; models ; oils ; prices ; profitability ; risk
    Sprache Englisch
    Erscheinungsverlauf 2020-0501
    Erscheinungsort Elsevier Ltd
    Dokumenttyp Artikel
    ZDB-ID 2019804-8
    ISSN 0360-5442 ; 0360-5442
    ISSN (online) 0360-5442
    ISSN 0360-5442
    DOI 10.1016/j.energy.2020.117320
    Datenquelle NAL Katalog (AGRICOLA)

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