Updated on 2024/11/01

写真a

 
CAI Xiaojing
 
Organization
Faculty of Humanities and Social Sciences Associate Professor
Position
Associate Professor
External link

Degree

  • 博士(経済学) ( 神戸大学 )

  • 修士(経済学) ( 神戸大学 )

Research Areas

  • Humanities & Social Sciences / Economic statistics

  • Humanities & Social Sciences / Money and finance

Education

  • 神戸大学 大学院経済学研究科博士課程後期課程修了    

    - 2017.3

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Papers

  • The interactive CNY-CNH relationship: A wavelet analysis Reviewed

    Shuairu Tian, Xiang Gao, Xiaojing Cai

    Journal of International Money and Finance   133   102829   2023.5

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    Publisher:Elsevier BV  

    DOI: 10.1016/j.jimonfin.2023.102829

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  • Currency portfolios and global foreign exchange ambiguity Reviewed

    Takao Asano, Xiaojing Cai, Ryuta Sakemoto

    Finance Research Letters   65   105534 - 105534   2024.7

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    Publishing type:Research paper (scientific journal)   Publisher:Elsevier BV  

    DOI: 10.1016/j.frl.2024.105534

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  • Features and Evolution of Global Energy Trade Patterns from the Perspective of Complex Networks Reviewed

    Yingnan Cong, Yufei Hou, Jiaming Jiang, Shuangzi Chen, Xiaojing Cai

    Energies   16 ( 15 )   5677 - 5677   2023.7

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    Authorship:Corresponding author   Language:English   Publishing type:Research paper (scientific journal)   Publisher:MDPI AG  

    As an integral part of economic trade, energy trade is crucial to international dynamics and national interests. In this study, an international energy trade network is constructed by abstracting countries as nodes and representing energy trade relations as edges. A variety of indicators are designed in terms of networks, nodes, bilaterals, and communities to analyze the temporal and spatial evolution of the global energy trade network from 2001 to 2020. The results indicate that network density and strength have been steadily increasing since the beginning of the 21st century. It is observed that the position of the United States as the core of the international energy market is being impacted by emerging developing countries, thus affecting the existing trade balance based on topological analysis. The weighted analysis of bilateral relations demonstrates that emerging countries such as China, Brazil, and Saudi Arabia are pursuing closer cooperation. The community analysis reveals that an increasing number of countries possess strong energy trade capabilities, resulting in a corresponding increase in energy trade volumes.

    DOI: 10.3390/en16155677

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  • A Multiple Timescales Conditional Causal Analysis on the Carbon-Energy Relationship: Evidence from European and Emerging Markets Reviewed

    Lu Yang, Shigeyuki Hamori, Xiaojing Cai

    EMERGING MARKETS FINANCE AND TRADE   59 ( 8 )   2775 - 2785   2023.6

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    Authorship:Corresponding author   Language:English   Publishing type:Research paper (scientific journal)   Publisher:ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD  

    This study aims to investigate the nexus between European and emerging markets in terms of multiple-timescale conditional analysis of the carbon-energy relationship. The findings identified the price movements of fossil fuels, Granger-caused movements in the carbon price, and movements in the carbon price Granger-caused movements in the electricity price. Furthermore, it was determined that in the long term, the crude oil and gas markets may increase and the coal market may decrease their causal influence on the carbon market. Finally, the role of the carbon market in the conditional Granger-causal network was observed to weaken during Phase III of the European Union Emissions Trading Scheme. These findings imply asymmetric information spillover between the European and emerging markets, particularly in the long term.

    DOI: 10.1080/1540496X.2023.2192346

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  • Risk spillover from international financial markets and China?s macro-economy: A MIDAS-CoVaR-QR model Reviewed

    Lu Yang, Xue Cui, Lei Yang, Shigeyuki Hamori, Xiaojing Cai

    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE   84   55 - 69   2023.3

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    Authorship:Corresponding author   Language:English   Publisher:ELSEVIER  

    The article investigates how risk spillover from the global financial market affects real economic activity in China. We develop a MIDAS-CoVaR-QR (Mixed Data Sampling-Conditional Value at Risk-Quantile Regression) approach that combines different frequencies of data to demonstrate the possibility of risk spillover from outside markets and forecast domestic macroeconomic shocks. Further, we provide evidence that risk spillovers can forecast economic shocks in China, and their predictive power increases as the time scales increase. The empirical findings also demonstrate that risk spillovers from the global stock and commodity markets have a strong negative effect on future macro-economy. Our conclusions provide meaningful information for government and policy-makers who must consider risk spillovers from global financial markets as an important factor in creating macroeconomic policies, and in adjusting these policies across different time horizons.

