Essays about: "Co-movements"

Showing result 1 - 5 of 10 essays containing the word Co-movements.

  1. 1. Flight to climate: liquidity commonality in brown equities

    University essay from Stockholms universitet/Företagsekonomiska institutionen

    Author : Haiping Yu; [2023]
    Keywords : ESG; ESG Investing; Climate investing; Liquidity Commonality; Systematic Liquidity Risk;

    Abstract : Emerging ESG studies have established a negative equilibrium correlation between ESG factors and stock returns in an economy predominately influenced by investors with nonpecuniary preference over high ESG credentials. However, little research has delved into a potential systematic liquidity risk phenomenon associated with aggregate trading activities of ESG-motivated investors who share a common nonzero ESG preference component in their utility function. READ MORE

  3. 2. DCC-GARCH Estimation

    University essay from KTH/Matematik (Avd.)

    Author : Christofer Nordström; [2021]
    Keywords : Multivariate GARCH; DCC-GARCH; Conditional Correlation; Forecasting; Flerdimensionella GARCH-modeller; DCC-GARCH; Betingad Korrelation; Prognoser;

    Abstract : When modelling more that one asset, it is desirable to apply multivariate modeling to capture the co-movements of the underlying assets. The GARCH models has been proven to be successful when it comes to volatility forecast- ing. READ MORE

  4. 3. Green Bond’s co-movement with the treasury bond, corporate bond, stock, and carbon markets during an economic recession

    University essay from Jönköping University/IHH, Företagsekonomi

    Author : Niousha Karimi; Isac Lago; [2021]
    Keywords : Green Bonds; Conventional Bond Market; Stock Market; Carbon Market; Co-movement; DCC-GARCH; Economic Crisis;

    Abstract : Background: With the tremendous growth of the Green Bond (GB) market, understanding the relationship of the GB market with other financial markets gains importance. The Covid19 pandemic causing a recession in most major economies creates an opportunity to see the co-movements of the GB market with other financial markets under a period of economic crisis. READ MORE

  5. 4. Modelling Dependency Structure with Application in Financial Markets: Copula-GARCH(1,1) Approach

    University essay from Linnéuniversitetet/Institutionen för matematik (MA)

    Author : Than Trang; [2021]
    Keywords : Copula-GARCH 1; 1 ;

    Abstract : The main objective of this thesis is to examine the dependency structure among different agricultural and energy commodity markets in the United States. For achieving this goal, the paper makes use of the Copula-GARCH(1,1) model to study the financial return volatility and the co-movement between pair of commodities including corn, soybean and gasoline over the pre-COVID 19 pandemic period (from 01-01-2018 to 01-01-2020) and the ongoing COVID 19 pandemic period (from 01-01-2020 to 01-04-2021). READ MORE

  6. 5. The Debt-Equity Dilemma : An analysis of the co-movement between Swedish stocks and bonds

    University essay from Umeå universitet/Företagsekonomi

    Author : Adam Gustafsson; Frida Nilsson Viberg; [2019]
    Keywords : Co-movements; Stock Market; Bond Market; Capital Structure; Shareholders; Stakeholders;

    Abstract : Throughout the last century there has been an extensve discussion regarding the optimal capital structure.Excessive research has further been conducted to understand the relationbetween the market debt and equity on an aggregated market-level. However, it is observed that the research on thefirm-specific co-movement of stock and bondsis scarce. READ MORE