Effective Marketing Research Articles

Higher-order moments spillovers among energy, carbon and tourism markets: Time- and frequency-domain evidence.

This paper uses the GJRSK model to estimate the high-order moments of energy (oil, natural gas, and coal), the carbon market, and tourism stocks. Then, it utilizes a novel TVP-VAR time-frequency connectedness approach to examine higher-order moments spillovers among them. The results show a strong connectedness among the three markets. The energy market is the emitter of volatility, skewness and kurtosis spillovers; tourism stock is the receiver; and the carbon market is the transmitter. From a time-domain perspective, the higher-order moments spillovers of the three markets are time-varying, especially during extreme periods, where the energy market's spillover effects on tourism stocks are significantly enhanced, indicating that tourism stocks bear a greater risk at leptokurtosis and fat-tail moment. From a frequency-domain perspective, the long-term asymmetric spillovers of oil, natural gas, and tourism markets on the carbon market are more pronounced than the short-term. Moreover, the COVID-19 pandemic exacerbated the higher-moment spillovers of energy and tourism stocks on the carbon market. Meanwhile, the Russia-Ukraine conflict led to extreme risk transmission within the energy market. These findings have significant implications for cross-industry investors and green finance risk management.

Psychological explanations for analysts' herding behavior: A study on the impact of information cascades and reputational concerns

This study investigates the influence of information cascades and reputational concerns on analysts' herding behavior in financial markets. Using a mixed-methods approach combining archival data analysis and surveys of 5,237 financial analysts covering S&P 500 companies from 2014 to 2023, we examine the interplay between these psychological factors. Our findings reveal that both information cascades and reputational concerns significantly impact herding behavior, with a notable synergistic effect when combined. Structural equation modeling demonstrates that information cascade strength positively correlates with herding behavior (β = 0.43, p < .001), partially mediated by perceived market consensus. Reputational concerns also show a strong positive association with herding (β = 0.51, p < .001), moderated by career stage. Importantly, the interaction between information cascades and reputational concerns (β = 0.24, p < .001) suggests that their combined effect is greater than the sum of their individual impacts. This effect varies across analyst characteristics and market conditions, with stronger influences observed in small-cap stocks and high-volatility periods. Time-series analysis reveals dynamic fluctuations in these effects over time, responding to significant market events. These results contribute to the theoretical understanding of financial market behavior by integrating social influence and career concern perspectives, offering insights for both scholars and practitioners in an increasingly complex market landscape.

Astro-Tourism: A search for the unknown in Bloemfontein, Free State, South Africa

ABSTRACT Astro-Tourism involves ‘using the natural resource of unpolluted night skies, and appropriate scientific knowledge for astronomical, cultural and environmental activities’. Astro-Tourism further includes specialised activities that differ from mass tourism, as tourists are exposed to knowledge-rich experiences. Well-known examples of Astro-Tourism destinations include Bryce Canyon National Park and Death Valley in the United States of America (USA). The Free State Gambling, Liquor and Tourism Authority (FSGLA) is the marketing arm of the Free State province and is responsible for attracting potential tourists to the province and solidifying the Free State as a destination of choice. Astro-Tourism has been identified as an opportunity to grow tourism in Bloemfontein and the Free State. This study found that Astro-Tourism is a niche product, and that the facilities currently on offer in Bloemfontein are in excellent condition and can potentially be further exposed to a broader audience through dedicated marketing initiatives and events.

Media Conglomeration, Local News, and Capital Market Consequences

We examine the effect of news media consolidation on local business coverage and its consequences for firms, investors, and capital markets. Using television transcripts, we find a substantial drop in coverage of local firms following the consolidation of local television stations associated with Sinclair acquisitions. Local information search, institutional portfolio local bias, and overall retail trading decrease for firms in treated geographic areas. Results are most pronounced for small firms, for stations with higher ex ante viewership, and for stations with greater reductions in local coverage. Our results provide insight into the consequences of media consolidation for local business coverage, firms, investors, and capital markets. This paper was accepted by Eric So, accounting. Funding: Financial support from the Brigham Young University Marriott School of Business, Purdue University Mitch Daniels School of Business, and Kenan-Flagler Business School is gratefully acknowledged. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2023.02247 .

