Annals of Financial Economics

This paper investigates the determinants of crude oil in the world’s top five economies, including the USA, China, Germany, Japan and India. To examine the impact of the exchange rate, oil imports, oil demand by the commercial sector, oil demand by the transport sector, oil demand by the power sector, industrial production and oil inventory on crude oil prices of the top five economies have been studied from 1990 to 2020. We applied the Autoregressive Distributed Lag (ARDL) model for the analysis of the research. Panel results showed a significant impact of the exchange rate in the long and short run on crude oil prices. On the other hand, in case of Germany’s Industrial production, exchange rate, oil imports, and demand for oil by the power sectors have a significant effect on the prices of crude oil. In the case of India, industrial production, exchange rate, oil consumption, investment in oil, import of oil and demand for oil by the transport sectors have a significant effect on the prices of crude oil. In the case of the USA, crude oil inventories have a significant impact on crude oil prices in the long run. In the case of Japan’s exchange rate, oil consumption has a substantial effect on crude oil prices in both the long run and short run. We found that the exchange rate is the most significant factor which influences crude oil prices in all five countries.

Equitable income distributions occupy a top spot on the list of the United Nations (UN) Sustainable Development Goals (SDG₁₀). Nonetheless, prior empirical inquiries noted several factors, including globalization as the determinant of income inequality, albeit divergent inferences. However, very little is known about the potential effects of other variants of globalization (economic, social, cultural and political) on income inequality. Hence, this study, through a multi-dimensional scale, provides a comprehensive empirical overview of the effects of globalization on income inequality in the United States and the United Kingdom between 1970 and 2018. The study adopts the Autoregressive Distributed Lag (ARDL) and Kernel Regularized Least Squares (KRLS) models for broad-based empirical narratives. The empirical estimates rectify that globalization and its variants influenced income distributions significantly more in the US than in the UK. Particularly, at the 25th and 50th quantiles, globalization produced significant inequality-reducing effects in the UK. This indicates varying outcomes across the distributions of income inequality. Hence, constant monitoring is critical to curtail the influence of globalization on income distributions. The study also revealed that the existing patterns of income distributions in both countries would not guarantee the attainment of SDG₁₀. However, if laborers are compensated adequately, the attainment of SDG₁₀ is certain. Thus, relevant policy options that will ensure equitable prosperity in both countries are highlighted.

This study focuses on the unequal relationship between energy consumption and its determinants. Past studies have not examined how minor and substantial currency value changes affect energy consumption in the organization for economic cooperation and development (OECD) countries. This study compares the effects of modest and significant exchange rate (ER) changes on energy demand (ED) in OECD countries, which include Greece, Belgium, Ireland, Denmark, Portugal, Norway and Italy. Our work adds to the literature by distinguishing the effect of small to significant changes in currency fluctuations. We do this with a sophisticated model, an updated multiple threshold nonlinear autoregressive distributed lag (MTNARDL). Next, we compare the model’s outcomes to conventional nonlinear autoregressive distributed lag (NARDL) and autoregressive distributed lag (ARDL) models. According to NARDL and ARDL estimates, co-integration is present in the context of Belgium. However, the MTNARDL model division of series suggests cointegration in all sample countries. It implies that this model is superior to previous ones. We conclude with policy recommendations based on the results of our inquiry.

This paper presents a study of volatility using the non-arbitrage valuation of equities as its foundation. The main objectives are (i) to develop a theory of volatility consistent with an asset pricing model, (ii) to theoretically explain the fundamental origins of volatility and (iii) to assess whether certain a-priori characteristics of volatility, predicted by the theory, are empirically observed. By integrating equity premium and volatility models, the framework provides an alternative approach to understand the relationship between risk and returns. It establishes a causal connection between business risk and equity price movements, offering an economic rationale for the existence of volatility. The framework’s predictive ability regarding volatility asymmetry and the low-volatility phenomena enhances an understanding in these areas. This research contributes to the literature on non-arbitrage valuation of equities, as well as to the literature on volatility asymmetry and the low-volatility phenomena. The theoretical justification for volatility’s existence challenges the foundations of behavioral finance, which often emphasizes the difficulty of explaining equity price fluctuations solely through rational arguments.

This study attempts to evaluate Taiwanese hotel stock returns in response to the COVID-19 outbreak. This study uses data from fifteen hotel stocks from the Taiwan Capitalization Weighted Stock Index (TAIEX) and implements a t-test and event study methodology. We create the event window from December 31, 2018 to March 31, 2020, which includes the estimation period from December 31, 2018 to December 31, 2019, the pre-announcement period from January 1, 2020 to January 31, 2020 and the post-announcement period from February 1, 2020 to March 31, 2020. In January 2020, the average daily returns exhibited a distinct pattern, as all stocks witnessed negative returns following the announcement of the pandemic alert. The results indicate that hotel stocks show a negative and significant difference in the mean. Moreover, the results of the event study indicate a persistent negative impact on the selected stock. It is therefore important for policymakers to formulate pandemic outbreak strategies in advance that may help investors devise diversification strategies.