    DOI: 10.1016/j.iref.2022.11.006

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  • Time-Varying Ambiguity Shocks and Business Cycles

    Takao Asano, Xiaojing Cai, Ryuta Sakemoto

    SSRN Electronic Journal   2023

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    Publishing type:Research paper (scientific journal)   Publisher:Elsevier BV  

    DOI: 10.2139/ssrn.4547772

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  • Does ESG investment reduce carbon emissions in China? Reviewed

    Yingnan Cong, Chen Zhu, Yufei Hou, Shuairu Tian, Xiaojing Cai

    Frontiers in Environmental Science   10   2022.10

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    Authorship:Corresponding author   Language:English   Publishing type:Research paper (scientific journal)   Publisher:Frontiers Media SA  

    This study explores the relationship between ESG investments and carbon emissions in China. Our results show that 1% increase in environmental investments would cause 0.246% decrease in CO2 emissions and 0.558% decrease in carbon emission intensity. The impact of ESG investment is heterogeneous across the developed and underdeveloped regions. Environmental investments in the advanced eastern region have significantly improved carbon productivity. In contrast, environmental investments in the central and western regions significantly reduced carbon emissions, but they have little impact on carbon productivity.

    DOI: 10.3389/fenvs.2022.977049

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  • El Nino and Commodity Prices: New Findings From Partial Wavelet Coherence Analysis Reviewed

    Xiaojing Cai, Ryuta Sakemoto

    FRONTIERS IN ENVIRONMENTAL SCIENCE   10   893879   2022.5

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    Authorship:Corresponding author   Language:English   Publisher:FRONTIERS MEDIA SA  

    This study investigates whether the El Nino Southern Oscillation (ENSO) affects primary commodity prices over time. We employ a wavelet approach that allows us to disentangle the time and frequency domains and to uncover time-varying nonlinear relationships at different frequency levels. Moreover, we adopt partial wavelet coherence (PWC) and eliminate macroeconomic effects on commodity prices. We observe that ENSO is associated with agricultural, food, and raw material commodity prices at lower frequencies of 32-64 and 64-128 months. These results are stronger from 2000 onward, which are not observed using a conventional wavelet method. Our results suggest a recent strong relationship between ENSO and commodity prices, which has important implications for policymakers regarding climate change risk.

    DOI: 10.3389/fenvs.2022.893879

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  • COVID-19 and the forward-looking stock-bond return relationship Reviewed

    Xiaojing Cai, Yingnan Cong, Ryuta Sakemoto

    APPLIED ECONOMICS LETTERS   30 ( 3 )   297 - 301   2021.10

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    Language:English   Publisher:ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD  

    The COVID-19 pandemic has caused stock market crashes and collapse of economic activities in many countries. As a result, many investors changed their stock and bond market expectations. This study investigates whether the number of COVID-19 confirmed cases influences the forward-looking stock-bond correlations. We apply a quantile approach that is beneficial to explore non-linear relationships between the forward-looking stock-bond return correlations and the COVID-19 cases. The correlations are estimated using the DCC-GARCH model for 21 financial markets from three regions (North American, Asia-Pacific, and Europe). We present empirical evidence that there are heterogeneous responses across regions and countries. Specifically, the negative stock-bond correlations weaken as the number of COVID-19 cases in the regions of North America (the U.S. and Canada) and Asia-Pacific (Australia and Japan) increases. Our results suggest that the number of COVID-19 cases is not important. Investors sell risky stocks and buy safe Treasury bonds at the beginning of the pandemic, while they adjust their portfolios risk levels when they obtain more information. Our result also highlights that this pattern is not observed in European countries.

