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The impact of economic policy uncertainties on the volatility of European carbon market

Dai, Peng-Fei; Xiong, Xiong; Toan Luu Duc Huynh; Wang, … - In: Journal of commodity markets 26 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013453831

Dynamic linkages between international oil price, plastic stock index and recycle plastic markets in China

Gu, Fu; Wang, Jiqiang; Guo, Jianfeng; Fan, Ying - In: International review of economics & finance : IREF 68 (2020), pp. 167-179

Persistent link: https://www.econbiz.de/10012486314

Tail Dependence Structure and Extreme Risk Spillover Effects between the International Agricultural Futures and Spot Markets

Dai, Yun-Shi; Dai, Peng-Fei; Zhou, Wei-Xing - 2023

This paper combines the Copula-CoVaR approach with the ARMA-GARCH-skewed Student-t model to investigate the tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets, taking four main agricultural commodities, namely soybean,...

Persistent link: https://www.econbiz.de/10014355159

Industries' heterogeneous reactions during the COVID-19 outbreak : evidence from Chinese stock markets

Liu, Zhifeng; Dai, Peng-Fei; Toan Luu Duc Huynh; Zhang, … - In: Journal of international financial management & accounting 34 (2023) 2, pp. 243-278

Persistent link: https://www.econbiz.de/10014336555

How does climate policy uncertainty affect financial markets? : evidence from Europe

Tedeschi, Marco; Foglia, Matteo; Bouri, Elie; Dai, Peng-Fei - In: Economics letters 234 (2024), pp. 1-5

Persistent link: https://www.econbiz.de/10015065789

Preventing crash in stock market : the role of economic policy uncertainty during COVID-19

Dai, Peng-Fei; Xiong, Xiong; Liu, Zhifeng; Toan Luu Duc … - In: Financial innovation : FIN 7 (2021), pp. 1-15

This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimate daily skewness as a proxy for the stock market crash risk. The empirical results show...

Persistent link: https://www.econbiz.de/10012510333

A global economic policy uncertainty index from principal component analysis

Dai, Peng-Fei; Xiong, Xiong; Zhou, Wei-Xing - In: Finance research letters 40 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10012819228

Stress testing climate risk : a network-based analysis of the Chinese banking system

Xu, Hai-Chuan; Li, Tai-Min; Dai, Peng-Fei; Nguyen, Duc … - In: Journal of international money and finance 149 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015183332

The impact of COVID-19 on the stock market crash risk in China

Liu, Zhifeng; Toan Luu Duc Huynh; Dai, Peng-Fei - In: Research in international business and finance 57 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10013332988

Cryptocurrencies and Financial Stability : Evidencing Crash Transmission to Equity Markets

Dai, Peng-Fei; Goodell, John W.; Huynh, Toan Luu Duc; … - 2022

Applying a GARCH-S analysis to a daily dataset of eight cryptocurrencies, along with seven equity market indices for advanced countries, and seven equity market indices for emerging economies, for June 2018–June 2021, we find that cryptocurrencies have higher probability of crash risk than...

Persistent link: https://www.econbiz.de/10013308809