The diminishing halo effect: Celebrities and negative events in marketing

Celebrities have long been utilized by brands to enhance their products and services, with the underlying assumption that the celebrity’s positive attributes and public image would transfer a halo effect to the endorsed products. However, recent years have witnessed a paradigm shift in this phenomenon, marked by a growing number of negative marketing events involving celebrities. We identify several key themes, including consumer attributions, psychological processes, social media amplification, consumer empowerment, and cultural shifts. Each contributes to a holistic understanding of why and how negative events involving celebrities can lead to a diminishing halo effect. Depending on whether consumers attribute the event internally or externally, their response can vary and, subsequently, affect the celebrity’s halo effect. Overlaying attribution theory provides deeper insights into the dynamics of consumer perception and response in the context of negative events in marketing. Understanding how consumers attribute causality to negative events and the psychological mechanisms that underpin their responses provides valuable insights for celebrities, brands, and marketers navigating the challenges of the digital age.

Normalizing junk food: The frequency and reach of posts related to food and beverage brands on social media.

Food and beverage marketing on social media contributes to poor diet quality and health outcomes for youth, given their vulnerability to marketing's effects and frequent use of social media. This study benchmarked the reach and frequency of earned and paid media posts, an understudied social media marketing strategy, of food brands frequently targeting Canadian youth. The 40 food brands with the highest brand shares in Canada between 2015 and 2020 from frequently marketed food categories were determined using Euromonitor data. Digital media engagement data from 2020 were licensed from Brandwatch, a social intelligence platform, to analyze the frequency and reach of brand-related posts on Twitter, Reddit, Tumblr, and YouTube. The 40 food brands were mentioned on Twitter, Reddit, Tumblr, and YouTube a total of 16.85M times, reaching an estimated 42.24B users in 2020. The food categories with the most posts and reach were fast food restaurants (60.5% of posts, 58.1% of total reach) and sugar sweetened beverages (29.3% of posts, 37.9% of total reach). More men mentioned (2.77M posts) and were reached (6.88B users) by the food brands compared to women (2.47M posts, 5.51B users reached). The food and beverage brands (anonymized), with the most posts were fast food restaurant 2 (26.5% of the total posts), soft drink 2 (10.4% of the total posts), and fast food restaurant 6 (10.1% of the total posts). In terms of reach, the top brands were fast food restaurant 2 (33.1% of the total reach), soft drink 1 (18.1% of the total reach), and fast food restaurant 6 (12.2% of the total reach). There is a high number of posts on social media related to food and beverage brands that are popular among children and adolescents, primarily for unhealthy food categories and certain brands. The conversations online surrounding these brands contribute to the normalization of unhealthy food and beverage intake. Given the popularity of social media use amongst of children and adolescents, policies aiming to protect these vulnerable groups need to include the digital food environment.

School starting age and mothers’ labour supply: causal evidence from the 2012 education reform in Turkey

PurposeThis paper assesses the impact of a reduction in childcare costs, resulting from a change in compulsory schooling law, on mothers' labour supply in Turkey.Design/methodology/approachThe 2012 Education Reform lowered the school starting age, allowing children up to 60 months old to enrol in primary schools. Previously, the starting age was seven years old, corresponding to 72-month-old children. We consider this change as an implied childcare subsidy for mothers with eligible children and investigate its labour market consequences. Using Turkish Household Labour Force Surveys, we applied a differences-in-differences method to estimate the effect of this law on mothers' labour supply.FindingsThe results reveal that the reform did not alter mothers' labour supply behaviour, even when categorized by educational attainment and marital status. While the findings for married mothers align with previous literature, the results for single mothers, despite showing a positive magnitude, are not statistically significant.Originality/valuePrevious literature shows a strong correlation but limited causal evidence on childcare subsidies and maternal labour supply in Turkey. This study is the first to use a change in compulsory schooling law to provide causal evidence. The results suggest that mothers in developing countries may respond differently to subsidies than those in developed countries, especially when there is an extensive informal childcare market. Policymakers should consider this when addressing mothers' behavioural inertia.Peer reviewThe peer review history for this article is available at: https://publons.com/publon/10.1108/IJSE-02-2024-0110

