Browsing by Author "Banerjee, Ameet Kumar"

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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.
Open Access
Assessing the US financial sector post three bank collapses: Signals from fintech and financial sector ETFs
(Elsevier Ltd., 2024-01) Banerjee, Ameet Kumar; Pradhan H.K.; Şensoy, Ahmet; Goodell, John W.
We investigate the effects of the collapses of Silicon Valley Bank, Signature Bank, and First Republic Bank on the US financial sector by analysing returns and second moments of traditional financial and fintech ETFs. Using a network model, we examine high-frequency data sampled at one-hour intervals for seventeen ETFs encompassing pre- and crisis periods. We find, using a time-varying parametric vector autoregressive (TVP-VAR) and volatility impulse response analysis, that traditional financial ETFs are net transmitters of returns and volatility spillovers in the network, and that this impact is more pronounced in volatility in the period coinciding with the collapse of the three big banks. We identify effects persisting through the medium term. This study is among the first to comprehensively analyze the recent crisis in the US banking sector, covering a full range of the fall of three big banks.
Embargo
Career aspirations and financial planning of young people in family businesses
(Elsevier Inc., 2024-06) Banerjee, Ameet Kumar; Mishra, Subhendu Kumar; Şensoy, Ahmet
We add new insights into noticeably missing research about antecedents to career choices through the alternative lens of social capital theory, social cognitive theory, and social cognitive career theory. Unlike past studies with significantly researched intentions and motivation instead of actual decisions, it leaves a gap. We are first to attempt to fill the gap by exploring what determines the young generation’s career choices with the family business by collecting survey data from actual practitioners rather than students, which automatically makes it more desirable for testing the ground reality. Analyzing the data set using multinomial logistic regression revealed that family cognitive and social capital and individual psychological dimensions of self-efficacy and outcome expectations significantly influence the young generation’s career choices with the family business.
Open Access
Commonality in volatility among green, brown, and sustainable energy indices
(Academic Press, 2024-04-11) Banerjee, Ameet Kumar; Şensoy, Ahmet; Rahman, Molla Ramizur; Palma, Alessia
Based on research conducted by Chordia et al. in 2000, we analyzed the volatility of energy indices to determine whether there is a commonality among them. Our dataset included green, sustainable, and brown energy indices, and we discovered that there is indeed a commonality in energy markets, with brown energy exhibiting the least commonality. Furthermore, we found that the commonality in volatility among energy markets has decreased since the Paris Agreement was signed. These results indicate that the Paris Agreement and other global policy initiatives are crucial for energy markets.
Embargo
Extant linkages between Shanghai crude oil and US energy futures: Insights from spillovers of higher-order moments
(Elsevier, 2024-08) Banerjee, Ameet Kumar; Dionisio, Andreia; Şensoy, Ahmet; Goodell, John W.
This study is epicentral to analyzing the impact of futures volatility on portfolio and risk management, as extant literature indicates the challenges of using economic variables that fall short of forecasting volatility beyond lagged values. Further, higher moments may be better adaptive to signaling distress during market upheavals. This paper sources data from Bloomberg from March 26, 2018–April 28, 2023, to examine the dynamic spillovers of higher moments among Shanghai International Energy Exchange and US energy futures contracts by constructing realized skewness and kurtosis. Using nonlinear techniques of mutual information and time-varying vector autoregression (TVP-VAR), we show that realized skewness and kurtosis offer significant information on spillover transmission between the two futures markets, primarily through the crises of COVID-19 and the Russia and Ukraine war. Further, we identify that the risks embedded in these future contracts have increased significantly. Our results have important implications for policymakers, investors, and risk managers.
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How does the time-varying dynamics of spillover between clean and brown energy ETFs change with the intervention of climate risk and climate policy uncertainty?
