Market Uncertainty Research Articles

Leaving the parental home during the COVID-19 pandemic: the case of Southern Europe

In 2020, COVID-19-related governmental restrictions forced individuals to radically change their habits, possibly impacting on their living arrangements. Whether COVID-19 affected young adults’ propensity to leave the parental home is still unknown; Southern Europe is of particular interest, as youth experience the “latest-late” transition to adulthood, face uncertainty in the labor market, and receive low welfare support. Using EU-SILC longitudinal data from Greece, Spain, Italy, and Portugal, this study examines how home-leaving rates evolved in the short-term and explores the relationship between governmental restrictions, economic characteristics of households and young adults, and leaving home behaviors. Descriptive analyses reveal that the share of young adults leaving the parental home in Southern Europe between 2019 and 2020 slightly increased compared to previous years. Discrete-time event history models show that the propensity to leave the parental home increases with the stringency of policy measures. Young adults with the highest likelihood to leave home are employed individuals whose households are in the lowest income quintile as well as students from the highest income quintile, suggesting that, in these countries, residential independence is associated with either the acquisition of economic resources in the labor market or the availability of family resources. We interpret this result in favor of an “independence effect” exerted by COVID-19-related restrictions on young adults; future research might establish whether this trend is temporary or persistent over time.

Research on energy purchase combination strategies for multiple energy commercial buildings considering multistage market uncertainties

With the gradual development of the power markets, various types of uncertainty are gradually increasing. The overlapping effects of various uncertainties have a significant impact on the operational economy of multiple energy commercial buildings (MECB) relying on various energy sources. MECB can purchase electricity from multiple stages of the market, such as spot from medium to long term and the market electricity price risk varies at different stages. Therefore, this paper investigates the energy purchasing strategies of MECB in multistage markets, taking into account various uncertainties. Considering the actual operational characteristics of MECB, this paper proposes a MECB low-carbon economic optimization model and establishes an energy purchase strategy model for MECB under various risk scenarios based on random optimization theory. Research has found that in scenarios with higher risks, MECB will participate more conservatively in the market. By simultaneously participating in the medium to long-term market and spot market, MECB can effectively avoid the cost risks brought about by various uncertainties.

Collaborative supply chain finance based on transaction cost theory: a multiple case study in the POF scenario

ABSTRACT In traditional supply chains, downstream distributors of core companies often face significant cash pressure and market uncertainty. In this case, purchase order finance (POF), as an important form of supply chain finance (SCF), plays a vital role in addressing these challenges by providing loan support to financially constrained companies during the ordering stage. To gain more empirical insights into SFC in the POF scenario, this study conducts an in-depth case analysis of the collaborative POF services between three banks and one Chinese core manufacturing enterprise. Based on the results, we identified the collaborative details (goal congruence, information sharing, resource sharing, and synchronised decision-making) and the impacts of the digital investment of banks. The main conclusions of this study have certain reference values for banks in establishing digital capabilities and for core companies in making SCF-related decisions.

Re-examining the Impact of Oil Price Uncertainty on Sovereign CDS Spread of GCC Countries: Accounting for the Asymmetry and Outliers

We examine the effect of oil price uncertainty on sovereign credit risks in Gulf Cooperation Council (GCC) countries. Unlike past studies, we employ a structural vector autoregression with multivariate GARCH-in-mean (VAR-GARCH-in-mean) approach after filtering out outliers in the observed series. The findings show that uncertainty in the oil market has a positive impact on the sovereign Credit Default Swap (CDS) spreads of the GCC countries. Furthermore, we find that GCC sovereign CDS spreads react asymmetrically to positive and negative oil price shocks.

Internet publishing as a forecasting tool in the crypto market

Subject. This article examines the relationship between the sentiment caused by the news on the CoinTelegragh professional forum and the changes in Bitcoin, Litecoin and Ethereum cryptocurrencies. Objectives. The article aims to assess the impact of the sentiment of various Internet publications on the volatility of cryptocurrencies, as well as the predictive power of Google Trends and the VIX Index for cryptocurrencies. Methods. For the study, we used the cross-quantilogram method and the VADER sentiment analysis model. Results. The article finds that the Google Trends Index in a short period of one to three days can be used to predict the closing prices of Bitcoin, Litecoin, and Ethereum, while the VIX Index (Stock Market Uncertainty) has no relationship with the cryptocurrency market. This means that cryptocurrencies can be used as a safe-haven asset when the background market is highly volatile. Conclusions. The crypto market has a complex sentiment component, with its prices and trading activity determined by popularity, emotion, and sentiment. The findings confirm previous studies, which claim that during the period of prevalence of negative news and publications, the crypto market gets narrowed, the trading volume drops off, and the interest of Internet users gets low to a minimum. The euphoria in the market, on the contrary, attracts new unqualified investors, and this is confirmed by the number of views of basic information about cryptocurrencies on Wikipedia.

