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Please use this identifier to cite or link to this item: https://digital.lib.ueh.edu.vn/handle/UEH/61801
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dc.contributor.authorYaya O.S.-
dc.contributor.otherGil-Alana L.A.-
dc.contributor.otherAdekoya O.B.-
dc.contributor.otherVo X.V.-
dc.date.accessioned2021-08-20T14:47:18Z-
dc.date.available2021-08-20T14:47:18Z-
dc.date.issued2021-
dc.identifier.issn0301-4207-
dc.identifier.urihttp://digital.lib.ueh.edu.vn/handle/UEH/61801-
dc.description.abstractThis paper deals with the analysis of long-run relationships of fear indices for US stocks, commodities, and the energy sector with global fear indices for stocks and oil. Departing from the classical literature, fractional integration, and cointegration techniques are used to determine the degree of persistence in the long-run relationship of the indices. Our results are threefold. We first established a fractional cointegrating relationship between each of the global and oil fear indices and other fear indices. However, the long-run relationship tends to be weak for the technology stocks. In addition, the cointegrating framework reveals a nonstationary mean-reverting behaviour in the long-run relationship, implying that the effect of shocks from financial, economic, or other exogenous sources will be temporary though with long-lasting effects. These findings have crucial policy inferences for portfolio managers concerning investment decisions.en
dc.formatPortable Document Format (PDF)-
dc.language.isoeng-
dc.publisherElsevier Ltd-
dc.relation.ispartofResources Policy-
dc.relation.ispartofseriesVol. 74-
dc.rightsElsevier Ltd-
dc.subjectCBOE fear gaugeen
dc.subjectFractional cointegrationen
dc.subjectFractional integrationen
dc.subjectMean reversionen
dc.subjectTechnology stocksen
dc.titleHow fearful are commodities and US stocks in response to global fear? Persistence and cointegration analysesen
dc.typeJournal Articleen
dc.identifier.doihttps://doi.org/10.1016/j.resourpol.2021.102273-
ueh.JournalRankingScopus-
item.languageiso639-1en-
item.openairetypeJournal Article-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.cerifentitytypePublications-
item.fulltextOnly abstracts-
item.grantfulltextnone-
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