(Elsevier BV, 2024-06-10) Banerjee, Ameet Kumar; Özer, Zeynep Sueda; Rahman, Ramizur; Şensoy, Ahmet
This paper studies how climate change risks and uncertainty in climate policies impact asset pricing. We analyze this issue through the interaction mechanism between clean and brown energy ETFs. We choose energy ETFs for their broader role in the transition phase as investment flows into clean energy ETFs with rising climate change risks. The paper analyzes the changing dynamics of interconnectedness between clean and carbon-energy assets as they differ in transmitting and receiving shocks between normal versus crisis periods in the backdrop of climate risk. Using daily data of clean and brown energy instruments with the TVP-VAR framework, we show that the asymmetric connectedness between the two instruments increases during crises. Specific clean and brown instruments are either net givers or receivers, and the climate risk and policy uncertainty variables are net receivers throughout the study periods. The results bring newer insights into interconnectivity, which have significant implications for market participants, especially for policymakers strategizing risk mitigation policies and the fund management industry for broader diversification and eco-savvy investors investing in eco-efficient portfolios offering better risk-return tradeoffs.
Embargo
Impact of media hype and fake news on commodity futures prices: A deep learning approach over the COVID-19 period
(Academic Press, 2023-10-30) Banerjee, Ameet Kumar; Şensoy, Ahmet; Goodell, John W.; Mahapatra, Biplab
We investigate the reactions of eight commodity futures to media hype and fake news during COVID-19, utilising the Ravenpack news database, along with deep learning algorithms. Results identify a significant impact on commodity prices of media hype and fake news, with this reaction amplified during COVID-19. Compared to alternative deep learning algorithms, bi-directional long-short-term memory is adaptive to forecasting the returns of the commodity futures contracts with lower mean absolute error and root mean square error. Findings, confirmed by Diebold-Mariano testing, as well as alternative data partitioning, show commodity markets are susceptible to fake news and media hype.
Open Access
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.
Embargo
Risk sharing framework and systemic tolerance in Indian banks: Double layer network approach
(Elsevier Inc., 2025-01) Banerjee, Ameet Kumar; Rahman, Molla Ramizur; Misra, Arun Kumar; Şensoy, Ahmet
Interconnectedness spreads systemic risk and is critical in enhancing banks' systemic tolerance through interbank liquidity and lines of credit. Literature on systemic risk has not considered the importance of interconnectedness in providing liquidity to improve banks' systemic tolerance. As a bank's resistivity towards systemic disruption depends on its tolerance, the current article develops a model to measure the systemic tolerance of individual banks in a two-layer interbank network using Delta CoVaR. It estimates systemic tolerance distance through a risk-sharing framework and analyzes the significance of macroeconomic and bank-specific factors in explaining systemic tolerance. The results support that systemic tolerance values are higher during the downcycle than the up-cycle, signaling the importance of interconnectedness in protecting against systemic crises. The empirics further substantiate that risk-sharing distance is lower, and structure is complex with clusters during economic down-cycle. This highlights that banks couple with each other during stressful environments and empirically validate the importance of interbank and lines of credit in enhancing systemic tolerance and, therefore, possess the regulator to develop a robust interbank market through regulatory guidelines.
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Volatility connectedness between geopolitical risk and financial markets: insights from pandemic and military crisis periods
(Elsevier BV, 2024-11-10) Banerjee, Ameet Kumar; Şensoy, Ahmet; Goodell, John W.
Geopolitical risk notably affects cross-market linkages and risk spillovers. However, the void remains in the extant literature, providing little empirical evidence on the risk spillover influences of geopolitical crises on different segments of financial markets. Employing a time-varying VAR framework to model a risk spillover network, this paper examines the risk spillover across geopolitical risk, stocks, bonds, forex, gold, and energy markets from crisis and long-term perspectives. Results show that the bond market plays a significant role in the spillover network. Results also identify more risk spillover during military conflicts than during the COVID-19 pandemic. Geopolitical risk intensifies under geopolitical threats and conflicts, amplifying cross-market spillovers, with geopolitical risk acting as a risk transmitter. Gold is a risk receiver in both the long-term and crisis periods, with risk spillovers from geopolitical risk to market segments being asymmetric. These findings have significant implications for policymakers and market participants.
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Volatility spillovers and hedging strategies between impact investing and agricultural commodities
(Elsevier BV, 2024-07-10) 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.