Enhancing Air Travel Analysis: Forecasting Domestic Flight Activities in Indonesia based on Aircraft Types using MLP

The COVID-19 pandemic has succeeded in bringing down various industrial sectors, including the aviation industry. This pandemic impacted the depletion of the operational fleet. In 2022, the number of domestic aircraft ready for operation was only around 55%–60% compared to 2019. However, with all its limitations, the aviation industry must develop the best strategy to revive in this post-pandemic era. One of the strategies undertaken is selecting the most efficient and economical aircraft type to cut costs amid market uncertainty due to this pandemic. In this regard, research was carried out to predict when aviation activity in Indonesia would reach regular in January 2020 and the forecast for the dominance of aircraft types in domestic flight. Multilayer Perceptrons (MLP) show that domestic flight activities in Indonesia will reach the standard point in March 2024. From the forecast result, the error rate using MAPE is 0.52%. The aircraft that dominates Indonesia’s domestic flight activities during 2020–2022 is the Airbus 320 type. Meanwhile, for the next two years—2023 & 2024—it is predicted that the Airbus 320 type will continue to dominate the flights.

Time and frequency dynamics between NFT coins and economic uncertainty

Non-fungible tokens (NFTs) are one-of-a-kind digital assets that are stored on a blockchain. Examples of NFTs include art (e.g., image, video, animation), collectables (e.g., autographs), and objects from games (e.g., weapons and poisons). NFTs provide content creators and artists a way to promote and sell their unique digital material online. NFT coins underpin the ecosystems that support NFTs and are a new and emerging asset class and, as a new and emerging asset class, NFT coins are not immune to economic uncertainty. This research seeks to address the following questions. What is the time and frequency relationship between economic uncertainty and NFT coins? Is the relationship similar across different NFT coins? As an emerging asset, do NFT coins exhibit explosive behavior and if so, what role does economic uncertainty play in their formation? Using a new Twitter-based economic uncertainty index and a related equity market uncertainty index it is found that wavelet coherence between NFT coin prices (ENJ, MANA, THETA, XTZ) and economic uncertainty or market uncertainty is strongest during the periods January 2020 to July 2020 and January 2022 to July 2022. Periods of high significance are centered around the 64-day scale. During periods of high coherence, economic and market uncertainty exhibit an out of phase relationship with NFT coin prices. Network connectedness shows that the highest connectedness occurred during 2020 and 2022 which is consistent with the findings from wavelet analysis. Infectious disease outbreaks (COVID-19), NFT coin price volatility, and Twitter-based economic uncertainty determine bubbles in NFT coin prices.

Economic policy uncertainty and performance of the Brazilian stock market

The objective of this research was to analyze the relationship between economic policy uncertainty and the Brazilian stock market. The research adopted a quantitative, descriptive and econometric approach. The operationalization of the study involved collecting data from the Economic Policy Uncertainty Index and Ibovespa between January 2006 and December 2022. Data analysis was carried out using autoregressive vector models. The results showed a bidirectional relationship between the variables. An increase in uncertainty resulted in a reduction in market performance, while an increase in market performance led to a decrease in uncertainty levels.

Assessing the Effect of Stagnant Business Cycles on Risk and Uncertainty in the Stock Markets of Less Developed Countries

The economic movement of countries is not uniform and stable over time and always fluctuates around the long-term growth trend and creates a business cycle meanwhile, the capital market as a backward variable is affected by economic fluctuations therefore, in this research, the issue is looked at from the perspective that¸ can the business cycle of recession be considered as a leading variable in the occurrence and formation of risk and uncertainty in the stock market of countries? To answer this question, first a meta-analysis method and based on the research background, a model of stock market uncertainty was specified In which the growth rate variance of S&P index, which was calculated by GARCH technique, was used as a variable of risk and uncertainty in the stock market of countries, and the HP method was used to calculate business cycles. Balanced data panel technique was used to estimate the model. Which include the fundamental variables of monetary policy (supply of bank credit), fiscal policy (average tax rate), nominal interest rate, capital market size, technical progress variable and stagnant business cycle. The statistical sample of the study includes 14 less developed countries. Less developed countries are defined in terms of their per capita income and in terms of the division of countries in the UN statistical report. The statistics of time series are annual and are related to the time period of 2001-2018. The research findings that were calculated jointly confirmed the effect of the variables in the model ¸it also showed that stagnant cycles as expected have a positive effect on the reduction of risk in the stock market. Classification: JEL E32, G100.

