Browsing by Author "Gabauer D"

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    Contemporaneous and lagged 𝑅2 decomposed connectedness approach: New evidence from the energy futures market
    (Elsevier Inc, 2023-11) Balli F; Balli HO; Dang THN; Gabauer D
    In this study, we investigate the return propagation mechanism across six energy futures, namely, Crude Oil, Heating Oil, Gasoline, Natural Gas, Kerosene, and Propane ranging from November 21st, 2014 until April 6th, 2023 by using a novel R2 decomposed connectedness approach. This framework allows to efficiently decompose connectedness measures into contemporaneous and lagged components. We find that the dynamic total connectedness is heterogeneous over time and economic-event dependent. Furthermore, the empirical results highlight that the contemporaneous effects are more pronounced on average while a significant amount of lagged spillovers occur in the case of Kerosene and Propane. We find that Heating Oil is the main net transmitter of shocks followed by Gasoline and Crude Oil while the main net receiver of shocks is Kerosene followed by Propane and Natural Gas. Finally, robust R2 connectedness measures are provided.
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    Sectoral uncertainty spillovers in emerging markets: A quantile time–frequency connectedness approach
    (Elsevier Inc, 2024-06) Dang THN; Balli F; Balli HO; Gabauer D; Nguyen TTH
    This study investigates the sectoral expected uncertainty connectedness in emerging markets across different frequencies and quantiles using the novel quantile time–frequency connectedness approach of Chatziantoniou et al. (2022a). The employed dataset spans from January 1st, 2003 to October 4th, 2022, encompassing 10 key sectors. The findings reveal a robust and notable interconnection among these sectors, with a substantial total connectedness index of 91.01%. We also note that the largest proportion of the sectoral total connectedness is associated with long-term spillovers. Consumer Cyclicals emerges as the primary source of net risk transmission. Conversely, the Communications & Networking and Healthcare appear to be the greatest net receivers of shocks at the median level. Furthermore, we find that the degree of interconnectedness substantially varies over time, frequency, and quantile, and by economic events. In addition, we find suggestive evidence of asymmetric sectoral uncertainty connectedness effects as the uncertainty spillovers are higher during turbulent market conditions than normal market conditions. A positive relationship between uncertainty measures and sectoral connectedness is also observed during periods of smooth and normal market conditions. Besides, we also conduct different portfolio analyses illustrating the importance of risk diversification to reduce investment uncertainty. This has important implications for international investors and policymakers in forming optimal investment portfolios reducing adverse risk spillovers.