大葉大學圖書館 |

Risk factors and contagion in commodity markets and stocks markets[electronic resource] /

紀錄類型:	書目-電子資源 : Monograph/item
杜威分類號:	332.64
書名/作者:	Risk factors and contagion in commodity markets and stocks markets/ [edited by] Stéphane Goutte, Khaled Guesmi.
其他作者:	Goutte, Stéphane.
出版者:	Singapore : : World Scientific,, c2020.
面頁冊數:	1 online resource (xx, 334 p.)
標題:	Commodity exchanges.
標題:	Stock exchanges.
標題:	Risk management.
標題:	Contagion (Social psychology)
ISBN:	9789811210242
書目註:	Includes bibliographical references and index.
內容註:	Preface -- About the editors -- About the contributors -- Bubbles on Bitcoin price : the Bitcoin rush / Dominique Guegan and Marius-Cristian Frunza -- Investigating the association between oil vix and equity vix: Evidence from China / Anupam Dutta, Timo Rothovius and Jussi Nikkinen -- The predictive power of oil and commodity prices for equity markets / Leila Dagher, Ibrahim Jamali and Nasser Badra -- Time-varying linkage between equities and oil / Beyza Mina Ordu-Akkaya, Adil Oran and Uğur Soytaş -- Has the causal nexus of oil prices and consumer prices been asymmetric in the us during the last fifteen decades? / Abdulnasser Hatemi-J and Youssef El-Khatib -- Risky financial assets in financial integration and the impacts of derivatives on banking returns / Hasan Dinçer, Serhat Yüksel, Fatih Pınarbaşı and Mehmet Ali Alhan -- The risk-sharing paradigm in islamic financial system: Myth or reality? / Jamel Boukhatem and Mouldi Djelassi -- Commodity markets' asset allocation with robust liquidity risk management optimization parameters / Mazin A M AlJanabi -- Comovements and integration in African stock markets / El Mehdi Ferrouhi -- Interdependence or contagion in equity markets? Evidence from past crises / Olfa Kaabia -- Impact of contagion on proxy-hedging in jet-fuel markets / Dominique Guegan, Marius-Cristian Frunza and Rostislav Haliplii -- Index.
摘要、提要註:	"The link between commodities prices and the business cycle, including variables such as real GDP, industrial production, unemployment, inflation, and market uncertainty, has often been debated in the macroeconomic literature. To quantify the impact of commodities on the economy, one can distinguish different modeling approaches. First, commodities can be represented as the pinnacle of cross-sectional financial asset prices. Second, price fluctuations due to seasonal variations, dramatic market changes, political and regulatory decisions, or technological shocks may adversely impact producers who use commodities as input. This latter effect creates the so-called "commodities risk". Additionally, commodities price fluctuations may spread to other sectors in the economy, via contagion effects. Besides, stronger investor interest in commodities may create closer integration with conventional asset markets; as a result, the financialization process also enhances the correlation between commodity markets and financial markets. Our objective in this book, Risk Factors and Contagion in Commodity Markets and Stocks Markets, lies in answering the following research questions: What are the interactions between commodities and stock market sentiment? Do some of these markets move together overtime? Did the financialization in energy commodities occur after the 2008 Global Financial Crisis? These questions are essential to understand whether commodities are driven only by their fundamentals, or whether there is also a systemic component influenced by the volatility present within the stock markets"--Publisher's website.
電子資源:	https://www.worldscientific.com/worldscibooks/10.1142/11549#t=toc

Risk factors and contagion in commodity markets and stocks markets[electronic resource] /
Risk factors and contagion in commodity markets and stocks markets[electronic resource] /[edited by] Stéphane Goutte, Khaled Guesmi. - 1st ed. - Singapore :World Scientific,c2020. - 1 online resource (xx, 334 p.)

Includes bibliographical references and index.

Preface -- About the editors -- About the contributors -- Bubbles on Bitcoin price : the Bitcoin rush / Dominique Guegan and Marius-Cristian Frunza -- Investigating the association between oil vix and equity vix: Evidence from China / Anupam Dutta, Timo Rothovius and Jussi Nikkinen -- The predictive power of oil and commodity prices for equity markets / Leila Dagher, Ibrahim Jamali and Nasser Badra -- Time-varying linkage between equities and oil / Beyza Mina Ordu-Akkaya, Adil Oran and Uğur Soytaş -- Has the causal nexus of oil prices and consumer prices been asymmetric in the us during the last fifteen decades? / Abdulnasser Hatemi-J and Youssef El-Khatib -- Risky financial assets in financial integration and the impacts of derivatives on banking returns / Hasan Dinçer, Serhat Yüksel, Fatih Pınarbaşı and Mehmet Ali Alhan -- The risk-sharing paradigm in islamic financial system: Myth or reality? / Jamel Boukhatem and Mouldi Djelassi -- Commodity markets' asset allocation with robust liquidity risk management optimization parameters / Mazin A M AlJanabi -- Comovements and integration in African stock markets / El Mehdi Ferrouhi -- Interdependence or contagion in equity markets? Evidence from past crises / Olfa Kaabia -- Impact of contagion on proxy-hedging in jet-fuel markets / Dominique Guegan, Marius-Cristian Frunza and Rostislav Haliplii -- Index.

