Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidence
This study is epicentral to analyze the impact of the Russia–Ukraine war on the financial markets, specifically focusing on the connectedness and spillover dynamics of FinTech, Environmental, Social, and Governance (ESG), renewable energy, gold, and Morgan Stanley Capital International (MSCI) indice...
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2023
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| Online Access: | http://hdl.handle.net/10725/14980 https://doi.org/10.1111/jifm.12179 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://onlinelibrary.wiley.com/doi/full/10.1111/jifm.12179 |
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| _version_ | 1864513470084415488 |
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| author | El Khoury, Rim |
| author2 | Nasrallah, Nohade Hussainey, Khaled Assaf, Rima |
| author2_role | author author author |
| author_facet | El Khoury, Rim Nasrallah, Nohade Hussainey, Khaled Assaf, Rima |
| author_role | author |
| dc.creator.none.fl_str_mv | El Khoury, Rim Nasrallah, Nohade Hussainey, Khaled Assaf, Rima |
| dc.date.none.fl_str_mv | 2023-08-29T13:26:02Z 2023-08-29T13:26:02Z 2023 2023-05-26 |
| dc.identifier.none.fl_str_mv | 0954-1314 http://hdl.handle.net/10725/14980 https://doi.org/10.1111/jifm.12179 El Khoury, R., Nasrallah, N., Hussainey, K., & Assaf, R. (2023). Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidence. Journal of International Financial Management & Accounting, 34(2), 279-317. http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://onlinelibrary.wiley.com/doi/full/10.1111/jifm.12179 |
| dc.language.none.fl_str_mv | en |
| dc.relation.none.fl_str_mv | Journal of International Financial Management & Accounting |
| dc.rights.*.fl_str_mv | info:eu-repo/semantics/openAccess |
| dc.title.none.fl_str_mv | Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidence |
| dc.type.none.fl_str_mv | Article info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | This study is epicentral to analyze the impact of the Russia–Ukraine war on the financial markets, specifically focusing on the connectedness and spillover dynamics of FinTech, Environmental, Social, and Governance (ESG), renewable energy, gold, and Morgan Stanley Capital International (MSCI) indices in developed and emerging countries. Data are collected from Thomson Reuters, ranging from May 8, 2020, to May 11, 2022, and a time-varying parameter vector autoregression (TVP-VAR) and the dynamic conditional correlation (DCC) generalized autoregressive conditional heteroskedasticity (GARCH) t-Copula (DCC-GARCH t-Copula) are used to analyze the data. The results show that FinTech, ESG, and MSCI are net transmitters in developed countries, whereas gold and renewable energy are net receivers pre- and during war periods. ESG and MSCI are net transmitters in emerging countries, while FinTech, renewable energy, and gold become net receivers in both periods. The hedging ratio sheds light on the costs and weights of efficient pair investments that might change in the context of each region and under the combined scenario. The study has important implications for merchant bankers, policymakers, investors, hedgers, and risk managers. |
| eu_rights_str_mv | openAccess |
| format | article |
| id | LAURepo_3e078dc7bf835c3a4a2a5261e1a28303 |
| identifier_str_mv | 0954-1314 El Khoury, R., Nasrallah, N., Hussainey, K., & Assaf, R. (2023). Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidence. Journal of International Financial Management & Accounting, 34(2), 279-317. |
| language_invalid_str_mv | en |
| network_acronym_str | LAURepo |
| network_name_str | Lebanese American University repository |
| oai_identifier_str | oai:laur.lau.edu.lb:10725/14980 |
| publishDate | 2023 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidenceEl Khoury, RimNasrallah, NohadeHussainey, KhaledAssaf, RimaThis study is epicentral to analyze the impact of the Russia–Ukraine war on the financial markets, specifically focusing on the connectedness and spillover dynamics of FinTech, Environmental, Social, and Governance (ESG), renewable energy, gold, and Morgan Stanley Capital International (MSCI) indices in developed and emerging countries. Data are collected from Thomson Reuters, ranging from May 8, 2020, to May 11, 2022, and a time-varying parameter vector autoregression (TVP-VAR) and the dynamic conditional correlation (DCC) generalized autoregressive conditional heteroskedasticity (GARCH) t-Copula (DCC-GARCH t-Copula) are used to analyze the data. The results show that FinTech, ESG, and MSCI are net transmitters in developed countries, whereas gold and renewable energy are net receivers pre- and during war periods. ESG and MSCI are net transmitters in emerging countries, while FinTech, renewable energy, and gold become net receivers in both periods. The hedging ratio sheds light on the costs and weights of efficient pair investments that might change in the context of each region and under the combined scenario. The study has important implications for merchant bankers, policymakers, investors, hedgers, and risk managers.Published2023-08-29T13:26:02Z2023-08-29T13:26:02Z20232023-05-26Articleinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article0954-1314http://hdl.handle.net/10725/14980https://doi.org/10.1111/jifm.12179El Khoury, R., Nasrallah, N., Hussainey, K., & Assaf, R. (2023). Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidence. Journal of International Financial Management & Accounting, 34(2), 279-317.http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.phphttps://onlinelibrary.wiley.com/doi/full/10.1111/jifm.12179enJournal of International Financial Management & Accountinginfo:eu-repo/semantics/openAccessoai:laur.lau.edu.lb:10725/149802024-07-10T11:18:01Z |
| spellingShingle | Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidence El Khoury, Rim |
| status_str | publishedVersion |
| title | Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidence |
| title_full | Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidence |
| title_fullStr | Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidence |
| title_full_unstemmed | Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidence |
| title_short | Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidence |
| title_sort | Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidence |
| url | http://hdl.handle.net/10725/14980 https://doi.org/10.1111/jifm.12179 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://onlinelibrary.wiley.com/doi/full/10.1111/jifm.12179 |