Sustainability Practices in Polygrain Operations

Sustainability has emerged as a critical consideration in the operations of polygrain businesses, driven by increasing environmental awareness, regulatory pressures, and consumer demand for ethically sourced and environmentally friendly products. This paper provides a comprehensive analysis of sustainability practices in polygrain operations, focusing on strategies adopted by businesses to minimize their ecological footprint while maintaining economic viability. The research examines various aspects of sustainability within polygrain operations, including sustainable sourcing of raw materials, energy- efficient processing methods, waste reduction and recycling initiatives, and efforts to promote biodiversity and ecosystem conservation. Drawing on a review of existing literature, case studies, and industry reports, the paper identifies best practices and innovative approaches employed by leading polygrain companies to integrate sustainability into their operations. Furthermore, the paper explores the challenges and barriers faced by polygrain businesses in implementing sustainability practices, such as the trade-off between environmental goals and economic performance, regulatory compliance, supply chain complexities, and stakeholder engagement. It also discusses the potential benefits of sustainability initiatives, including cost savings, enhanced brand reputation, and long-term resilience in the face of environmental risks and market uncertainties. Overall, this paper offers valuable insights into the role of sustainability in shaping the future of polygrain operations, highlighting opportunities for businesses to embrace environmentally responsible practices while driving innovation and competitive advantage in the global marketplace. Keywords: Sustainability, Polygrain operations, Sustainable sourcing, Energy efficiency, Waste reduction, Recycling.

Economic policy uncertainty on stock market risk contagion: a network-based approach

It is necessary to study the relationship between the dynamical uncertainty and risk contagion in the financial market. In this paper, we use the Economic Policy Uncertainty (EPU) Index, calculate the stock index volatility of the top seven global economies in 2021, then construct a risk spillover network. For the sub-sample analysis, we select three different types of global crises to study the transmission direction and intensity within the risk network across each time period. The results show that firstly, EPU has both direct and indirect effects on risk contagion in cross-country stock markets. It mainly plays an intermediary role. Secondly, in the risk network, the intensity and structure are time-varying, no single country serves as the exclusive issuer or recipient of risk spillovers. Thirdly, the speed and impact of shocks from public health security crises are much greater. In light of the findings above, investors and policymakers in different countries are expected to strengthen cooperation in financial risk prevention and enhance risk early warning. And we provide new evidence to emphasize attention to shocks caused by public health events, aiming to prevent the recurrence of large cross-border financial risks.

Research on Uncertainty and its Application in Financial Markets

This paper explores the theoretical frameworks and practical implications of uncertainty in economics and decision-making. And also delves into categorical uncertainty, including Economic Policy Uncertainty (EPU), Climate Policy Uncertainty (CPU), and Trade Policy Uncertainty (TPU). These forms of uncertainty can have profound effects on economic activities, market behaviour, and investment decisions. Furthermore, the paper discusses an innovative approach to measuring uncertainty using online big data, particularly Twitter-based uncertainty indices. These indices provide real-time insights into public sentiment and have been shown to impact stock market forecasts, although they are not without limitations, such as potential manipulation and data representativeness issues. The impact of uncertainty on financial markets is multifaceted, affecting different asset classes differently. High uncertainty can lead to increased volatility in stock markets, while oil and digital currency markets are also sensitive to geopolitical and economic uncertainties. The role of technology and algorithmic trading in uncertain markets is highlighted, with High-Frequency Trading (HFT) becoming increasingly prevalent. HFT can provide speed and efficiency but is a subject of debate regarding its impact on market stability. Future research trends may continue to focus on the intersection of technology and market uncertainty, seeking to better understand its implications and potential risks.

The impact of gender inclusion on the profits of global public tourism companies

AbstractThe present paper tests the impact of women’s inclusion and general equity market sentiment on Global tourism companies’ return on equity (ROE). With data panel regressions of the historical ROE data of the members of Refinitiv Global Hotel, we estimated several models that used the leverage and market capitalization, sentiment indexes (such as Economic Policy news, geopolitical news, pandemic news, currency market, commodity market or social media uncertainties) and the level of inclusion measured with the percentage of women in the board of directors, the percentage of women top managers or the percentage of women in the company. Our results suggest that there is only an inverse relationship between top management inclusion and ROE in leisure and recreation companies. From a geographical perspective, this negative relationship holds only in Asia, Europe, and Northern America. In Australasia (Australia), there is a positive relationship between top management inclusion and ROE. As expected, the company size has a direct and significant relationship with ROE, and the leverage is negative. Also, only the pandemic news fear harms profits due to sales reduction, management decisions due to fear, or cost increase. Our results align with the position that women’s inclusion has a weak impact on profits, suggesting more women inclusion without return loss in the company. Also, they contribute to the discussion that women’s management is more conservative and is exposed to a crystal cliff once they overcome a crystal roof in the company.