The impact of Secure Communities on the labor market outcomes of immigrant women

AbstractThe United States deported nearly 400,000 unauthorized immigrants under the Secure Communities (SC) interior immigration enforcement program between 2008 and 2014. This paper uses variation in the intensity of deportations across immigrants’ country of origin and city of residence to assess the labor market consequences of SC on foreign‐born women. We find no effect on the total number of employed immigrant women, but both annual wages and the number of hours worked fell. Moreover, SC induced a shift toward occupations with lower average pay and education requirements, higher exposure to hazards, and less contact with others. This is consistent with a chilling effect in labor markets such that some foreign‐born women were willing to sacrifice better pay and working environments for the ability to avoid detection.

Time–Frequency Co-Movement of South African Asset Markets: Evidence from an MGARCH-ADCC Wavelet Analysis

The growing prominence of generating a well-diversified portfolio by holding securities from multi-asset markets has, over the years, drawn criticism. Various financial market events have caused asset markets to co-move, especially in emerging markets, which reduces portfolio diversification and enhances return losses. Consequently, this study examines the time–frequency co-movement of multi-asset classes in South Africa by using the Multivariate Generalized Autoregressive Conditional Heteroscedastic–Asymmetrical Dynamic Conditional Correlation (MGARCH-DCC) model, Maximal Overlap Discrete Wavelet Transformation (MODWT), and the Continuous Wavelet Transform (WTC) for the period 2007 to 2024. The findings demonstrate that the equity–bond, equity–property, equity–gold, bond–property, bond–gold, and property–gold markets depict asymmetrical time-varying correlations. Moreover, correlation in these asset pairs varies at investment periods (short-term, medium-term, and long-term), with historical events such as the 2007/2008 Global Financial Crisis (GFC) and the COVID-19 pandemic causing these asset pairs to co-move at different investment periods, which reduces diversification properties. The findings suggest that South African multi-asset markets co-move, affecting the diversification properties of holding multi-asset classes in a portfolio at different investment periods. Consequently, investors should consider the holding periods of each asset market pair in a portfolio as they dictate the level of portfolio diversification. Investors should also remember that there are lead–lag relationships and risk transmission between asset market pairs, enhancing portfolio volatility. This study assists investors in making more informed investment decisions and identifying optimal entry or exit points within South African multi-asset markets.

Leveraging event portfolios for strategic business development: a case study of Singapore Changi Airport

PurposeThis research article examines event marketing in the airport business, specifically how an airport leverages event portfolios to develop its businesses by marketing itself as a destination, improving the user experience and generating revenue outside of aviation-related activities. Focusing on Singapore Changi Airport as a case study, the research underscores the airport’s business development in a competitive environment.Design/methodology/approachThe study employs thematic data analysis to examine how Changi Airport leverages an event portfolio as a strategic business development tool. It conducts documentary research by gathering a diverse range of grey literature sources from the online public domain. These sources include documents related to airports, online news and media portals and user-generated content on social media platforms. The analysis is conducted in an inductive manner.FindingsSingapore Changi Airport has recently leveraged events as a strategic marketing strategy for developing nonaeronautical business operations. As an attraction to appeal to tourists, the airport organised multiple types of events in its portfolio. Furthermore, the airport offers a wide range of event-related activities within its premises, including both sporting and cultural events. The purpose of these activities is to actively engage visitors and air travellers by offering a range of interactive experiences, including games and challenges. Such event-related activities reflect the airport’s transformation into a lifestyle platform.Originality/valueCritics commonly highlight the lack of empirical research and the restricted relevance of the findings in event and festival research. This article consolidates the existing knowledge on airport management and event business to enhance the event marketing and event portfolio literature, specifically in the setting of airport business.