    DOI: 10.1080/13504851.2021.1985060

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    Other Link: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-19K13738/

  • Co-movements in commodity markets and implications in diversification benefits Reviewed

    Xiao Jing Cai, Zheng Fang, Youngho Chang, Shuairu Tian, Shigeyuki Hamori

    EMPIRICAL ECONOMICS   58 ( 2 )   393 - 425   2020.2

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    Language:English   Publishing type:Research paper (scientific journal)   Publisher:PHYSICA-VERLAG GMBH & CO  

    This study examines the co-movement and causality relationship between prices of crude oil, precious metals, and agricultural commodities. We use a novel approach called wavelet coherence analysis, which allows the measurement of co-movements in the time-frequency space based on the daily prices of commodities. We decompose data from September 1986 to September 2017 into 12 levels and 5 subperiods to find more generalized and convincing results. We confirm that commodity prices are in-phase and co-move. Particularly, the coherence is the largest in the long term and rises sharply in the mid-term during the crisis period. The heterogeneous directions of arrows provide strong evidence that the causality relationship between commodity prices varies over time for different frequencies. We find that the mixed commodities portfolio can provide diversification benefits in the mid-term horizons. The findings of this study can guide investors who want to benefit from diversification while investing in commodity markets.

    DOI: 10.1007/s00181-018-1551-3

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  • Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management Reviewed

    Xiaojing Cai, Shigeyuki Hamori, Lu Yang, Shuairu Tian

    Energies   13 ( 2 )   294 - 294   2020.1

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    Language:English   Publishing type:Research paper (scientific journal)   Publisher:{MDPI} {AG}  

    © 2020 by the authors. This paper examines the dynamic dependence structure of crude oil and East Asian stock markets at multiple frequencies using wavelet and copulas. We also investigate risk management implications and diversification benefits of oil-stock portfolios by calculating and comparing risk and tail risk hedging performance. Our results provide strong evidence of time-varying dependence and asymmetric tail dependence between crude oil and East Asian stock markets at different frequencies. The level and fluctuation of their dependencies increase as time scale increases. Furthermore, we find the time-varying hedging benefits differ at investment horizons and reduced over the long run. Our results suggest that crude oil could be used as a hedge and safe haven against East Asian stock markets, especially in the short- and mid-term.

    DOI: 10.3390/en13020294

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    Other Link: http://www.lib.kobe-u.ac.jp/handle_kernel/90007002

  • Moving average threshold heterogeneous autoregressive (MAT-HAR) models Reviewed

    Kaiji Motegi, Xiaojing Cai, Shigeyuki Hamori, Haifeng Xu

    Journal of Forecasting   39 ( 7 )   1035 - 1042   2020

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    Language:English   Publisher:WILEY  

    © 2020 John Wiley & Sons, Ltd. We propose moving average threshold heterogeneous autoregressive (MAT-HAR) models as a novel combination of heterogeneous autoregression (HAR) and threshold autoregression (TAR). The MAT-HAR has multiple groups of lags of a target series, and a threshold term can appear in each group. The threshold is a moving average of lagged target series, which guarantees time-varying thresholds and simple estimation via least squares. We show via Monte Carlo simulations that the MAT-HAR has sharp in-sample and out-of-sample performance. An empirical application on the industrial production of Japan suggests that significant threshold effects exist, and the MAT-HAR has a higher forecast accuracy than the HAR.

    DOI: 10.1002/for.2671

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    Other Link: https://onlinelibrary.wiley.com/doi/full-xml/10.1002/for.2671

  • Can We Forecast Daily Oil Futures Prices? Experimental Evidence from Convolutional Neural Networks Reviewed

    zhaojie luo, Xiaojing Cai, Katsuyuki Tanaka, Tetsuya Takiguchi, Takuji Kinkyo, Shigeyuki Hamori

    Journal of Risk and Financial Management   12 ( 1 )   9 - 9   2019.1

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    Language:English   Publishing type:Research paper (scientific journal)   Publisher:{MDPI} {AG}  

    This paper proposes a novel approach, based on convolutional neural network (CNN) models, that forecasts the short-term crude oil futures prices with good performance. In our study, we confirm that artificial intelligence (AI)-based deep-learning approaches can provide more accurate forecasts of short-term oil prices than those of the benchmark Naive Forecast (NF) model. We also provide strong evidence that CNN models with matrix inputs are better at short-term prediction than neural network (NN) models with single-vector input, which indicates that strengthening the dependence of inputs and providing more useful information can improve short-term forecasting performance.