"The link between commodities prices and the business cycle, including variables such as real GDP, industrial production, unemployment, inflation, and market uncertainty, has often been debated in the macroeconomic literature. To quantify the impact of commodities on the economy, one can distinguish different modeling approaches. First, commodities can be represented as the pinnacle of cross-sectional financial asset prices. Second, price fluctuations due to seasonal variations, dramatic market changes, political and regulatory decisions, or technological shocks may adversely impact producers who use commodities as input. This latter effect creates the so-called "commodities risk". Additionally, commodities price fluctuations may spread to other sectors in the economy, via contagion effects. Besides, stronger investor interest in commodities may create closer integration with conventional asset markets; as a result, the financialization process also enhances the correlation between commodity markets and financial markets. Our objective in this book, Risk Factors and Contagion in Commodity Markets and Stocks Markets, lies in answering the following research questions: What are the interactions between commodities and stock market sentiment? Do some of these markets move together overtime? Did the financialization in energy commodities occur after the 2008 Global Financial Crisis? These questions are essential to understand whether commodities are driven only by their fundamentals, or whether there is also a systemic component influenced by the volatility present within the stock markets"--Publisher's website.

Mode of access: World Wide Web.

ISBN: 9789811210242Subjects--Topical Terms:

374350
Commodity exchanges.

LC Class. No.: HG6046 / .R577 2020

Dewey Class. No.: 332.64

Risk factors and contagion in commodity markets and stocks markets[electronic resource] /
LDR:04014cmm a2200289 a 4500 001 524532
003 WSP
006 m o d
007 cr cnu---unuuu
008 230513s2020 si ob 001 0 eng d
010 $z 2020001808
020 $a 9789811210242 $q (ebook)
020 $z 9789811210235 $q (hbk.)
035 $a 00011549
040 $a WSPC $b eng $c WSPC
050 0 4 $a HG6046 $b .R577 2020
082 0 4 $a 332.64 $2 23
245 0 0 $a Risk factors and contagion in commodity markets and stocks markets $h [electronic resource] / $c [edited by] Stéphane Goutte, Khaled Guesmi.
250 $a 1st ed.
260 $a Singapore : $b World Scientific, $c c2020.
300 $a 1 online resource (xx, 334 p.)
504 $a Includes bibliographical references and index.
505 0 $a Preface -- About the editors -- About the contributors -- Bubbles on Bitcoin price : the Bitcoin rush / Dominique Guegan and Marius-Cristian Frunza -- Investigating the association between oil vix and equity vix: Evidence from China / Anupam Dutta, Timo Rothovius and Jussi Nikkinen -- The predictive power of oil and commodity prices for equity markets / Leila Dagher, Ibrahim Jamali and Nasser Badra -- Time-varying linkage between equities and oil / Beyza Mina Ordu-Akkaya, Adil Oran and Uğur Soytaş -- Has the causal nexus of oil prices and consumer prices been asymmetric in the us during the last fifteen decades? / Abdulnasser Hatemi-J and Youssef El-Khatib -- Risky financial assets in financial integration and the impacts of derivatives on banking returns / Hasan Dinçer, Serhat Yüksel, Fatih Pınarbaşı and Mehmet Ali Alhan -- The risk-sharing paradigm in islamic financial system: Myth or reality? / Jamel Boukhatem and Mouldi Djelassi -- Commodity markets' asset allocation with robust liquidity risk management optimization parameters / Mazin A M AlJanabi -- Comovements and integration in African stock markets / El Mehdi Ferrouhi -- Interdependence or contagion in equity markets? Evidence from past crises / Olfa Kaabia -- Impact of contagion on proxy-hedging in jet-fuel markets / Dominique Guegan, Marius-Cristian Frunza and Rostislav Haliplii -- Index.
520 $a "The link between commodities prices and the business cycle, including variables such as real GDP, industrial production, unemployment, inflation, and market uncertainty, has often been debated in the macroeconomic literature. To quantify the impact of commodities on the economy, one can distinguish different modeling approaches. First, commodities can be represented as the pinnacle of cross-sectional financial asset prices. Second, price fluctuations due to seasonal variations, dramatic market changes, political and regulatory decisions, or technological shocks may adversely impact producers who use commodities as input. This latter effect creates the so-called "commodities risk". Additionally, commodities price fluctuations may spread to other sectors in the economy, via contagion effects. Besides, stronger investor interest in commodities may create closer integration with conventional asset markets; as a result, the financialization process also enhances the correlation between commodity markets and financial markets. Our objective in this book, Risk Factors and Contagion in Commodity Markets and Stocks Markets, lies in answering the following research questions: What are the interactions between commodities and stock market sentiment? Do some of these markets move together overtime? Did the financialization in energy commodities occur after the 2008 Global Financial Crisis? These questions are essential to understand whether commodities are driven only by their fundamentals, or whether there is also a systemic component influenced by the volatility present within the stock markets"--Publisher's website.
538 $a Mode of access: World Wide Web.
538 $a System requirements: Adobe Acrobat Reader.
588 $a Description based on print version record.
650 0 $a Commodity exchanges. $3 374350
650 0 $a Stock exchanges. $3 338725
650 0 $a Risk management. $3 226935
650 0 $a Contagion (Social psychology) $3 751552
700 1 $a Goutte, Stéphane. $3 751550
700 1 $a Guesmi, Khaled. $3 751551
856 4 0 $u https://www.worldscientific.com/worldscibooks/10.1142/11549#t=toc