Unemployment and Personal Income Loss After Traumatic Brain Injury

Employment and personal income loss after traumatic brain injury is a major source of postinjury stress and a barrier to societal reintegration. The magnitude of labor market ramifications following traumatic brain injury remains largely unknown. To quantify the 3-year postinjury labor market consequences following traumatic brain injury in Canada. To also estimate the incurred national labor market cost over the study period. This retrospective quasi-experimental, pan-Canadian observational cohort study used linked administrative health and federal taxation data obtained between 2007 and 2017. Mixed-effects difference-in-difference regressions were constructed to estimate the annualized magnitude of the personal income and employment loss during each of the 3 years following injury, respectively, relative to preinjury baseline. Participants included tax-filing adult (19 to 61 years old) traumatic brain injury survivors. Traumatic brain injury. Coprimary outcomes were personal income loss and the proportion of newly unemployed individuals per annum. Secondary objectives were to quantify income and employment loss within mild, moderate, and severe traumatic brain injury subgroups. A total of 18 050 patients with traumatic brain injury between 2007 and 2017 were identified (mean age, 38.0 [SD, 12.4] years; 13 360 male [74.0%]), each of whom was followed up with for 3 consecutive fiscal years. Mean income was CAD $42 600 (US $31 083) in the fiscal year prior to injury and 82% were employed at time of injury. The adjusted mean loss of personal income was CAD $7635 (US $5650) in the first year after injury (Y+1) and CAD $5000 (US $3700) in the third year after injury (Y+3) relative to uninjured controls. In each of the 3 postinjury years, 7.8% individuals were newly unemployed compared with the preinjury baseline. The adjusted average personal income loss for mild, moderate, and severe traumatic brain injury subgroups were CAD $3354 (US $2482), CAD $6750 (US $4995), and CAD $17 375 (US $12 859), respectively, at Y+3; the proportion of unemployed individuals increased by 5.8%, 9.2%, and 20% across the same groups at Y+3 after injury relative to preinjury baseline. The estimated total reduction in personal income aggregated over the 3 postinjury years for the affected participants was CAD $588 million (US $435 million). This work represents national cohort data quantifying the labor market implications of traumatic brain injury. These results may be used to inform economic evaluations and social service resource allocation.

Functional Hypergraphs of Stock Markets.

In stock markets, nonlinear interdependencies between various companies result in nontrivial time-varying patterns in stock prices. A network representation of these interdependencies has been successful in identifying and understanding hidden signals before major events like stock market crashes. However, these studies have revolved around the assumption that correlations are mediated in a pairwise manner, whereas, in a system as intricate as this, the interactions need not be limited to pairwise only. Here, we introduce a general methodology using information-theoretic tools to construct a higher-order representation of the stock market data, which we call functional hypergraphs. This framework enables us to examine stock market events by analyzing the following functional hypergraph quantities: Forman-Ricci curvature, von Neumann entropy, and eigenvector centrality. We compare the corresponding quantities of networks and hypergraphs to analyze the evolution of both structures and observe features like robustness towards events like crashes during the course of a time period.