    DOI: 10.3390/jrfm12010009

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  • Bank Credit and Housing Prices in China: Evidence from a TVP-VAR Model with Stochastic Volatility Reviewed

    Xie He, Xiao-Jing Cai, Shigeyuki Hamori

    Journal of Risk and Financial Management   11 ( 4 )   1 - 16   2018.12

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    Language:English   Publishing type:Research paper (scientific journal)   Publisher:MDPI  

    Housing prices in China have been rising rapidly in recent years, which is a cause for concern for China's housing market. Does bank credit influence housing prices? If so, how? Will the housing prices affect the bank credit system if the market collapses? We aim to study the dynamic relationship between housing prices and bank credit in China from the second quarter of 2005 to the fourth quarter of 2017 by using a time-varying parameter vector autoregression (VAR) model with stochastic volatility. Furthermore, we study the relationships between housing prices and housing loans on the demand side and real estate development loans on the supply side, separately. Finally, we obtain several findings. First, the relationship between housing prices and bank credit shows significant time-varying features; second, the mutual effects of housing prices and bank credit vary between the demand side and supply side; third, influences of housing prices on all kinds of bank credit are stronger than influences in the opposite direction.

    DOI: 10.3390/jrfm11040090

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  • Modeling the Dependence Structure of Share Prices among Three Chinese City Banks Reviewed

    Guizhou Liu, Xiao-Jing Cai, Shigeyuki Hamori

    Journal of Risk and Financial Management   11 ( 4 )   57 - 57   2018.9

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    Language:English   Publishing type:Research paper (scientific journal)   Publisher:{MDPI} {AG}  

    We study the dependence structure of share price returns among the Beijing Bank, Ningbo Bank, and Nanjing Bank using copula models. We use the normal, Student's t, rotated Gumbel, and symmetrized Joe-Clayton (SJC) copula models to estimate the underlying dependence structure in two periods: one covering the global financial crisis and the other covering the domestic share market crash in China. We show that Beijing Bank is less dependent on the other two city banks than Nanjing Bank, which is dependent on the other two in share price extreme returns. We also observe a major decrease of dependency from 2007 to 2018 in three one-to-one dependence structures. Interestingly, contrary to recent literatures, Ningbo Bank and Nanjing Bank tend to be more dependent on each other in positive returns than in negative returns during the past decade. We also show the dynamic dependence structures among three city banks using time-varying copula.

    DOI: 10.3390/jrfm11040057

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  • What determines the long-term correlation between oil prices and exchange rates? Reviewed

    Lu Yang, Xiao Jing Cai, Shigeyuki Hamori

    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE   44   140 - 152   2018.4

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    Language:English   Publishing type:Research paper (scientific journal)   Publisher:ELSEVIER SCIENCE INC  

    In this study, we obtain the long-term correlation between oil prices and exchange rates by employing the dynamic conditional correlation-mixed data sampling (DCC-MIDAS) model. We then identify the factors that influence the long-term correlation using panel data analysis. We find that the long-run correlations between oil prices and exchange rates are negative for all oil exchange rate markets except Japan. We also find that both inflation and term spread have negative effects, while the risk-free interest rate has a positive effect on the long-term correlation between oil prices and exchange rates. Importantly, the empirical results show that an increase in inflation will significantly damage the real value of the currency itself.

    DOI: 10.1016/j.najef.2017.12.003

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  • Oil Price Forecasting Using Supervised GANs with Continuous Wavelet Transform Features Reviewed

    Zhaojie Luo, Jinhui Chen, Xiao Jing Cai, Katsuyuki Tanaka, Tetsuya Takiguchi, Takuji Kinkyo, Shigeyuki Hamori

    2018 24TH INTERNATIONAL CONFERENCE ON PATTERN RECOGNITION (ICPR)   830 - 835   2018

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    Language:English   Publishing type:Research paper (international conference proceedings)   Publisher:IEEE  

