
David RoubaudMontpellier Business School · Finance
David Roubaud
PhD
About
163
Publications
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Introduction
Dr. David Roubaud is a graduate from HEC School of Management and Sciences Po in Paris. Before completing a PhD in Economics & Finance (2011), he also worked as a Consultant in Strategy in Russia and prior to that was an Associate within the Mergers & Acquisitions department at Merrill Lynch in New York and London. In 2013 he was appointed Dean of Academic Affairs of MBS and in early 2017 Deputy Director General. Dr Roubaud has published more than 60 articles in international peer reviewed journals such as The Energy Journal, Ecological Economics, International Journal of Production Economics, Energy Economics, Energy Policy, International Journal of Production Research, Applied Economics, Annals of Operations Research, The World Economy, Technological Forecasting & Social Change...
Education
September 2006 - December 2010
September 1998 - June 2002
September 1993 - July 1998
Publications
Publications (163)
We investigate the effects of domestic and cross-border systematic risk spillovers on corporate investment metrics, using stock indices comprising 212 energy firms across 36 countries, spanning July 1, 2009, to August 31, 2023, sourced from S&P Global Commodity Insights®. The two-layered network underscores the catastrophic consequences induced by...
This study employs Systematic Literature Review (SLR) and thematic analysis to explore the topics of Artificial Intelligence (AI), Stakeholder Engagement (SE) and social innovation. To enhance methodological rigor, the study integrated literature analysis and social media analysis to recognize topics within texts using Latent Dirichlet Allocation (...
The concept of energy security has gained extensive attention in academic interest. We use firm-level data to evaluate China's energy security from 2013 to 2022. The newly devised energy security index reveals temporal variability, particularly during extreme events. Employing a risk diffusion network matrix, we uncover that risks encountered by en...
Amidst the imperative to address environmental degradation and realize sustainable development, energy transition metals have emerged as focal points for practitioners and scholars. This study delves into the role of these energy metals and clean energy markets in advancing environmental sustainability against dirty energy markets. Employing quanti...
Using a panel quantile vector autoregression model, we investigate the global liquidity effect of quantitative easing (QE) in the US on emerging markets (EMs) over the period 2010:Q1 to 2019:Q3. Our empirical result suggests that tapering of QE in the US triggers a large capital outflow from the EMs. In addition, we find a significant asymmetric ef...
It is to all now well known that the neural mind net connection that we all use to communicate without the need of talking instead just using our minds is in trouble and approaching to its end around the world. Dr. Jose Arreola Hernandez recently honored as the 8th Founding Father of the United States of America has been warning about the use of a...
According to the International Organization of Motor Vehicle Manufacturers (OICA), Automobile manufacturers use 40% of steel to make the body structure, 23% to make engines and gears, and 12% for suspensions. We untangled the perceived inextricable connections between crude oil, steel, the US dollar, and stocks of Toyota, Daimler, and Volkswagen as...
It is about Neural Mind Net Connection Search of Someone for Sex and Forcing the Person to Engage Otherwise Risking Neural Disconnection, and Absence of Protection and Pleasure Benefits
JEL classification: G11 G15 Keywords: Oil price volatility High-yield bonds Investment-grade bonds Energy bond index Frequency domain causality Bayesian model averaging a b s t r a c t This study examines the Granger causal flow from implied oil volatility to US high-yield and investment-grade corporate bonds. The results show that the Granger caus...
This research investigates the dynamic dependence and causality relationship of the S&P Kensho Clean Energy (CE) and Cleantech (CT) indices with two green bond indices, including the S&P Green Bond Index (GB) and Green Bond Select (GBS) indices, and four Islamic bond indices, including A-, AA-, AAA-, and BBB-graded Sukuk Indices. In the long- and m...
This article is the first one to examine the moderating role of bitcoin sentiment indices on the short term and long-term time–frequency-based good and bad network connectedness of all US sectors. In more detail, the paper quantifies the above relationship between the 11 US sectoral high frequency returns and then identifies the moderating impact o...
Ever increasing demand for customization and product diversity from the customers has made it important for firms to predict changes in the customer demand patterns and adopt accordingly. Customer integration allows firms to understand customers and respond to their particular needs in a better way. This study investigates the mechanisms through wh...
