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Sam Agyei-Ampomah

Bio: Sam Agyei-Ampomah is an academic researcher from Cranfield University. The author has contributed to research in topics: Investment strategy & Portfolio. The author has an hindex of 8, co-authored 24 publications receiving 346 citations. Previous affiliations of Sam Agyei-Ampomah include Aston University & Ghana Institute of Management and Public Administration.

Papers
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Journal ArticleDOI
TL;DR: This article showed that industrial metals, especially copper, tend to outperform gold and other precious metals as hedging vehicles and safe haven assets against losses in sovereign bonds and that copper is the best performing metal in the period immediately after negative bond price shocks.
Abstract: It is a commonly held view that gold protects investors’ wealth in the event of negative economic conditions. In this study, we test whether other metals offer similar or better investment opportunities in periods of market turmoil. Using a sample of 13 sovereign bonds, we show that other precious metals, palladium in particular, offer investors greater compensation for their bond market losses than gold. We also find that industrial metals, especially copper, tend to outperform gold and other precious metals as hedging vehicles and safe haven assets against losses in sovereign bonds. However, the outcome of the hedge and safe haven properties is not always consistent across the different bonds. Finally, our analysis suggests that copper is the best performing metal in the period immediately after negative bond price shocks.

113 citations

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TL;DR: In this paper, the authors examined the nature and extent of linkages between African stock markets and the relationships between these markets and that of regional and global indices and found that the local index volatility is largely country specific, which can be diversified away by cross-country diversification.
Abstract: Purpose The purpose of this paper is to examine the nature and extent of linkages between African stock markets and the relationships between these markets and that of regional and global indices. Design/methodology/approach The monthly returns of S&P/IFC return indices for ten African countries over the period 1998-2007 were analyzed. The index return volatility was decomposed into three components following Barari and the contributions of regional and global market movements to the local index volatility were estimated. Findings It was found that African stock markets are still segmented from global markets in spite of recent structural adjustments and that the local index volatility is largely country-specific, which can be diversified away by cross-country diversification. Originality/value This paper provides further evidence on stock market integration in emerging markets. The finding suggests that African stock markets, with the exception of South Africa, are still segmented from global markets. Thus, recent structural adjustment and liberalisation policies have not reduced stock market segmentation in Africa. This paper therefore has implications for policy makers and international investors.

66 citations

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TL;DR: In this article, the authors examined the post-cost profitability of momentum trading strategies in the UK over the period 1988-2003 and provided direct evidence on stock concentration, turnover and trading cost associated with the strategy.
Abstract: This paper examines the post-cost profitability of momentum trading strategies in the UK over the period 1988‐2003 and provides direct evidence on stock concentration, turnover and trading cost associated with the strategy. We find that after factoring out transaction costs the profitability of the momentum strategy disappears for shorter horizons but remains for longer horizons. Indeed, for ranking and holding periods up to 6-months, profitable momentum returns would not be available to most average investors as the cost of implementation outweighs the possible returns. However, we find post-cost profitability for ranking and/or holding periods beyond 6 months as portfolio turnover and its associated cost reduces. We find similar results for a sub-sample of relatively large and liquid stocks.

48 citations

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TL;DR: This article used a sample of 269 UK non-financial firms to study the sensitivity of foreign exchange exposure, and its determinants, to the different estimation methods and showed that the determinants of currency exposure are model-dependent.

43 citations


Cited by
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Journal ArticleDOI
TL;DR: This paper investigated the return relations between major asset classes using data from both the US and the UK and found that gold can be regarded as a safe haven against exchange rates in both countries, highlighting its monetary asset role.
Abstract: In this paper we investigate the return relations between major asset classes using data from both the US and the UK. Our first objective is to examine time variation in conditional correlations to determine when these variables act as a hedge against each other. Secondly, we provide evidence on whether the dependencies between the asset classes differ during extreme price movements by using quantile regressions. This analysis provides evidence on whether these asset classes can be considered as safe havens for each other. A noteworthy finding of our study is that gold can be regarded as a safe haven against exchange rates in both countries, highlighting its monetary asset role

416 citations

01 Jan 2001
TL;DR: In this article, the authors investigated the dynamic causal linkages among nine major international stock price indexes and found significant interdependencies between the established OECD and the Asian markets, and also the leadership of the US and UK markets over the short and long run.
Abstract: This paper investigates the dynamic causal linkages amongst nine major international stock price indexes. In order to gauge the causal transmission patterns we employ very recent methods of: (i) vector error-correction modeling and (ii) level VAR modeling with possibly integrated and cointegrated processes, advocated by: (i) Toda and Phillips (Econometrica, 61 (1993) 1367) and (ii) Toda and Yamamoto (J. Econometrics, 66 (1995) 225), respectively. The paper illustrates how such methods may be appropriately augmented in a compatible fashion to unearth previously unfounded linkage properties inherent amongst a system of stock price indexes. In particular, we demonstrate that previous research, by using ordinary difference VARs, ignored an important component of linkages displayed purely over the long run. This untapped evidence essentially provides robust and very useful information to international financial analysts and investors. At a substantive level, results of this study tend to support the contention offered by several studies in the literature of significant interdependencies between the established OECD and the Asian markets, and also the leadership of the US and UK markets over the short and long run. The levels VAR, however, illustrate the Japanese market's influence as an additional long run leader. Findings seem to be plausible given that these three markets (US, UK and Japan) have consistently contributed over 75% of global stock market capitalization over the major part of the sample under consideration. At a methodological level, this analysis also provides a primer for the wealth of applied financial econometric research focusing on dynamic causal inference which involve systems containing possibly integrated and cointegrated processes.

269 citations

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TL;DR: In this article, the authors used case study material on the risk management control system at Birmingham City Council to extend existing theory by developing a contingency theory for the public sector, which demonstrates that whilst the structure of the control system fits a generic model, the operational details indicate that controls are contingent upon three core variables, central government policies, information and communication technology and organisational size.

262 citations

Journal ArticleDOI
TL;DR: This article examined the role of gold as a hedge or safe-haven asset in different phases of the COVID-19 pandemic crisis, corresponding to the timing of fiscal and monetary stimuli to support the weakened economy.

216 citations