ORCID Profile
0000-0002-1236-136X
Current Organisation
University of South Australia
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Publisher: Elsevier BV
Date: 12-2021
Publisher: Elsevier BV
Date: 07-2019
Publisher: Informa UK Limited
Date: 02-03-2020
Publisher: Elsevier BV
Date: 08-2022
Publisher: Elsevier BV
Date: 2022
Publisher: Elsevier BV
Date: 08-2022
Publisher: Emerald
Date: 17-10-2022
DOI: 10.1108/IJOEM-03-2022-0513
Abstract: This study examines the extreme quantile connectedness and spillovers between West Texas Intermediate (WTI) crude oil futures and ten Vietnamese stock market sectors. Knowledge of such links is important to both investors and policymakers in understanding the transmission of shocks across markets. The authors employ the extreme quantile connectedness methodology of Ando et al. (2022). Initial results show that the size of spillovers is higher during bearish markets than bullish markets and under major financial, political, energy and pandemic events. The oil market is a net receiver of spillovers during downward markets and net contributors during upward markets. The banking sector is a net contributor of spillovers, whereas consumer discretionary and consumer staples are net receivers for different quantiles. The role of the remaining sectors as net receivers/contributors is sensitive to the quantiles. Oil has a large spillover effect on the electricity sector for all quantiles. Comparing all crises, oil offers the best hedging effectiveness to the Vietnamese sector during the coronavirus disease 2019 (COVID-19) crisis. Moreover, oil was a cheap hedge asset during oil crises. Finally, oil provides the highest hedging effectiveness for healthcare during the global financial crisis (GFC) and consumer staples during the European debt crisis (EDC), oil crisis and COVID-19. Acknowledging the presence of heterogeneity in the relation between oil and economic sectors under different market conditions, this study is the first to examine the extreme quantile connectedness between oil and Vietnamese sectors.
Publisher: Elsevier BV
Date: 09-2021
Publisher: Elsevier BV
Date: 09-2020
Publisher: Emerald
Date: 25-04-2023
DOI: 10.1108/IJOEM-11-2022-1721
Abstract: This study examines the risk spillovers between Indonesian sectorial stocks (Energy, Basic Materials, Industrials, Consumer Cyclicals, Consumer Non-cyclical and Financials), the aggregate index (IDX) and two commodities (gold and West Texas Intermediate Crude Oil [WTI] futures). The study uses two methodologies: the TVP-VAR model of Antonakakis and Gabauer (2017) and the quantile connectedness approach of Ando et al. (2022). The data cover the period from October 04, 2010, to April 5, 2022. The results show that the IDX, industrials and materials are net transmitters, while the financials, consumer noncyclical and energy sectors are the dominant shock receivers. Using the quantile connectedness approach, the role of each sector is heterogeneous and asymmetric, and the return spillover is stronger at lower and higher quantiles. Furthermore, the portfolio hedging results show that oil offers more ersification gains than gold, and hedging oil is more effective during the pandemic. This study provides valuable insights for investors to ersify their portfolios and for policymakers to develop policies, regulations and risk management tools to promote stability in the Indonesian stock market. The results can inform the design of market regulations and the development of risk management tools to ensure the stability and resilience of the market. This study is the first to examine the spillovers between commodities and Indonesian sectors, recognizing the presence of heterogeneity in the relationship under different market conditions. It provides important portfolio ersification insights for equity investors interested in the Indonesian stock market and policymakers.
Publisher: Elsevier BV
Date: 12-2022
Publisher: Emerald
Date: 28-01-2022
DOI: 10.1108/IJOEM-08-2021-1177
Abstract: This paper examines asymmetric multifractality (A-MF) in the leading Middle East and North Africa (MENA) stock markets under different turbulent periods (global financial crisis [GFC] and European sovereign debt crisis [ESDC], oil price crash and COVID-19 pandemic). This study applies the asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) method of Cao et al. (2013) to identify A-MF and MENA stock market efficiency during the COVID-19 pandemic. The results show strong evidence of different patterns of MF during upward and downward trends. Inefficiency is higher during upward trends than during downward trends in most of the stock markets in the whole s le period, and the opposite is true during financial crises. The Turkish stock market is the least inefficient during upward and downward trends. A-MF intensifies with an increase in scales. The evolution of excessive A-MF for MENA stock returns is heterogeneous. Most of the stock markets are more inefficient during a pandemic crisis than during an oil crash and other financial crises. However, the inefficiency of the Saudi Arabia and Qatar stock markets is highly sensitive to oil price crashes. Overall, the level of inefficiency varies across market trends, scales and stock markets and over time. The findings of this study provide investors and policymakers with valuable insights into efficient investment strategies, risk management and financial stability. This paper first explores A-MF in the MENA emerging stock markets. The A-MF analysis provides useful information to investors regarding asset allocation, portfolio risk management and investment strategies during bullish and bearish market states. In addition, this paper examines A-MF under different turbulent periods, such as the GFC, the ESDC, the 2014–2016 oil crash and the COVID-19 pandemic.
