Chi Keung Marco Lau
Other affiliations: University of Huddersfield, Northumbria University, Zirve University ...read more
Bio: Chi Keung Marco Lau is an academic researcher from Teesside University. The author has contributed to research in topics: Volatility (finance) & Economics. The author has an hindex of 24, co-authored 103 publications receiving 2269 citations. Previous affiliations of Chi Keung Marco Lau include University of Huddersfield & Northumbria University.
TL;DR: In this article, the prediction power of the economic policy uncertainty (EPU) index on the daily Bitcoin returns was analyzed using the Bayesian Graphical Structural Vector Autoregressive model as well as the Ordinary Least Squares and the Quantile-on-Quantile Regression estimations.
Abstract: This paper analyzes the prediction power of the economic policy uncertainty (EPU) index on the daily Bitcoin returns. Using the Bayesian Graphical Structural Vector Autoregressive model as well as the Ordinary Least Squares and the Quantile-on-Quantile Regression estimations, the paper finds that the EPU has a predictive power on Bitcoin returns. Fundamentally, Bitcoin returns are negatively associated with the EPU. However, the effect is positive and significant at both lower and higher quantiles of Bitcoin returns and the EPU. In the light of these findings, the paper concludes that Bitcoin can serve as a hedging tool against uncertainty.
TL;DR: In this paper, the authors apply a set of measures developed by Diebold and Yilmaz (2012) to examine connectedness via return and volatility spillovers across six large cryptocurrencies from August 7, 2015 to February 22, 2018.
Abstract: This study applies a set of measures developed by Diebold and Yilmaz (2012, 2016) to examine connectedness via return and volatility spillovers across six large cryptocurrencies from August 7, 2015 to February 22, 2018. Regardless of the sign of returns, the results show that Litecoin and Bitcoin are at the centre of the connected network of returns. This finding implies that return shocks arising from these two cryptocurrencies have the most effect on other cryptocurrencies. Further analysis shows that connectedness via negative returns is largely stronger than via positive ones. Ripple and Ethereum are the top recipients of negative-return shocks, whereas Ethereum and Dash exhibit very weak connectedness via positive returns. Regarding volatility spillovers, Bitcoin is the most influential, followed by Litecoin; Dash exhibits a very weak connectedness, suggesting its utility for hedging and diversification opportunities in the cryptocurrency market. Taken together, results imply that the importance of each cryptocurrency in return and volatility connectedness is not necessarily related to its market size. Further analyses reveal that trading volume and global financial and uncertainty effects as well as the investment-substitution effect are determinants of net directional spillovers. Interestingly, higher gold prices and US uncertainty increase the net directional negative-return spillovers, whereas they do the opposite for net directional positive-return spillovers. Furthermore, gold prices exhibit a negative sign for net directional-volatility spillovers, whereas US uncertainty shows a positive sign. Economic actors interested in the cryptocurrency market can build on our findings when weighing their decisions.
TL;DR: In this article, the authors introduced a growth model that considers the indicator of economic complexity as a measure of capabilities for exporting the high value-added (sophisticated) products.
Abstract: This paper introduces a growth model that considers the indicator of economic complexity as a measure of capabilities for exporting the high value-added (sophisticated) products. Empirically, the paper analyzes the effects of the renewable and the non-renewable energy consumption on the economic growth in the panel data of 29 Organization for Economic Co-operation and Development (OECD) countries for the period from 1990 to 2013. For this purpose, the paper considers the panel autoregressive distributed lag (ARDL) and the panel quantile regression (PQR) estimations. The paper finds that not only the economic complexity, but also both the non-renewable and the renewable energy consumption are positively associated with a higher rate of economic growth.
TL;DR: In this paper, the predictive power of global geopolitical risks (GPR) index on daily returns and price volatility of Bitcoin over the period July 18, 2010-May 31, 2018 was investigated.
Abstract: This paper investigates the predictive power of global geopolitical risks (GPR) index on daily returns and price volatility of Bitcoin over the period July 18, 2010–May 31, 2018. Considering Bayesian Graphical Structural Vector Autoregressive (BSGVAR) technique, we find that GPR has a predictive power on both returns and volatility of Bitcoin. The results of the Ordinary Least Squares (OLS) estimations show that price volatility and returns of Bitcoin are positively and negatively related to the GPR, respectively. However, findings from the Quantile-on-Quantile (QQ) estimations state that the effects are positive at the higher quantiles of both the GPR as well as the price volatility and the returns of Bitcoin. Therefore, we conclude that Bitcoin can be considered as a hedging tool against global geopolitical risks.
