Shigeyuki Hamori

Professor

Kobe University

Japan

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Shigeyuki Hamori is a Professor at Kobe University in Japan. His research interests encompass financial mechanisms of corporate bankruptcy, early warning systems for corporate insolvency, and the interconnections among cryptocurrency, stock, and energy markets. He has recently published articles examining the volatility co-movement of various asset classes and the impact of crude oil price shocks on macroeconomic aggregates in oil-importing and exporting countries.

Shigeyuki Hamori

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Articles (20)

Portfolio implications based on quantile connectedness among cryptocurrency, stock, energy, and safe-haven assets

Financial Mechanisms of Corporate Bankruptcy: Are They Different or Similar Across Crises?

REALITY HITS EARLY WARNING SYSTEM: BASED ON UNSUPERVISED ISOLATION FOREST ANOMALY DETECTION

CURRENCY CLUSTER AND VOLATILITY CO-MOVEMENT: THE ROLE OF COMMON GLOBAL FACTORS

A Multi-Stage Financial Distress Early Warning System: Analyzing Corporate Insolvency with Random Forest

Conditional threshold effects of stock market volatility on crude oil market volatility

The response of oil-importing and oil-exporting countries’ macroeconomic aggregates to crude oil price shocks: some international evidence

TIME-VARYING FREQUENCY CONNECTEDNESS ANALYSIS ACROSS CRUDE OIL, GEOPOLITICAL RISK, ECONOMIC POLICY UNCERTAINTY AND STOCK MARKETS

Quantile Connectedness of Uncertainty Indices, Carbon Emissions, Energy, and Green Assets: Insights from Extreme Market Conditions

Changes in subjective mortality expectations and savings during COVID-19: empirical analysis using questionnaire data in Japan

Do Large Datasets or Hybrid Integrated Models Outperform Simple Ones in Predicting Commodity Prices and Foreign Exchange Rates?

DIFFERENT MOMENTS CREATE DIFFERENT SPILLOVERS: A STUDY OF COMMODITY MARKETS

Differential Tail Dependence between Crude Oil and Forex Markets in Oil-Importing and Oil-Exporting Countries during Recent Crisis Periods

A connectedness analysis among BRICS’s geopolitical risks and the US macroeconomy

MACRO FACTOR, MARKET VOLATILITY, AND STOCK-BOND CORRELATION: A DYNAMIC MIXED DATA SAMPLING FORECAST

The impact of economic uncertainty caused by COVID-19 on renewable energy stocks

THE CONNECTEDNESS BETWEEN THE SENTIMENT INDEX AND STOCK RETURN VOLATILITY UNDER COVID-19: A TIME-VARYING PARAMETER VECTOR AUTOREGRESSION APPROACH

Do crude oil prices and the sentiment index influence foreign exchange rates differently in oil-importing and oil-exporting countries? A dynamic connectedness analysis

Do news sentiment and the economic uncertainty caused by public health events impact macroeconomic indicators? Evidence from a TVP-VAR decomposition approach

Does Investor Sentiment Affect Clean Energy Stock? Evidence from TVP-VAR-Based Connectedness Approach

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Kouhei Masumoto

Wenting Zhang

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