Department of Management

Permanent URI for this communityhttps://hdl.handle.net/11693/115639

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Browsing Department of Management by Author "Akhtaruzzaman, Md"

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    Anatomy of sovereign yield behaviour using textual news
    (Elsevier Inc., 2024-08) Banerjee, Ameet Kumar; Pradhan, H. K.; Akhtaruzzaman, Md; Şensoy, Ahmet; Dann, Susan
    While the relationship between the information content of macroeconomic news and the behavior of asset prices has been studied extensively in the finance literature, this study provides a new perspective by examining the impact of textual news on sovereign bond yield spreads in an emerging country. This study used bond market news published in newspapers to develop the sentiment scores using a modified word dictionary to unravel news characteristics. A nonlinear regime-shifting regression model of Markov Regime Shifting (MRS) is used to understand the impact of news on sovereign bond yield spreads. The paper results show that textual news sentiment may explain both steepening and flattening of the yield curve, with monetary and fiscal policy news having the most significant impact on yield spread behaviour. The results hold key implications for policymakers, debt fund managers and other market participants.
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    Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment
    (Elsevier, 2022-12) Banerjee, Ameet Kumar; Akhtaruzzaman, Md; Dionisio, Andreia; Almeida, Dora; Sensoy, Ahmet
    The paper examines how various COVID-19 news sentiments differentially impact the behaviour of cryptocurrency returns. We used a nonlinear technique of transfer entropy to investigate the relationship between the top 30 cryptocurrencies by market capitalisation and COVID-19 news sentiment. Results show that COVID-19 news sentiment influences cryptocurrency returns. The nexus is unidirectional from news sentiment to cryptocurrency returns, in contrast to past findings. These results have practical implications for policymakers and market participants in understanding cryptocurrency market dynamics under extremely stressful market conditions.
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    Volatility spillovers and hedging strategies between impact investing and agricultural commodities
    (Elsevier BV, 2024-07) Banerjee, Ameet Kumar; Akhtaruzzaman, Md; Şensoy, Ahmet; Goodell, John W.
    We examine spillover and hedging among impact investing and agricultural commodities. Results demonstrate that impact investing is a prominent spillover transmitter during both calm conditions and crises, while agricultural commodities are typically receivers. Analysis indicates that hedging effectiveness is enhanced by portfolios containing impact investing and agricultural products, with this more so during crises. Additionally, analysis reveals that irrespective of position on the risk aversion spectrum, investors gain utility substantially by including impact investing and agricultural assets, even considering transaction costs. These findings add to the extant literature and offer practical implications for investors, fund managers, and policymakers regarding risk management perspectives and portfolio diversification.