РЕКЛАМНО-КОМУНІКАЦІЙНА ІНДУСТРІЯ УКРАЇНИ: ВПЛИВ ФАКТОРІВ МАКРОСЕРЕДОВИЩА

The article examines changes in the structure of the advertising market and its synergy with Digital. It was established that the structure of the advertising market, as of 2023, consists of four directions: media advertising, marketing services, digital advertising and PR market. In turn, media advertising includes: TV advertising (direct advertising, sponsorship); digital TV; advertising in the press (national, including sponsorship, regional, specialized); radio advertising (national, regional, sponsorship); OOH Media (outdoor advertising, transport advertising, DOOH, Indoor advertising); advertising in cinemas; Digital (Internet) Media advertising. Marketing services include: Trade marketing (Merchandising, Trade promo, Personnel motivation and control programs); Loyalty marketing (Mailing, DB management, Contact Center); Consumer marketing; Event Marketing and Sponsorship. Digital advertising includes: banner advertising, ads in social networks, rich media; digital video, incl. Youtube; search (paid publication in search engines), including part of GDN; influencer marketing and other digital. Quantitative indicators of the advertising market were studied and significant growth of Digital advertising in 2013-2022 was revealed. The influence of macroeconomic factors, in particular, digital technologies, the COVID-19 pandemic, the Russian-Ukrainian war on advertising and communication activities is analyzed. The study showed that the COVID-19 pandemic contributed to the development and increase of market volumes, and the war led to a significant decrease in the quantitative indicators of the media advertising, marketing services and PR market. The digital market also declined, but only to the indicators of the pandemic period. It was established that the technological factor had a significant impact on the advertising market, not only by changing traditional platforms, but also by additional opportunities in the field of production of advertising materials and creativity. The changes in the legislation of Ukraine introducing the norms of the European legislation into the national legislation through the implementation of certain provisions of the EU legislation in the field of audiovisual advertising are indicated.

Impact Of Marketing Events On Customer Satisfaction Mediated By Digital Marketing And Moderate Green Marketing On MSMEs In Banyumas District

With the help of digital marketing and green marketing, the purpose of this study is to investigate the influence that marketing events have on customer satisfaction in micro, small, and medium-sized enterprises (MSMEs) located in the Banyumas Regency. The method of sampling is known as simple random sampling. This is due to the fact that the population is quite huge, which means that the samples are taken depending on the convenience that is discovered. To estimate the appropriate size of the sample for this investigation, the Slovin formula was utilized. (0.1) is the absolute maximum percentage of the sample limit that can still be allowed. The distribution of questionnaires to micro, small, and medium-sized enterprises (MSMEs) in the Banyumas Regency was carried out by sending a link to a Google form. The findings of this study indicate that marketing events have an effect on the level of satisfaction experienced by consumers, that digital marketing acts as a mediator during the interaction between marketing events and consumer satisfaction, and that green marketing acts as a moderator during the relationship between marketing events and consumer satisfaction.

PECULIARITIES OF THE APPLICATION OF EVENTS IN THE MARKETING TOOLS SYSTEM IN UKRAINE

The article examines the distinctive characteristics of the utilisation of events within the marketing tools system in Ukraine. Furthermore, it analyses the prevailing global trends in the deployment of events within the marketing tools system. In particular, the annual increase in event budgeting is highlighted as a key trend, enabling organisations to plan more significant and better events in order to achieve their marketing goals. The implementation of technology in event marketing, whereby companies invest in events and utilise technology to create memorable experiences for customers and facilitate long-term growth, represents a significant trend. However, there is a shortage of qualified professionals in the field of event marketing, which presents a challenge for organisations seeking to engage with target audiences. Research indicates that 40% of event organisers perceive attracting new participants as their primary marketing challenge. Additionally, the popularity of remote and combined events, alongside the recognition of the effectiveness of live offline events in event marketing, represent noteworthy developments. It has been demonstrated that marketing tools have undergone substantial modifications and adaptations in the context of the ongoing conflict in Ukraine. One of the most instrumental tools to emerge in this context is that of events. Notwithstanding the challenging circumstances, event marketing continues to represent a potent instrument for communication and persuasion among target audiences. The organisation of events in the context of armed conflict necessitates a high degree of vigilance and consideration for the safety of all participants. Those responsible for organising such events are compelled to give due consideration to the potential risks and to devise contingency plans in the event of unforeseen circumstances. Concurrently, such occurrences serve as a conduit for bolstering the populace's morale, disseminating crucial intelligence, and fortifying national unity. It is imperative to acknowledge that the war has compelled businesses to reassess their marketing strategies, resulting in the implementation of more adaptable and flexible approaches to event organisation. Online and hybrid formats have become indispensable tools for enabling continuous customer engagement despite physical constraints. Consequently, events in Ukraine's marketing tool system during wartime have been demonstrated to be highly efficient, flexible, and adaptable. Such events play a pivotal role in sustaining business stability, fostering new forms of audience interaction, and strengthening social bonds.