    This paper proposes a novel approach based on a supervised Generative Adversarial Networks (GANs) model that forecasts the crude oil prices with Adaptive Scales Continuous Wavelet Transform (AS-CWT). In our study, we first confirmed that the possibility of using Continuous Wavelet Transform (CWT) to decompose an oil price series into various components, such as the sequence of days, weeks, months and years, so that the decomposed new time series can be used as inputs for a deep-learning (DL) training model. Second, we find that applying the proposed adaptive scales in the CWT method can strengthen the dependence of inputs and provide more useful information, which can improve the forecasting performance. Finally, we use the supervised GANs model as a training model, which can provide more accurate forecasts than those of the naive forecast (NF) model and other nonlinear models, such as Neural Networks (NNs), and Deep Belief Networks (DBNs) when dealing with a limited amount of oil prices data.

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  • Interdependence between oil and East Asian stock markets: Evidence from wavelet coherence analysis Reviewed

    Xiao Jing Cai, Shuairu Tian, Nannan Yuan, Shigeyuki Hamori

    JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY   48   206 - 223   2017.5

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    Language:English   Publishing type:Research paper (scientific journal)   Publisher:ELSEVIER SCIENCE BV  

    This paper examines the interdependence and causality relationship between oil and East Asian stock returns from 1992 to 2015 and provides a fresh perspective on portfolio diversification benefits using wavelet coherence analysis. We find that oil prices and the East Asian stock market move in phase, and oil prices lead to stock returns in the long run. We provide evidence that oil can reduce the risk in the short run, and the degree of risk reduction of oil-stock portfolios decreases over the long term. This study provides information that can guide investors in diversification efforts while investing in oil and East Asian stock markets. (C) 2017 Elsevier B.V. All rights reserved.

    DOI: 10.1016/j.intfin.2017.02.001

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  • Does the crude oil price influence the exchange rates of oil importing and oil-exporting countries differently? A wavelet coherence analysis Reviewed

    Lu Yang, Xiao Jing Cai, Shigeyuki Hamori

    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE   49   536 - 547   2017.5

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    Language:English   Publishing type:Research paper (scientific journal)   Publisher:ELSEVIER SCIENCE BV  

    We contribute to the literature on the co-movement between the crude oil price and the exchange rate markets by studying their dynamics in the time and frequency domain. Employing the Wavelet coherence framework, we find that the degree of co-movement between the crude oil price and the exchange rates deviates over time. Additionally, we find strong but not homogenous links around the year 2008 for all the countries included in the study and from 2005 onwards for the oil-exporting countries. However, the strong interdependence area is limited for the oil-importing countries. Moreover, we observe a negative relationship between the returns of the crude oil price and the exchange rates for the oil-exporting countries, while the relationships for the oil-importing countries are uncertain. Our results present new and interesting implications for investors and policy makers.

    DOI: 10.1016/j.iref.2017.03.015

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  • Dynamic correlation and equicorrelation analysis of global financial turmoil: evidence from emerging East Asian stock markets Reviewed

    Xiao Jing Cai, Shuairu Tian, Shigeyuki Hamori

    APPLIED ECONOMICS   48 ( 40 )   3789 - 3803   2016.8

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    Language:English   Publishing type:Research paper (scientific journal)   Publisher:ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD  

    This study investigates the dynamic conditional correlations (DCCs) between eight emerging East Asian stock markets and the US stock market and analyses the dynamic equicorrelation among these nine stock markets. We find a significant increase in the conditional correlations and equicorrelation in the first phase of the global financial crisis. We refer to this finding as contagion from the US stock market to the emerging East Asian markets. We also find an additional significant process of increasing correlations and equicorrelation (herding) in the second phase of the global financial crisis. Further, we employ two new models, namely DCCX-MGARCH (a DCC Multivariate GARCH model with exogenous variables) and DECOX-MGARCH (a dynamic equicorrelation multivariate GARCH model with exogenous variables), to identify the channels of contagion. We find that an increase in the VIX Index increases the conditional correlations and equicorrelation, while increases in TED spreads decrease the conditional correlations of six emerging East Asian countries with the USA. We compare the accuracy of the conditional correlation estimates of the DCC and DCCX models (or DECO and DECOX models) by constructing a loss function. We find that the DCCX (DECOX) model provides more accurate conditional correlation estimates than the DCC (DECO) model by extracting additional information from exogenous variables.