Notwithstanding Australia plays the lead role in exporting strategic commodities such as crude oil, natural gas, coal, Liquid Natural Gas (LNG), and iron ore, a scattering of researchers attempts to investigate the effects of exported commodities on stock and currency in Australia. In this academic research, our objective is to delve deeply into vo...
The study investigates the integration between the five largest emerging stock markets, Morgan Stanley Capital Emerging Market Index, and global financial markets like the US S&P 500, Brent Crude Oil and Dollar Index based on wavelet denoised volatility spillover in time and frequency domain using forecasted error variance decomposition framework....
The study investigates the integration between the five largest emerging stock markets, Morgan Stanley Capital Emerging Market Index, and global financial markets like the US S&P 500, Brent Crude Oil and Dollar Index based on wavelet denoised volatility spillover in time and frequency domain using forecasted error variance decomposition framework....
Credit markets play a crucial role in the propagation of shocks through an economy. Both economic uncertainty and oil market shocks transmit through credit markets to various sectors of an economy. However, the transmission of the shocks depends on the state of an economy as crises periods behave quite differently from normal times. We use a nonlin...
This study attempts to investigate how economic growth (EG), energy consumption (EC) and population (POP) hurt the environmental quality of five regions: South Asia, East Asia, Latin America and the Caribbean, North America, as well as the Middle East and North Africa. The Wald and NARDL bounds tests are used to check asymmetry and cointegration am...
Mutually beneficial long-term relationships between supply chain partners are the key to supply chain performance. However, these relationships may sometimes be undermined due to unforeseen events (e.g., supply chain disruptions). This study aims to originally examine the buyer-supplier relationship (BSR) commitment if the buyer's psychological con...
This paper inspects volatility connectedness across crude oil, natural gas, coal, stock, and currency markets in the US and China. To accomplish this objective, we deploy methodologies advocated by Diebold and Yilmaz (2012) and Baruník and Křehlík (2018) through gathering daily data from 12/8/2008 to 12/18/2020. The evidence from this research sugg...
In this paper, we examine extreme spillovers among the realized volatility of various energy, metals, and agricultural commodities over the period from September 23, 2008, to June 1, 2020. Using high-frequency (5-min) price data on commodity futures, we compute daily realized volatility and then apply quantile-based connectedness measures. The resu...
Orienting consumers toward organic eco-friendly beauty products is a societal challenge that resonates with growing environmental concerns following COP 21, when entrepreneurs in the cosmetic industry initiated ambitious plans to increase the proportion of natural components in their products. This study examines how green factors impact customers’...
This study cracks the multidimensional asymmetric relationship between trading activity (volume and open interest) and commodity futures prices to analyze the short-term dynamics and long-term cointegrating relationship across different state of the market considering both positive and negative changes in trading activity using a novel Quantile Non...
This study examines the impact of trust and a national culture of secretiveness on the number of bank relationships per firm. We hypothesize that the degree of openness of a firm and trust between economic agents may influence the willingness of the firm to release sensitive information to its lenders, as well as the decision between maintaining si...
This study examines the dynamics of return and volatility connectedness between the rare earth stock index and the indexes of clean energy, consumer electronics, telecommunications, healthcare equipment, and aerospace & defence. Using daily data from 25 March 2010 to 25 August 2020, a quantile-based connectedness approach is applied to uncover both...
This study is aimed at examining the dynamic relationship between real housing prices (RHP) return and economic policy uncertainty (EPU) using a panel vector autoregressive (PVAR) approach and annual data for a panel of panel of 16 countries over the period 2004–2018. The study includes economic growth, short-term interest rate, and population as a...
This paper investigates the predictive content of news-based advanced market, regional, and global economic policy uncertainty (EPU) measures for bond spreads and their volatility in emerging markets (EMs) by extending the higher (k-th) order nonparametric causality-in-quantiles test to a multivariate case. Results show that global and advanced mar...
