Geert Bekaert’s research while affiliated with Columbia University and other places

... The delta portfolio also outperforms the base portfolio in two out of three downside risk-adjusted return measures (upside potential ratio and modified Sharpe ratio), though it performs slightly worse in terms of the Omega ratio. (Bekaert et al. 2023) plays a crucial role in fluctuations in the network. Equity index is by far the single most influential spillover contributor across time-heightened by crisis periods-as expectations of changes in monetary policies by the regulators motivate traders and portfolio managers to make appropriate strategic as well as tactical asset allocation shifts. ...

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Resilience of green bonds in portfolio diversification: evidence from crisis periods

... This notion primarily highlights the optimal utilization of natural resources and the preservation of the living environment for individuals during the development process. Sustainable development is a transformative framework that maximizes current economic and social advantages without jeopardizing the potential for analogous gains in the future [5,24]. Sustainable development entails the concurrent advancement of three dimensions: sustainable economic growth, a thriving society characterized by equity and stability, cultural diversity, and an unpolluted environment, all supported by responsibly managed resources. ...

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Impacting Investment Capital Attraction on Sustainable Development: A Case Study in Vietnam

... In such an exceptional economic situation, the study also examines how weighting affects indexes' stability, performance and representativeness. This is because there has been an increasing interest in investing within emerging markets coupled with the need for reliable benchmarks (Bekaert et al., 2023). ...

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Optimising Stock Market Indices for Emerging Economies: An Empirical Study of the Iraqi Stock Exchange

... It is common knowledge that during the pandemic certain sectors in the industry benefited and others lost their demand on the supply for some items. Researchers argued whether the COVID-19 shock could be treated as a demand shock caused by rising unemployment and falling incomes plus the purchasing power among the people, or a supply shock resulting from breakdown in supply chains, the shutting down of industries, and so on [22]. Others, such as Triggs and Karas [23] argue that the situation is not just a demand and supply shock but also a financial shock. ...

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Effect of Pandemic Covid-19 to the Operation Management Activities in Industry

... In particular, the US Treasury (UST) (see Figure 1) is a key factor driving the JGB yield dynamics. Some recent studies, including Bekaert and Ermolov (2021) and Berardi and Plazzi (2022), find relatively strong co-movements of government bond yields among the US, UK, France, Germany and Japan. 4 To test how the UST yields affect the JGB yield dynamics under YCC, we apply a co-integration analysis to study their dynamic relationship. ...

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A note on modelling yield curve control: A target-zone approach

... There has been broad empirical literature studying the comovement between real inflation rates and financial conditions (Bekaert et al., 2010;Ang et al., 2012;Boons et al., 2020;Fang et al., 2022). However, inflation expectations have two advantages compared with realized inflation rates. ...

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The Financial Market Effects of Inflation Expectations Shock in the Post-pandemic Era *

... The genesis of the COVID-19 shock to the Indian macro-economy lies in the lockdowns, layoffs, disruption in supply chains, and so on, which were the only solutions to tackling the medical emergency. The resultant economic fluctuations necessitated an urgent response from governments to tackle the combined range of effects (Bekaert et al., 2020), which can be termed shocks to the economy. An economic shock is an unexpected exogenous disturbance that has a significant (usually adverse) impact on macro-economic variables (Kar & Bhattacharya, 2011). ...

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Measuring Demand and Supply Shocks From COVID-19: An Industry-Level Analysis for India

... Jain and Mittal (2023) report that 614 articles, published in 255 academic journals over the period of 2003-2022, study volatility indexes, while Gonzalez-Perez (2015) and Fassas and Siriopoulos (2021) present a review of the primary uses of volatility indexes in academic literature. We also contribute to the growing recent strand of literature that investigates variance risk premium (indicatively, Bollerslev, Tauchen, and Zho 2009;Carr and Wu 2009;Bollerslev, Gibson, and Zhou 2011;Bekaert, Hoerova, and Duka 2013;Bekaert and Hoerova 2014;Bollerslev et al. 2014;Fassas and Papadamou 2018). Understanding changes in risk appetite is important as they are widely viewed as an important determinant of equity price dynamics and a key factor in financial stability. ...

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Implied Volatility Style Analysis: Risk Aversion versus Uncertainty

... This article addresses the rapidly emerging literature concerning the effects of COVID-19 on the real economy and the corporate sector. Globally, increased disease incidences and severity triggered fear, anxiety, and uncertainty, resulting in a surge in risk aversion and uncertainty (Bekaert et al., 2021). The objective of those papers is to examine how banks behave during the aggregate risk episodes of a pandemic. ...

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The Impact of COVID-19 on the Financial Markets, Energy Price and Exchange rates of GCC Countries

... The findings of the study are not only consistent with research conducted on Turkish financial markets but also align with the findings of various studies (Li et al., 2021;Ge & Zhang, 2022;Malinská, 2022;Grishchenko et al., 2022;Huang et al., 2023a;Qin et al., 2023;Wang et al., 2023;Wei et al., 2023Wei et al., , 2023bChristensen et al., 2024;Uddin et al., 2024) conducted on international markets. To this end, as it stated in many studies (Çepni et al., 2020;Bai et al., 2021;Bekaert & De Santis, 2021;Chen et al., 2022;Zhang et al., 2022;Asonuma et al., 2023;Wu et al., 2022;Zhang & Zhang, 2023;Chen et al., 2024) volatility, as a risk indicator, begins to exert a significant influence on bond yields as the maturity extends. ...

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Volatility Connectedness of MOVE Index and Bond Returns