    DOI: 10.1080/00036846.2016.1145349

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  • Interdependence of foreign exchange markets: A wavelet coherence analysis Reviewed

    Lu Yang, Xiao Jing Cai, Huimin Zhang, Shigeyuki Hamori

    ECONOMIC MODELLING   55   6 - 14   2016.6

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    Language:English   Publishing type:Research paper (scientific journal)   Publisher:ELSEVIER SCIENCE BV  

    Based on the wavelet decomposition approach, we study co-movement among foreign exchange markets using the returns of exchange rates (GBP/USD, EUR/USD, and JPY/USD). We focus on the interdependence among returns of exchange rates during the recent global financial crisis and European debt crisis. We use a wavelet analysis because of its ability to decompose signals into high and low frequencies. This approach allows us to study shorter time periods independently of longer time periods. The results reveal strong interdependence between the euro and pound sterling at all frequency bands of scale over the sample period. With regard to the yen pound pairwise, covariation is localized at high scales. Further, we find that interdependence is more pronounced during crises. (c) 2016 Elsevier B.V. All rights reserved.

    DOI: 10.1016/j.econmod.2016.01.022

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  • Business cycle volatility and hot money in emerging East Asian markets Reviewed

    Xiaojing Cai, Shigeyuki Hamori

    Financial Linkages, Remittances, and Resource Dependence in East Asia   59 - 80   2016.2

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    Publishing type:Part of collection (book)   Publisher:Financial Linkages, Remittances, and Resource Dependence in East Asia  

    DOI: 10.1142/9789814713405_0004

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    Other Link: http://orcid.org/0000-0003-1498-0188

  • Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas Reviewed

    Lu Yang, Xiao Jing Cai, Mengling Li, Shigeyuki Hamori

    ECONOMIC MODELLING   51   308 - 314   2015.12

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    Language:English   Publishing type:Research paper (scientific journal)   Publisher:ELSEVIER SCIENCE BV  

    This study investigates dependence structures among international stock markets, including developed, emerging, and frontier markets, using the hierarchical Archimedean copula model. Empirical results indicate that emerging markets show the strongest dependence with European markets. Frontier markets show the weakest dependence with other market. After the global financial crisis, the lower dependence structure among the international stock markets has changed. Negative news have a larger impact on the degree of dependence than positive news. Contagion effect is observed in both the global financial crisis and the EU debt crisis. (C) 2015 Elsevier B.V. All rights reserved.

    DOI: 10.1016/j.econmod.2015.08.017

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Research Projects

  • Risk spillover from international financial markets and macroeconomic activities

    Grant number:19K13738  2019.04 - 2023.03

    日本学術振興会  科学研究費助成事業  若手研究

    蔡 暁静

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    Grant amount:\4290000 ( Direct expense: \3300000 、 Indirect expense:\990000 )

    The article investigates how risk spillover from the global financial market affects real economic activity in China. We develop a MIDAS-CoVaR-QR (Mixed Data Sampling-Conditional Value at Risk-Quantile Regression) approach that combines different frequencies of data to demonstrate the possibility of risk spillover from outside markets and forecast domestic macroeconomic shocks. Further, we provide evidence that risk spillovers can forecast economic shocks in China, and their predictive power increases as the time scales increase. The empirical findings also demonstrate that risk spillovers from the global stock and commodity markets have a strong negative effect on future macro-economy. Our conclusions provide meaningful information for government and policy-makers.

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  • Multi-horizon dependence between oil, gold and East Asian stock markets and implications in risk management

    Grant number:18H05682  2018.08 - 2019.03

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research  Grant-in-Aid for Research Activity Start-up

    Cai Xiaojing, Yang Lu, Hamori Shigeyuki

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    Grant amount:\1560000 ( Direct expense: \1200000 、 Indirect expense:\360000 )

    This paper investigates the time-varying dependence and tail dependence between stock and the prices of oil and gold across different time scales with East Asian stock markets. We also assess the risk and downside risk hedging benefits of oil and gold to East Asian stock markets.
    Our results provide strong evidence of time-varying dependence and tail dependence between oil (gold) and stock markets at different time scales.Specifically, the oil (gold)-stock dependence and tail dependence increase as the time-scale increases.
    Based on the analysis of the risk reduction of Portfolio Variance and Expected Shortfall, we investigate the risk and tail risk hedging performance of oil and gold to stock portfolios. We find strong evidence that the hedging effectiveness vary over time and differ in terms of investment horizons. Specifically, all PV and ES risk reduction values are bigger than zero, suggesting that both oil and gold are useful in diversifying the East Asian stock portfolio.