Publisher: Elsevier BV
Date: 09-2021
Publisher: Elsevier BV
Date: 09-2022
Publisher: Elsevier BV
Date: 08-2022
Publisher: Elsevier BV
Date: 08-2020
Publisher: Springer Science and Business Media LLC
Date: 25-08-2020
Publisher: Emerald
Date: 28-02-2023
DOI: 10.1108/IJOEM-07-2022-1194
Abstract: This study aims to examine the tail connectedness between the Chinese and Association of Southeast Asian Nations (ASEAN) stock markets. More specifically, the authors measure the return spillovers at three quantile levels: median (t = 0.5), lower extreme (t = 0.05) and upper extreme (t = 0.95). The connectedness at extreme upper and lower quantiles provides insightful information to investors regarding tail risk propagation, which ultimately suggests that investors adjust their portfolios according to the extreme bullish and bearish market conditions. The authors employ the quantile connectedness approach of Ando et al. (2022) to examine the quantile transmission mechanism among the ASEAN and Chinese stock markets. The results show significant evidence of a higher level of connectedness between Chinese and ASEAN stock markets at extreme upper and lower quantiles compared to the median quantiles, which suggests the use of a quantile-based connectedness approach instead of an average-measure-based one. Furthermore, the time-varying connectedness analysis shows that the total spillovers reach the highest peaks during the global financial crisis, the Chinese stock market crash and the COVID-19 pandemic at the upper, lower and median quantiles. Finally, the static and dynamic pairwise spillovers between the Chinese and ASEAN markets vary over quantiles as well. This study is the first attempt to examine quantile vector autoregression (VAR)-based return spillovers between China and ASEAN stock markets during different market statuses. Besides, the COVID-19 has intensified the uncertainty in Asian countries, mainly China and ASEAN economies.
Publisher: Elsevier BV
Date: 2022
Publisher: Elsevier BV
Date: 03-2022
Publisher: Elsevier BV
Date: 12-2019
Publisher: Wiley
Date: 26-08-2020
DOI: 10.1002/IJFE.2174
Abstract: We examine the spillovers, portfolio allocation, and ersification potential of bank equity portfolios from developed and emerging countries in Europe (henceforth, developed and emerging Europe) using a directional spillover index and nonlinear portfolio optimisation methods. Empirical results indicate that in developed Europe the largest spillover receivers and transmitters are the banks from France and Spain, whereas in emerging Europe are those from Greece and Poland. Cross‐country spillover transmission and reception is larger across banks from developed Europe than across banks from emerging Europe. Banks from emerging Europe offer greater ersification potential and have a lower risk for financial resource allocation.
Publisher: Elsevier BV
Date: 02-2020
Publisher: Wiley
Date: 12-11-2019
DOI: 10.1002/IJFE.1750
Publisher: Elsevier BV
Date: 08-2023
Publisher: Elsevier BV
Date: 11-2021
Publisher: Emerald
Date: 25-08-2021
DOI: 10.1108/IJOEM-01-2021-0074
Abstract: This paper examines dynamic return spillovers and connectedness networks among international stock exchange markets. The authors account for asymmetry by distinguishing between positive and negative returns. This paper employs the spillover index of Diebold and Yilmaz (2012) to measure the volatility spillover index for total, positive and negative volatility. The results show time-varying and asymmetric volatility spillovers among the stock markets under investigation. During the coronavirus disease 2019 (COVID-19) pandemic, bad volatility spillovers are more pronounced and dominated over good volatility spillovers, indicating contagion effects. The presence of confirmed COVID-19 cases positively (negatively) affects the good and bad spillovers under low and intermediate (upper) quantiles. Both types of spillovers at various quantiles agree also influenced by the number of COVID-19 deaths.