The COVID-19 pandemic has disrupted global supply chains and exposed weak links in the chains far beyond what most people have witnessed in their living memory. The scale of disruption affects every nation and industry, and the sudden and dramatic changes in demand and supply that have occurred during the pandemic crisis clearly differentiate its i...
We compare the weak/strong hedging abilities of three alternative assets, namely Bitcoin, gold, and US VIX futures, against the downside movements in BRICS stock market indices. Results from the cross‐quantilogram approach indicate that Bitcoin and gold are weak hedges. Analysis from the recursive sampling shows that each of Bitcoin, gold, and VIX...
This study examines the Granger causal flow from implied oil volatility to US high-yield and investment-grade corporate bonds. The results show that the Granger causality differs over investment time horizons, with evidence of a more lasting effect for high-yield bonds. The oil price crash of mid-2014 intensifies the causal effect from oil price vo...
In this paper, we test for the period-specific and regime-dependent exchange rate and oil price pass-through (EROPPT) for the BRICS countries using monthly frequency data. To this end, we extend the Diebold-Yilmaz (DY) spillover index to nonlinear settings based on the vector smooth transition autoregressive (STVAR) model. The results suggest that...
This study adds to the literature on decarbonisation of the global energy system. We employ a detailed and long dataset that covers a period of nearly two centuries for the G7 countries. We link the scale of economic activity to the notion of environmental quality and employ nonlinear Autoregressive Distributed Lag Models that take into account the...
In order to move beyond mean-based connectedness measures in the cryptocurrency market and capture connectedness under extreme events, this paper applies quantile-based connectedness measures based on the variance decomposition of a quantile vector autoregression model. Based on the daily price data of seven leading cryptocurrencies from August 8,...
Drawing on the mixed results provided by the existing literature on low-carbon operations management practices, this paper proposes an original evaluation model for CO2 emission reduction practices in Brazil, based on the concept of information entropy. We model the information entropy of different low-carbon operations management practices, such a...
In this paper, we analyze the predictive content of news-based economic policy uncertainty (EPU) measures for the government bond risk spreads and its volatility in emerging markets (EMs) by extending the recently developed higher ("-th) order nonparametric causality-in-quantiles test approach of Balcilar et al. (2018) to a multivariate case. The e...
This study examines the relationship between stock returns and inflation in the United States from 1800 to 2017 using wavelet techniques, complemented with linear and nonlinear causality approaches. Wavelet analysis shows evidence of weak co‐movement between stock returns (real and nominal) and inflation in the short run and strong co‐movement betw...
This work proposes and empirically tests a new framework for evaluating the relationship between stakeholder pressures, the adoption of low-carbon operations practices and firms’ carbon performance. It seeks to expand upon stakeholder theory and the natural-resource-based view (NRBV) to understand further the role of operations management in a low-...
Unlike prior studies, this paper examines the nonlinear and distributional asymmetric effects of natural resources abundance on energy consumption in Pakistan controlling for the effects of economic growth, oil prices, exports diversification and economic complexity. Using quarterly data over the period 1972–2018, we employed several advanced econo...
This study is aimed at examining the dynamic relationships between housing prices return and economic policy uncertainty (EPU) using a panel vector autoregression (PVAR) approach and annual data for a panel of 16 OECD countries over the period 2004-2018. The study includes economic growth, short-term interest rate, and population as additional cova...
We extend existing studies by considering the higher-order moments relationships among crude oil, gold, and Bitcoin markets. Using high-frequency data from December 2, 2014 to June 10, 2018, we analyze spillovers in jumps and realized second, third, and fourth moments among crude oil, gold, and Bitcoin markets via Granger causality and generalized...
This paper investigates the linkage between natural resources and financial development by considering oil prices, economic growth and economic globalization as additional determinants in finance demand function for case of Pakistan over the period of 1972–2017. In doing so, we have applied long run covariability developed by Muller and Watson (201...
Understanding supply chain sustainability performance is increasingly important for supply chain researchers and managers. Literature has considered supply chain sustainability and the antecedents of performance from a triple bottom line (economic, social, and environmental) perspective. However, the role of supply chain visibility and product comp...