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  • Challenge Seminar3(Division of Economic Theory and Policy) (2023academic year) Prophase  - その他

  • Graduation Research Seminar (2022academic year) 1st and 2nd semester  - その他

  • Graduation Research Seminar (2022academic year) 3rd and 4th semester  - その他

  • Seminar (2022academic year) 1st and 2nd semester  - 木7~8

  • Seminar (2022academic year) 3rd and 4th semester  - 木7~8

  • International Finance (2022academic year) Prophase  - 水2

  • International Finance (2022academic year) 3rd and 4th semester  - 水10

  • International Finance (2022academic year) special  - その他

  • International Finance (2022academic year) Prophase  - 水2

  • International Finance I (2022academic year) 1st and 2nd semester  - 木3~4

  • International Finance II (2022academic year) 3rd and 4th semester  - 木3~4

  • Seminar on International Finance (2022academic year) Late  - 月2

  • Seminar on International Finance 1 (2022academic year) Prophase  - その他

  • Seminar on International Finance 2 (2022academic year) special  - その他

  • Basic Seminar (2022academic year) Fourth semester  - 火7~8

  • Practical Studies of Economy and Management (2022academic year) 1st and 2nd semester  - 水5~6

  • Practical Studies of Economy and Management(Common Subject) (2022academic year) 1st and 2nd semester  - 水5~6

  • Challenge Seminar 1(Division of Economic Theory and Policy) (2022academic year) Prophase  - その他

  • Challenge Seminar 2(Division of Economic Theory and Policy) (2022academic year) Prophase  - その他

  • Graduation Research Seminar (2021academic year) 1st and 2nd semester  - その他

  • Graduation Research Seminar (2021academic year) 3rd and 4th semester  - その他

  • Seminar (2021academic year) 1st and 2nd semester  - 木7~8

  • Seminar (2021academic year) 3rd and 4th semester  - 月7~8

  • Basics of International Finance (2021academic year) Third semester  - 木3~4

  • International Finance (2021academic year) Prophase  - 水2

  • International Finance (2021academic year) 1st and 2nd semester  - 水10

  • International Finance (2021academic year) special  - その他

  • International Finance (2021academic year) Prophase  - 水2

  • International Finance I (2021academic year) 1st and 2nd semester  - 木5~6

  • International Finance II (2021academic year) 3rd and 4th semester  - 木5~6

  • International Finance II (2021academic year) 3rd and 4th semester  - 木5~6

  • Seminar on International Finance (2021academic year) Late  - 月2

  • Seminar on International Finance 1 (2021academic year) special  - その他

  • Seminar on International Finance 2 (2021academic year) special  - その他

  • Practical Studies of Economy and Management (2021academic year) 1st and 2nd semester  - 水5~6

  • Practical Studies of Economy and Management(Common Subject) (2021academic year) 1st and 2nd semester  - 水5~6

  • Graduation Research Seminar (2020academic year) 1st and 2nd semester  - その他

  • Graduation Research Seminar (2020academic year) 3rd and 4th semester  - その他

  • Seminar (2020academic year) 1st and 2nd semester  - 火7,火8

  • Seminar (2020academic year) 3rd and 4th semester  - 木7,木8

  • International Finance (2020academic year) Prophase  - 金3

  • 国際金融論 (2020academic year) 1・2学期  - 火9

  • International Finance (2020academic year) special  - その他

  • Seminar on International Finance 1 (2020academic year) special  - その他

  • Seminar on International Finance 2 (2020academic year) special  - その他

  • International Finance I (2020academic year) 1st semester  - 木5,木6

  • International Finance II (2020academic year) Second semester  - 木3,木4

  • Basic Seminar (2020academic year) 1st semester  - 木7,木8

  • Basic Seminar (2020academic year) Third semester  - 火7,火8

  • Basic Seminar (2020academic year) Fourth semester  - 火7,火8

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