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RISS 인기검색어
- 검색키워드
- 저자 : Aviral Kumar Tiwari (검색결과 6 건)
- 무료
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Impact of oil price risk on sectoral equity markets: Implications on portfolio management
Tiwari, Aviral Kumar,Jena, Sangram Keshari,Mitra, Amarnath,Yoon, Seong-Min Elsevier 2018 ENERGY ECONOMICS Vol.72 No.-
<P><B>Abstract</B></P> <P>Structure and degree of oil price impact on sectoral indices are examined using Quantile Regression Analysis (QRA). Nine sectors are found to provide diversification opportunities during a bull market (i.e. 90th quantile of the return distribution) and three sectors during a bear market (10th quantile) to hedge oil price risk. Further, the contagion effect and interdependency between oil price and sectoral equity are assessed through frequency domain causality. The causality from oil price in the long run determined that there is interdependence between three sectors and oil price changes. The direction of causality from oil price is mixed in both the short run (high frequency) and long run (low frequency) for nine sectors. Overall, the carbon sector is the only sector that is immune to oil price risk, thereby providing investment and hedging opportunities for portfolio managers.</P> <P><B>Highlights</B></P> <P> <UL> <LI> Oil price shock impacts on Indian stock market sectoral index are investigated. </LI> <LI> We use asymmetric quantile regression and frequency-domain Granger causality. </LI> <LI> Oil price tail risk affects all sectoral indices other than of the carbon sector. </LI> <LI> A contagion effect for negative oil price shocks is found in six sectors. </LI> <LI> Interdependency is found in five sectors in the case of positive oil price shocks. </LI> </UL> </P>
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Stock Market Integration in Asian Countries: evidence from Wavelet multiple correlations
( Aviral Kumar Tiwari ),( Arif Billah Dar ),( Niyati Bhanja ),( Aasif Shah ) 세종대학교 경제통합연구소 2013 Journal of Economic Integration Vol.28 No.3
This study examines the integration of nine Asian stock markets using the new methodology of wavelet multiple correlation and multiple cross-correlation proposed by Fernandez (2012). This novel approach eliminates several limitations which are encountered when conventional pairwise wavelet correlation and cross-correlation are used to assess the comovement of a set of stock indices. Our results show that Asian stock markets are highly integrated at lower frequencies and comparatively less integrated at higher frequencies. From the perspective of international investors, the Asian stock markets therefore offer little potential gains from international portfolio diversification especially for monthly, quarterly, and bi-annual time horizon investors, whereas, higher potential gains are expected at intraweek, weekly, and fortnightly time horizons.
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An Error-Correction Analysis of India-US Trade Flows
AVIRAL KUMAR TIWARI 경제연구소 2012 Journal of Economic Development Vol.37 No.1
The study finds that India’s exports to the US have been significantly affected by GDP per capita of the US, WPI of the India and the US, and exchange rate; and India’s import from the US is significantly affected the India’s GDP and WPI in the long-run. Static analysis of causality asserts that WPI of the US Granger causes the India’s exports to the US and the GDP of the US. Further, WPI of the India Granger causes the GDP of the US and the exchange rate Granger causes WPI of the US. Moreover, GDP of the India Granger causes her imports from the US; and WPI of the India and exchange rate Granger cause WPI of the US.
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Mensi, Walid,Tiwari, Aviral Kumar,Yoon, Seong-Min Elsevier 2017 PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIO Vol.471 No.-
<P><B>Abstract</B></P> <P>This paper estimates the weak-form efficiency of Islamic stock markets using 10 sectoral stock indices (basic materials, consumer services, consumer goods, energy, financials, health care, industrials, technology, telecommunication, and utilities). The results based on the multifractal detrended fluctuation analysis (MF-DFA) approach show time-varying efficiency for the sectoral stock markets. Moreover, we find that they tend to show high efficiency in the long term but moderate efficiency in the short term, and that these markets become less efficient after the onset of the global financial crisis. These results have several significant implications in terms of asset allocation for investors dealing with Islamic markets.</P> <P><B>Highlights</B></P> <P> <UL> <LI> The MF-DFA method is used to evaluate 10 sector indices of Islamic stock markets. </LI> <LI> This paper assesses the effects of the GFC on the weak-form EMH. </LI> <LI> The price dynamics of Islamic stock markets are multifractal in nature. </LI> <LI> Islamic stock markets become less efficient after the GFC. </LI> <LI> Islamic markets show high long-term efficiency but moderate short-term efficiency. </LI> </UL> </P>
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Dynamic inter-relationships among tourism, economic growth and energy consumption in India
Chor Foon Tang,Aviral Kumar Tiwari,Muhammad Shahbaz 한국자원공학회 2016 Geosystem engineering Vol.19 No.4
This study attempts to explore the dynamic causal and inter-relationships among tourism, economic growth and energy consumption in India. This study covers the annual data from 1971 to 2012. This study applies the cointegration and generalised variance decomposition methods to verify the relationship. The bounds testing approach to cointegration and the Gregory–Hansen test for cointegration with structural break consistently reveal that energy consumption, tourism and economic growth in India are cointegrated. We find that tourism and economic growth strongly affects energy consumption in the long-run. Additionally, we also find that tourism and economic growth in India are inter-related, but the causal effect of tourism on economic growth is stronger than the other way around in both the short- and long-run. Therefore, this study concludes that the tourism-led growth hypothesis is valid but the energy-led growth hypothesis is invalid in India. With such findings, we can confirm that tourism is an important catalyst of growth to the Indian economy. Therefore, policy-makers should promote and expand tourism industry in order to sustain the process of economic growth and development in India.
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