What influences the dynamic spillovers of China’s financial market uncertainties?

ABSTRACT Uncertainty serves as a significant source of volatility in financial markets. The aim of this study is to examine the spillover effects of China’s financial market uncertainties (capital market, currency market, foreign exchange (FX) market and derivatives market) and their potential determinants. A large amount of economic and financial data is selected as the sample dataset to construct the financial uncertainty index by the combination of the stochastic volatility model and the Markov chain Monte Carlo algorithm. The TVP-VAR-DY model and the extreme bounds analysis model are also used to conduct spillover and determinant analyses. The results indicate that uncertainties in capital and currency markets primarily act as transmitters of spillover effects. The derivatives market uncertainty mainly serves as a recipient of influence from other markets, whereas the role of FX market uncertainty is relatively unstable. Moreover, international factors such as global economic policy uncertainty and the implied volatility index (VIX) have a more robust impact on spillover relationships among the four financial uncertainties, whereas domestic factors have the greater impact intensity.

Innovations, strategic organizational actions, and sailing-ship effect: illustrated with an IT product

Purpose In socio-technical transition theory, resistance by existing technology and regime resistance plays a key role. The resistance is in the form of intentional improvements; eventually, the regime destabilizes and adopts the new technology, referred to as the sailing-ship effect. Researchers used a structural view and examined it as a strategic action and its relationship with new technology (competitive/symbiotic) in non-fast-changing sailing systems. This study uses a microlevel view and examines it in a fast-changing where products/services are developed by integrating existing technology with new product innovations; their success depends on addressing technical/market uncertainty. This study examines the sailing-ship effect in a fast-changing system and contributes to the socio-technical transition theory. Design/methodology/approach The authors need to examine the phenomena of the sailing-ship effect in its setting, and a case-study method is appropriate. The selected case provided diverse analytic and heuristic perspectives to examine the phenomena; therefore, it was a single case study. Findings In an IT scenario, the strategic actions decide and realize agility and competitive advantage by formulating appropriate goals with required budgets and coevolutionary changes to resources at product, process and organizational levels, addressing technical/market uncertainty. Moreover, the agility displayed by strategic actions determines the relationship with new technology, which is interspersed. Finally, it provided insights into struggle, navigation and negotiations, forming strategic actions to display the sailing-ship effect. Research limitations/implications The study selected a Banking Financial Services and Insurance product of an IT Services company. As start-ups exhibit inherent (emergent) agility, the authors can examine agility as a combination of emergent and strategic actions by selecting a start-up. Practical implications The study highlights the strategic actions specific to an IT services company. It developed its product and services by steering clear from IT innovations such as native cloud and continuous deployment. It improved its products/services with necessary organizational changes and achieved the desired agility and competitive advantage. Therefore, organizations devise appropriate strategic actions to combat the sailing-ship effect apart from setting goals and selecting IT innovations. Originality/value The study expands the socio-technical transition theory by selecting a fast-changing system. It provided insights into the relationship between existing and new technology and the strategic actions necessary to manage technical and market uncertainty and achieve the desired competitive advantage, or the sailing-ship effect.

Spillover Effects between Crude Oil Returns and Uncertainty: New Evidence from Time-Frequency Domain Approaches

This paper examines the extent to which uncertainty in the energy market, the financial market, the commodity market, the economic policy, and the geopolitical events affect crude oil returns. To consider the complex properties of time series, such as nonlinearity, temporal variability, and unit roots, we adopt a two-instrument technique in the time–frequency domain that employs the DCC-GARCH (1.1) model and the Granger causality test in the frequency domain. This allows us to estimate the dynamic transmission of uncertainty from various sources to the oil market in the time and frequency domains. Significant dynamic conditional correlations over time are found between oil returns—commodity uncertainty, oil returns—equity market uncertainty, and oil returns—energy uncertainty. Furthermore, at each frequency, the empirical results demonstrate a significant spillover effect from the commodity, energy, and financial markets to the oil market. Additionally, we discover that sources with high persistence volatility (such as commodities, energy, and financial markets) have more interactions with the oil market than sources with low persistence volatility (economic policy and geopolitical risk events). Our findings have significant ramifications for boosting investor trust in risky energy assets.