The long-term viability of an organization hinges on social, environmental, and economic measures. However, based on extensive review of the literature, we have observed that measuring and improving the sustainable performance of supply chains is complex. We have grounded our theoretical framework in institutional theory (IT) and resource-based vie...
We contribute to the scarce literature on the oil market volatility index (OVX) by examining the presence of time-varying jumps in OVX and by assessing the ability of OVX to predict the conditional variance of crude oil returns. Using a GARCH-jump model, we find evidence that OVX is characterized by jump behaviour that tends to vary over time. Furt...
This paper investigates not only the question of whether there is exchange rate pass‐through (ERPT) but also the extent to which the pass‐through is asymmetric or state‐dependent in the BRICS countries. Using monthly data from 1999M1 to 2019M12 and the nonlinear smooth transition vector autoregressive (STVAR) model, our results provide evidence of...
Unlike most prior studies examining the causal relationship between the overall stock market and real estate securities, this study investigates the causal relationship between banking and real estate sectors in the US within a quantile causality framework by using daily data from August 31, 2006, to September 9, 2016. The non-linearity tests we us...
In this study, we compare the safe-haven properties of Bitcoin, gold, and the commodity index against world, developed, emerging, USA, and Chinese stock market indices for the period 20 July 2010–22 February 2018. We apply the wavelet coherency approach and show that the overall dependence between Bitcoin/gold/commodities and the stock markets is n...
We study the price-volume cross-correlation in the Bitcoin market from July 17, 2010, to May 2, 2018, via the multifractal detrended cross-correlations analysis (MF-DCCA). Results show that Bitcoin prices changes and changes in trading volume mutually interact in a nonlinear way. Furthermore, multifractality is present and significant. By bringing...
The importance of big data analytics, artificial intelligence, and machine learning has been at the forefront of research for operations and supply chain management. Literature has reported the influence of big data analytics for improved operational performance, but there has been a paucity of research regarding the role of entrepreneurial orienta...
Very few researchers have attempted to assess the impact of Islamic banking on both the demand and the supply sides of financial inclusion. Our study fills this gap by investigating 14 middle and 14 lower income countries from Asia and Africa over the period 2005-2014. Random effects panel regression technique based on Hausman’s specification test...
The infusion of cloud-based operations, industrial internet connectivity, additive manufacturing, and cybersecurity platforms has not only re-engineered but also revitalized modern factories (Industry 4.0). Cloud-based Enterprise Resource Planning (Cloud ERP), which is a part of the cloud operations and one of the four major pillars of Industry 4.0...
This paper contributes to the ongoing debate on the drivers of environment sustainability by investigating the impact of technological innovation on CO2 emissions in the case of a developing country, Tunisia. To do this, we introduce a comprehensive global approach based on autoregressive distributed lag (ARDL) models with break-points and Granger...
We analyze for the first time how various levels of oil returns and oil volatility changes affect sovereign risk in static and time-varying settings. Empirical analyses involve daily data from February 14, 2011 to November 23, 2018 covering a sample of MENA oil-exporters and importers. The results from a quantile-based approach show that the sovere...
We analyze the average and extreme dependence between returns and trading volumes of three main cryptocurrencies (Bitcoin, Ethereum and Litecoin) via GARCH-copula models. The copula models used allow for checking the dependence structure under various market conditions. The results indicate that the Student-t and time varying symmetrized Joe Clayto...
In this paper, we empirically examine the application of a host of techniques employed to measure price efficiency through long-range dependence using prices of monthly oil contracts. Using a series of methods, we analyse the volatility (daily absolute returns) of WTI and Brent oil prices for nine different contracts with maturity, ranging from 1 t...
Although clean energy equities have emerged as a new asset
class for market participants, especially environmentally concerned
investors, existing and previous studies pay very little attention to how
equity investors in clean energy markets can reduce their downside risk.
The authors of this paper address this void by considering the roles of
the...
We detect the presence of jumps in the return series of 12 cryptocurrencies and find significant jump activity in all cases, especially in Ripple, Bitcoin and Litecoin. We also examine whether cryptocurrencies’ returns jump together and the results of various analyses show evidence of co-jumping behaviour, except for a few cases (Ripple and Bytecoi...
