Futures hedging in crude oil markets: A trade-off between risk and return

Risk and return are two fundamentals that have an impact on an investor’s or hedger’s investing choices. Based on the proposed synchronous movement intensity index, this paper aims to improve the hedging performance by adjusting the model-driven hedge ratio and realize the trade-off between return and risk in futures hedging. First, without loss of generality, we forecast crude oil spot and futures volatility using 10 GARCH-type models, including three linear models and seven nonlinear models, to obtain the ex-ante hedging ratio under the minimum variance framework. Then, we develop a novel and tractable method to identify the market state based on the index of consistency intensity, in which the index portrays the synchronous degree of stock price movements in the energy sector. Last but not least, we propose the hedge ratio adjustment criteria based on the identified state, and adjust the ratio driven by GARCH-type models of futures in accordance with the market state. Empirical results of crude oil futures markets indicate that the proposed state-dependent hedging model is superior to the commonly used models in terms of three criteria including mean of returns, variance, and ratio of mean to variance of returns for measuring hedging effect. We apply the DM test to make a statistical inference and discover that while the mean and the ratio of mean to variance of returns are increasing, the variance and hedging effectiveness of the hedged portfolio based on the modified methods are not significantly affected. Furthermore, the superiority of the proposed method is robust to different market conditions, including significant rising or falling trends, large basis, and COVID-19 pandemic. We also test the robustness of the proposed method with respect to the baseline model, quantile, and evaluation window. Overall, this paper provides a more realistic approach for crude oil risk managers to hedge crude oil price risk, some corresponding implications are also concluded.

COVID-19 affects psychological symptoms of pregnant women indirectly by increasing their maternal concerns.

BACKGROUND: Pregnant women themselves are at higher risk for psychological symptoms. The impact of ongoing COVID-19 may increase the risk. However, it is uncertain whether COVID-19 affects pregnant women's psychological symptoms directly or indirectly being mediated. METHODS: This survey was conducted in four obstetrics and gynecology hospitals in Beijing from February 28, 2020, to April 26, 2020. Pregnant women who visited the antenatal-care clinic were mobilized to finish the online questionnaires, including the Generalized Anxiety Disorder 7-Item Scale, Patient Health Questionnaire-9, Connor-Davidson resilience scale, and Insomnia Severity Index. RESULTS: A total of 828 pregnant women were included in the analysis. The estimated self-reported rates of anxiety, depression, insomnia, and any of the three were 12.2 %, 24.3 %, 13.3 %, and 33.1 %, respectively. Mediating effect analysis showed that pregnant women's response to COVID-19 was not directly associated with psychological symptoms but indirectly through the mediating effect of maternal concerns, which accounted for 32.35 % of the total effect. Stratified analysis by psychological resilience showed that women's attitude toward COVID-19 (OR, 2.68, 95 % CI: 1.16-6.18) was associated with a higher risk of psychological symptoms in those with poor psychological resilience. LIMITATIONS: The study was a non-probability sampling survey, and the causal relationship between maternal concerns and psychological symptoms could not be determined due to the study's design. CONCLUSIONS: Under public health emergencies such as COVID-19, routine antenatal care should still be prioritized, and concerns related to childbirth-related caused by such emergencies should also be addressed, especially for those with weak psychological resilience.

Different Methods of COVID-19 Detection

By the end of March 2020, the State Drug Administration had approved more than 20 SARS-CoV-2 detection products, most of which are based on RT-PCR. Because it involves multiple manual operation steps, relies on complex thermal cycle process, and has defects such as long detection time, the application potential of this kind of technology is limited in rapid detection. Rapid antigen test can play an important role in guiding patient management, public health prevention and control decision-making, and COVID-19 surveillance, especially for grass-root areas where clinical diagnosis, treatment, prevention and control may be hindered due to lack of nucleic acid testing capabilities or long testing time. According to WHO recommendations, based on the high specificity of the antigen test, a positive result indicates a novel coronavirus infection. In areas with widespread community spread, rapid antigen test can be used to detect and isolate positive cases early in health facilities, COVID-19 testing centers/sites, nursing homes, prisons, schools, frontline and health care workers, and to trace contacts.