A review of policy levers to reduce meat production and consumption

It is increasingly apparent that we require a substantial reduction in animal production and consumption for the sake of the environment and public health. In this paper, we conducted a systematic review to explore the policy levers available for governments to reduce animal farming and the consumption of meat. The policy levers generated by the review are categorised by four main types of interventions: Financial measures, Command- and-control, Informational, and Behavioural. First, we explore four financial measures: taxes on meat is the most-studied intervention, and the least publicly accepted in polling, sometimes being implemented indirectly via measures such as carbon taxes or rescinding VAT exemptions; subsidies for animal product alternatives are considered as a more publicly acceptable alternative approach, and would reduce long-term demand for meat by making alternatives more competitive; agricultural carbon trading schemes are discussed, and may represent a politically feasible way to hold livestock producers accountable for negative externalities; and buyouts of animal farms can be an impactful way to compensate producers to leave the industry, but must be done with care to avoid unintended social and market consequences. Second, we explore two command-and-control measures: regulating animal production with standards such as animal welfare requirements and health and safety rights for agricultural workers is amongst the most well-supported policies, and is an impactful way to ensure minimum standards of production are met; however, restrictions on animal consumption, such as meat–free days in public catering, are less publicly accepted. Third, we discuss three informational measures: food product labels, such as animal welfare or environmental impact labels, fulfil consumers’ expectations to have this information, and although there is limited evidence that they impact consumer behaviour directly, such labels may nonetheless incentivise producers to competitively improve; likewise, national dietary guidelines appear to have little direct impact on food choices, but can impact other institutions such as schools and medical institutions; policies on information campaigns can help or hurt meat reduction efforts, with some jurisdictions prohibiting meat advertisements, while others spend millions on campaigns to promote meat consumption. Fourth, we explore a range of behavioural measures which could be implemented in public catering settings and/or incentivised in food service, including presentation and positioning of meat- and plant-based dishes, and altering the food options on offer – we find that adding more high-quality plant-based options to menus and presenting these options as the default wherever the format allows are highly impactful and tractable behavioural policies that could reduce meat consumption. Informational and behavioural measures can complement traditional fiscal and command-and-control measures to reduce animal production and consumption. We discuss the implications for researchers and policymakers.

Efektivitas Event Marketing PT. Bintang Sayap Utama Dalam Meningkatkan Brand Awareness Rokok Red Bold di Banjarmasin

This study aims to test and find out the effectiveness of event marketing in increasing brand awareness of Red Bold cigarettes at PT. Bintang Sayap Utama. The analysis was carried out by sampling techniques through observation and interviews. The resource persons in this study amounted to 11 people, 2 speakers from the company, and 9 direct speakers from the community. The stages of data analysis techniques are researched, namely data reduction, data presentation, and conclusions. The results showed that the ineffectiveness of PT. Bintang Sayap Utama in increasing brand awareness of Red Bold cigarettes in Banjarmasin, but has one of the advantages, namely the increase in sales volume after holding an event.