This article analyses the effects of economic crises on the relationship between environmental practices, environmental performance and business performance. Six hypotheses are tested via survey responses from firms located in Brazil – a country that has recently faced a serious economic crisis. The data were analysed using PLS path-modelling (PLS-...
We study effects of energy market uncertainty shocks on energy transition on the 28 European Union countries from 1990 to 2015 using annual frequency data. We assess the effects of oil price as well as the energy market supply, demand, and residual price shocks using a time-varying parameter panel data stochastic volatility model. We show the impor...
We apply seven trend-following indicators to assess the profitability of technical trading rules in the Bitcoin market. Using daily price data from July 2010 to January 2019, our main results show that specific technical analysis trading rules, mainly trading range breakout, contain significant forecasting power for Bitcoin prices, allowing the out...
We compare gold and Bitcoin for the G7 stock markets, finding that gold and Bitcoin have distinct safe haven and hedging characteristics. Gold is an undisputable safe haven and hedge for several G7 stock indices, whereas Bitcoin takes these two functions in Canada. The out-of-sample hedging effectiveness of gold is much superior to that of Bitcoin....
This study examined the dependence between gold and stocks during 2002 to 2018 in seven emerging countries. The study combined the bivariate cross‐quantilogram introduced recently with quantile‐on‐quantile regression (QQR) approaches to conduct comprehensive and complementary analyses. The QQR results for the full sample revealed a weak positive de...
This paper investigates not only the question of whether there is exchange rate and oil price pass-through (EROPPT) but also the extent to which the pass-through is asymmetric or state dependent in the BRICS countries. Using monthly data and the nonlinear Vector Smooth Transition Autoregressive (VSTAR) model, we find evidence of period specific pas...
The relationship between conventional and digital assets has become a prominent research topic, a focus partially emerging from the establishment of some large cryptocurrencies as legitimate financial assets. In this paper, we examine the information interdependence among various commodities—such as energy, metals and agricultural commodities—and l...
Unlike most of prior studies that consider the diversification ability of Bitcoin only, we consider other leading cryptocurrencies and study the time-varying diversification ability against equities and the portfolio implications. The analyses are based on daily data. Results suggest that Bitcoin, Ethereum, and Litecoin are hedges, especially again...
We examine spillover and its determinants among Eurozone sector level credit markets using time and frequency domain spillover approaches. Based on network theory and connectedness analysis, we identify the sectors that are major transmitters and receivers of spillover during normal and crisis periods. The rolling window analysis shows that short-r...
This paper addresses the timely question of whether Bitcoin exhibits a safe-haven property for stock market investments during extreme market conditions and whether such a property is similar to or different from that of gold and the general commodity index. We propose a new definition of a weak and strong safe-haven within a bivariate cross-quanti...
There is scarce literature examining the volatility linkages among leading cryptocurrencies, and none exists on the linkages among unexpected volatility, called ‘volatility surprise’. To address this literature gap, we build on the concept of volatility surprise and examine the causal linkages among the volatility of leading cryptocurrencies via th...
We uncover the hedging and safe-haven properties of eight cryptocurrencies against down movements in the S&P 500 and its 10 equity sectors. Evidence from the cross-quantilogram approach supports many cryptocurrencies as a potentially valuable digital asset class. However, a significant heterogeneity is reported in many cases. Bitcoin, Ripple and St...
This paper aims to examine short- and long-run asymmetries in the impacts of disaggregated oil price shocks on economic policy uncertainty, stock market uncertainty, treasury rates, and investor (bullish and bearish) sentiment in the US. To this end, we use a nonlinear auto-regressive distributed lag cointegration approach, which allows us to captu...
The main objective of the study is to understand how big data analytics capability (BDAC) as an organizational culture can enhance trust and collaborative performance between civil and military organizations engaged in disaster relief operations. The theoretical framework is grounded in organizational information processing theory (OIPT). We have c...
We examine the safe haven property of gold for stock and bond markets of G-7 countries. In doing so, we use the novel vector autoregressive for value-at-risk and the cross-quantilogram methods. These quantile-dependence measures help to examine how gold returns react to stock/bond returns when the markets are in a bearish state. The gold market is...