Investment under Uncertainty: The Role of Inventory Dynamics

Finished-good inventory is very common under market uncertainty. We build a continuous-time model to study how the inventory will impact firm value and investment decisions. Our model shows that the value of a company following the optimal inventory policy can be significantly higher than the traditional non-inventory company, particularly if the inventory-holding cost is not large. This premium becomes small as holding cost is increased, and large when demand is volatile, and when price elasticity is large. We also show that the optimal investment size can be significantly larger than the traditional no-inventory firm, particularly when the inventory-holding cost is low, demand volatility is high, and price elasticity is low. This paper develops a simulation algorithm to solve iterative optimization problem in a path-dependent economy.

СТРАТЕГІЧНИЙ УПРАВЛІНСЬКИЙ ОБЛІК В СИСТЕМІ ПРИЙНЯТТЯ ЕФЕКТИВНИХ УПРАВЛІНСЬКИХ РІШЕНЬ НА ПІДПРИЄМСТВІ

The article examines the specifics of the role of strategic management accounting in the process of making effective management decisions at the enterprise in modern conditions. The mechanism of the use of the tools of strategic management accounting by enterprises to ensure the achievement of competitive advantages in the market, as well as to increase the productivity of the management system, is considered. The relationship between strategic management accounting and the process of management decision-making is studied, taking into account that an effective strategic accounting system can become a key factor for successful business development. The main aspects of strategic management accounting are studied, including the definition of strategic goals, the collection and analysis of information, the development of key performance indicators and the identification of strategic alternatives. The influence of modern information technologies on the development of strategic management accounting and the possibilities of their implementation in practice are considered. It was determined that the use of strategic management accounting can provide enterprises with a systematic improvement in the quality of management decisions, reduce risks and increase the efficiency of business processes. The importance of strategic management accounting for ensuring the successful functioning of modern enterprises has been proved, and recommendations for improving this process have been formed. The key aspects of the internal and external environment that affect strategic management accounting are considered, including such factors as changes in legislation, the competitive situation on the market, changes in consumer demands, new technological trends, as well as the mechanism of their influence on the decision-making process and accounting. It was determined that strategic management accounting is a relevant tool for business entities in modern conditions of uncertainty and dynamic changes in the business environment, as it enables enterprises to be flexible and respond to changes in a timely manner, while creating conditions for achieving defined strategic goals. The importance of implementing strategic management accounting in modern business as a key factor in making effective management decisions in order to ensure the sustainable development of enterprises in dynamic conditions of market competition and uncertainty is proven.

Digital Transformation of Small and Medium Sized Enterprises (SMEs): Current Status, Dilemmas, and Strategies

With the rapid advancement of information technology, the digital transformation of SMEs has emerged as a critical topic in the development of the digital economy. The advantages offered by digital technology provide novel opportunities for SME growth. Digital transformation not only serves as a pivotal route for fostering innovation and high-quality development within businesses but also stands as an imperative choice in addressing market competition and uncertainties. However, compared to large corporations, SMEs encounter an array of unique dilemmas and obstacles during their digital transformation journey. These dilemmas frequently include a lack of digital awareness, insufficient funding, weak foundations, and talent shortages. This paper begins by examining the current status of SME digital transformation in terms of exploration phase, geographical distribution, and industry distribution. It then delves deep into the reasons behind the dilemmas faced during the digital transformation of SMEs and proposes a set of countermeasures in response.

Volatility, Uncertainty, and Option Pricing

Amidst global and Chinese uncertainties, this paper delves into stock market volatility and option pricing within the current economic policy context. Focusing on China's stock market, it calculates returns and volatility changes in key indices, analyzing differences among indices and funds, along with temporal variations. Shared data characteristics and reflections on new market trends emerge. Employing methods such as the GARCH model, Black-Scholes formula, and Monte Carlo algorithm, it analyzes volatility and option pricing using extensive annual and monthly data. Visualizations showcase market change patterns. The study defines volatility as a measure of financial asset price fluctuation extent, reflecting asset risk. Higher volatility indicates pronounced price fluctuations and uncertainty, while lower volatility signifies smoother fluctuations and greater certainty. Merging data with volatility's significance, the study probes China's securities market uncertainty, investigating the link between option pricing and volatility. It concludes by identifying the connection between volatility, uncertainty, and option pricing, pointing to future research directions and challenges. Future work will track the latest market trends to enrich understanding.