Capital Market Consequences of Information about Individual Auditors

Synopsis The research problem This study examines the capital market consequences of the voluntary disclosure of individual auditor information. Specifically, we examined whether and how the disclosure of auditor qualification certificates is associated with information asymmetry and investors’ responses to earnings. Motivation Regulators have recently started to focus on disclosing auditor information beyond their names such as in China, where it is increasingly important in practice. Although prior studies have demonstrated benefits associated with the mandatory disclosure of partners’ names, there is relatively little evidence of the usefulness of additional information about individual auditors that could be provided voluntarily. This study sheds light on the economic consequences of disclosing detailed information about individual auditors and extends the voluntary disclosure literature. The test hypotheses We tested the following hypotheses in this study: (a) voluntary disclosure of auditor qualification certificates is associated with lower information asymmetry and (b) voluntary disclosure of auditor qualification certificates is not associated with investors’ reactions to corporate earnings announcements. Target population Stakeholders of listed companies and audit firms, including company managers, investors, and accounting regulators. Adopted methodology Ordinary least squares regressions, archival data, interviews, and machine learning methods to obtain initial data. Analyses We first crawled the annual audit reports of listed companies in China and used machine learning methods to capture voluntary disclosure of auditor qualification certificates. In a sample of more than 14,000 Chinese company-years from 2012 to 2018, we identified 10.5% of the observations voluntarily disclosing auditor qualification certificates. We used the bid-ask spread as the proxy of information asymmetry, and the earnings response coefficient refers to the coefficient on unexpected earnings to the cumulative abnormal returns. Findings We found that the voluntary disclosure of auditor qualification certificates is associated with lower information asymmetry and stronger market reaction to earnings announcements. The main results hold through various robustness tests. Cross-sectional analyses show that this association is less pronounced when a company employs a larger audit firm or has higher analyst coverage. Further, the specific information conveyed by the auditor qualification certificate, such as the auditor’s facial trustworthiness, helps explain the economic consequences associated with voluntary auditor qualification certificate disclosure. Moreover, an initial disclosure of auditor qualification certificates is associated with greater effects.

Evaluating the Efficacy of GARCH Models in Forecasting Volatility Dynamics Across Major Global Financial Indices: A Decade-long Analysis

This study investigates the volatility dynamics of five major global financial indices—FTSE 100, Hang Seng, NIKKEI 225, NSE 50, and S&P 500—using a range of GARCH models over a ten-year period from January 1, 2014, to December 31, 2023. The analysis involves preprocessing the data to ensure stationarity, calculating log returns, and conducting stationarity and ARCH effect LM tests. Various GARCH models, including GARCH (0,1), GARCH (1,1), GARCH (1,2), and GARCH (2,2), are applied to capture and forecast volatility. The study aims to determine the most effective model for accurately reflecting volatility dynamics while accounting for significant market events such as the COVID-19 pandemic. The findings reveal that the GARCH (1,1) model generally provides a robust balance between model simplicity and statistical significance, effectively capturing the time-varying volatility of the indices. Despite some complex models offering better fit measures according to the Akaike Information Criterion (AIC) and Schwarz Criterion (SC), the GARCH (1,1) model consistently demonstrates significant parameter estimates and reliable predictive performance, as evidenced by consistent Root Mean Square Error (RMSE) and Mean Absolute Error (MAE) values. This suggests that the GARCH (1,1) model is a preferred choice for volatility forecasting due to its effectiveness and parsimony, although future research might explore more advanced GARCH model variations for further refinement.

Sparse-structured time-varying parameter vector autoregression for high-dimensional network connectedness measurement

This paper proposes a new sparse-structured time-varying parameter vector autoregression (SS-TVP-VAR) model to effectively measure high-dimensional network connectedness of financial enterprises. Previous VAR based network connectedness methods require high computational cost and are not feasible for high-dimensional networks of a large number of enterprises. The proposed SS-TVP-VAR not only reduces computational cost but also selects key coefficients when building the VAR model. As a result, it produces a more adaptive and effective connectedness to measure systemic risk caused by extreme events. Studies on 57 listed major financial enterprises in China mainland during a 15-year period show that the proposed SS-TVP-VAR achieves reliable and useful results, and it successfully identifies all the major market events during this time.