Publisher: Elsevier BV
Date: 03-2022
Publisher: Elsevier BV
Date: 09-2021
Publisher: Springer Science and Business Media LLC
Date: 03-05-2023
DOI: 10.1186/S40854-023-00498-Y
Abstract: This study investigates tail dependence among five major cryptocurrencies, namely Bitcoin, Ethereum, Litecoin, Ripple, and Bitcoin Cash, and uncertainties in the gold, oil, and equity markets. Using the cross-quantilogram method and quantile connectedness approach, we identify cross-quantile interdependence between the analyzed variables. Our results show that the spillover between cryptocurrencies and volatility indices for the major traditional markets varies substantially across quantiles, implying that ersification benefits for these assets may differ widely across normal and extreme market conditions. Under normal market conditions, the total connectedness index is moderate and falls below the elevated values observed under bearish and bullish market conditions. Moreover, we show that under all market conditions, cryptocurrencies have a leadership influence over the volatility indices. Our results have important policy implications for enhancing financial stability and deliver valuable insights for deploying volatility-based financial instruments that can potentially provide cryptocurrency investors with suitable hedges, as we show that cryptocurrency and volatility markets are insignificantly (weakly) connected under normal (extreme) market conditions.
Publisher: Wiley
Date: 24-05-2021
DOI: 10.1111/ROIE.12553
Abstract: We investigate the nonlinear spillover and portfolio allocation characteristics of the US and Canadian energy equity portfolios. Our empirical study based on directional spillover index and non‐convex portfolio optimization show that the spillover effects in the aggregate are smaller for the US portfolio across time. However, when only the largest spillover transmitters and receivers are considered, the total spillover effects are lower for the Canadian portfolio relative to the US portfolio. These portfolio optimization results indicate lower portfolio allocation risk for the Canadian energy equities during the global financial crisis of 2008 and for the full s le period.
Publisher: Elsevier BV
Date: 06-2023
Publisher: MDPI AG
Date: 30-06-2022
Abstract: We explore the directional spillover network among economic sentiment indicators and the economic policy uncertainty (EPU) index from Europe. We derive our results by fitting the directional spillover index approach to the monthly frequency data of eleven European countries, economic sentiment indicators and the European EPU index, spanning from 1 January 1987, to 1 February 2019. The empirical results indicate that the economic sentiment indicators of the largest European economies (Germany, France, and Italy) spillover with each other the most. The economic sentiment indicators of Germany and France most strongly influence the EU and Euro area economic sentiment indicators. The economic sentiment indicators of France and Italy have the most influence on the European EPU index, while the latter has the strongest influence on the economic sentiment indicators of Germany and France.
Publisher: Springer Science and Business Media LLC
Date: 05-05-2023
DOI: 10.1186/S40854-023-00474-6
Abstract: This study examines the connectedness in high-order moments between cryptocurrency, major stock (U.S., U.K., Eurozone, and Japan), and commodity (gold and oil) markets. Using intraday data from 2020 to 2022 and the time and frequency connectedness models of Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012) and Baruník and Křehlík (J Financ Econom 16(2):271–296, 2018), we investigate spillovers among the markets in realized volatility, the jump component of realized volatility, realized skewness, and realized kurtosis. These higher-order moments allow us to identify the unique characteristics of financial returns, such as asymmetry and fat tails, thereby capturing various market risks such as downside risk and tail risk. Our results show that the cryptocurrency, stock, and commodity markets are highly connected in terms of volatility and in the jump component of volatility, while their connectedness in skewness and kurtosis is smaller. Moreover, jump and volatility connectedness are more persistent than that of skewness and kurtosis connectedness. Our rolling-window analysis of the connectedness models shows that connectedness varies over time across all moments, and tends to increase during periods of high uncertainty. Finally, we show the potential of gold and oil as hedging and safe-haven investments for other markets given that they are the least connected to other markets across all moments and investment horizons. Our findings provide useful information for designing effective portfolio management and cryptocurrency regulations.
Publisher: Elsevier BV
Date: 09-2019
Publisher: Springer Science and Business Media LLC
Date: 10-2023
Publisher: Elsevier BV
Date: 08-2019
Publisher: Elsevier BV
Date: 11-2019
Publisher: Elsevier BV
Date: 03-2022
Publisher: Elsevier BV
Date: 10-2023
Publisher: Elsevier BV
Date: 02-2022
Publisher: Elsevier BV
Date: 2023
No related grants have been discovered for Sanghoon Kang.