TL;DR: In this article, the authors provide empirical evidence on the patterns of intra-and inter-regional transmission of information across 10 developed and 11 emerging markets in Asia, the Americas, Europe and Africa using both stock indices and stock index futures.
Abstract: We provide empirical evidence on the patterns of intra- and inter-regional transmission of information across 10 developed and 11 emerging markets in Asia, the Americas, Europe and Africa using both stock indices and stock index futures. The main transmission channels are examined in the period from 2005 to 2014 through the analysis of return and volatility spillovers around the most recent crises based on the generalized vector autoregressive framework. Our findings demonstrate that markets are more susceptible to domestic and region-specific volatility shocks than to inter-regional contagion. A novel result reported in our study is a difference in patterns of international signals transmission between models employing indices and futures data. We conclude that futures data provide more efficient channels of information transmission because the magnitude of return and volatility spillovers across futures is larger than across indices. Our findings are relevant to practitioners, such as stock market investors, as well as policy makers and can help enhance their understanding of financial markets interconnectedness.
01 Jan 1998
01 Jan 2009
01 Jan 2008
TL;DR: The Future of Drylands (FOD) conference as mentioned in this paper is an international scientific conference dedicated to science, education, culture and communication in arid and semi-arid zones.
Abstract: On behalf of Mr. Koichiro Matsuura, Director-General of UNESCO, it is my great pleasure to welcome you all to this international scientific conference. Drylands are often considered fragile ecosystems, yet they have a remarkable resilience to stress. They are home to unique and well-adapted plant and animal species that we need to conserve. Some of the world’s greatest cultures and belief systems have originated in drylands. On the other hand, desertification and land degradation in drylands often result in poverty and cause environmental refugees to abandon their homes. These problems can only be addressed in a holistic manner, based on sound scientific research and findings. Solutions to the problems of dryland degradation need to be communicated as widely as possible through education at all levels. These are many reasons why UNESCO – within its mandate of science, education, culture and communication – took the intiative to organize this conference. And we are glad that so many partners have responded to our call. UNESCO considers this conference as its main contribution to the observance of the International Year of Deserts and Desertification in 2006. We have deliberately chosen the title ‘The Future of Drylands’ as we feel it is time to redefine our priorities for science, education and governance in the drylands based on 50 years of scientific research in arid and semi-arid zones. In fact UNESCO has one of the longest traditions, within the UN system, of addressing dryland problems from an interdisciplinary, scientific point of view. In 1955, the ‘International Arid Land Meetings’ were held in Socorro, New Mexico (USA). They were organized by the American Association for the Advancement of Science (AAAS), sponsored by UNESCO and supported by the Rockefeller Foundation. One important output of the International Arid Land Meetings was a book entitled The Future of Drylands, edited by Gilbert F. White and published in
TL;DR: In this article, the authors analyse the relationship between three popular cryptocurrencies and a variety of other financial assets and find evidence of the relative isolation of these assets from the financial and economic assets.
Abstract: We analyse, in the time and frequency domains, the relationships between three popular cryptocurrencies and a variety of other financial assets. We find evidence of the relative isolation of these assets from the financial and economic assets. Our results show that cryptocurrencies may offer diversification benefits for investors with short investment horizons. Time variation in the linkages reflects external economic and financial shocks.
TL;DR: In this article, the authors analyzed the connectedness between the recent spread of COVID-19, oil price volatility shock, the stock market, geopolitical risk and economic policy uncertainty in the US within a time-frequency framework.
Abstract: In this paper, we analyze the connectedness between the recent spread of COVID-19, oil price volatility shock, the stock market, geopolitical risk and economic policy uncertainty in the US within a time-frequency framework. The coherence wavelet method and the wavelet-based Granger causality tests applied to US recent daily data unveil the unprecedented impact of COVID-19 and oil price shocks on the geopolitical risk levels, economic policy uncertainty and stock market volatility over the low frequency bands. The effect of the COVID-19 on the geopolitical risk substantially higher than on the US economic uncertainty. The COVID-19 risk is perceived differently over the short and the long-run and may be firstly viewed as an economic crisis. Our study offers several urgent prominent implications and endorsements for policymakers and asset managers.