Stock-bond dependence and flight to/from quality

This paper investigates the stock-bond dependence structure using a dependence-switching copula model. The model allows stock-bond dependence to switch between positive dependence regimes (contagions or crashes of the two markets during downturns or booms in both markets during upturns) and negative dependence regimes (flight-to-quality from stock markets to bond markets or flight-from-quality from bond markets to stock markets). Using data from four developed markets including the US, Canada, Germany, and France for the period between January 1985 and August 2022, we find that the within-country stock-bond (extreme) dependence could be both positive and negative. In the positive dependence regimes, the stock-bond dependence is asymmetric with stronger left tail dependence than the right tail dependence, giving evidence of a higher likelihood of joint stock-bond market crashes or contagions during market downturns than the collective stock-bond market booms. Under the negative dependence regimes, we find both flight-from-quality and flight-to-quality, with flight-to-quality being more dominant in the North American markets while flight -from-quality is more prominent in the European markets. Further, the dependence switches between positive and negative regimes over time. Moreover, the dependence is mainly in the positive regimes before 2000 while mostly in the negative regimes after that, indicating contagions mostly before 2000 and flights afterwards. Further, the dependence switches between positive and negative regimes around financial crises and the COVID-19 pandemic. These results greatly enrich the findings in the existing literature on the co-movements of stock-bond markets and are important for risk management and asset pricing.

Stock–bond dependence and flight to/from quality

This paper investigates the stock–bond dependence structure using a dependence-switching copula model. The model allows stock–bond dependence to switch between positive dependence regimes (contagions or crashes of the two markets during downturns or booms in both markets during upturns) and negative dependence regimes (flight-to-quality from stock markets to bond markets or flight-from-quality from bond markets to stock markets). Using data from four developed markets including the US, Canada, Germany, and France for the period between January 1985 and August 2022, we find that the within-country stock–bond (extreme) dependence could be both positive and negative. In the positive dependence regimes, the stock–bond dependence is asymmetric with stronger left tail dependence than the right tail dependence, giving evidence of a higher likelihood of joint stock–bond market crashes or contagions during market downturns than the collective stock–bond market booms. Under the negative dependence regimes, we find both flight-from-quality and flight-to-quality, with flight-to-quality being more dominant in the North American markets while flight-from-quality is more prominent in the European markets. Further, the dependence switches between positive and negative regimes over time. Moreover, the dependence is mainly in the positive regimes before 2000 while mostly in the negative regimes after that, indicating contagions mostly before 2000 and flights afterwards. Further, the dependence switches between positive and negative regimes around financial crises and the COVID-19 pandemic. These results greatly enrich the findings in the existing literature on the co-movements of stock–bond markets and are important for risk management and asset pricing. © 2022 Elsevier Inc.

Stock-bond dependence and flight to/from quality

This paper investigates the stock-bond dependence structure using a dependence-switching copula model. The model allows stock-bond dependence to switch between positive dependence regimes (contagions or crashes of the two markets during downturns or booms in both markets during upturns) and negative dependence regimes (flight-to-quality from stock markets to bond markets or flight-from-quality from bond markets to stock markets). Using data from four developed markets including the US, Canada, Germany, and France for the period between January 1985 and August 2022, we find that the within-country stock-bond (extreme) dependence could be both positive and negative. In the positive dependence regimes, the stock-bond dependence is asymmetric with stronger left tail dependence than the right tail dependence, giving evidence of a higher likelihood of joint stock-bond market crashes or contagions during market downturns than the collective stock-bond market booms. Under the negative dependence regimes, we find both flight-from-quality and flight-to-quality, with flight-to-quality being more dominant in the North American markets while flight -from-quality is more prominent in the European markets. Further, the dependence switches between positive and negative regimes over time. Moreover, the dependence is mainly in the positive regimes before 2000 while mostly in the negative regimes after that, indicating contagions mostly before 2000 and flights afterwards. Further, the dependence switches between positive and negative regimes around financial crises and the COVID-19 pandemic. These results greatly enrich the findings in the existing literature on the co-movements of stock-bond markets and are important for risk management and asset pricing.

Analysis of death time of patients with coronavirus disease 2019

Objective: To investigate the death time of patients with coronavirus disease 2019 (COVID-19). Methods: The death time was calculated and analyzed using individual data and aggregated data through the daily notification of the epidemic situation and the death cases published on the website of the Heath Commission of China and provinces. Results: In the 153 patients who died of COVID-19, the shortest time from onset to death was 4 days and the longest time was 50 days with the mean±standard deviation of (16.7±9.2) days. The median was 14 days and the 95% confidence interval was 4.6-42.9. The shortest time from admission to death was 1 day and the longest time was 50 days with the mean ± standard deviation of (12.1±7.8) days. The median was 11 days and the 95% confidence interval was 2-32.8. The time curve from diagnosis to death was skewed. The death time from diagnosis to death was 0 to 48 days with the mean ± standard deviation of (11.1±8.9) days. The median was 9 days, the interquartile interval was 10.5 days, and the 95% confidence interval was 0-35.4. It took 3 days from onset to admission and 1 day from admission to diagnosis. Aggregated data showed that the time from diagnosis to death of COVID-19 patients in China, China (except Hubei Province), Hubei Province and Wuhan City was 8, 9, 6 and 6 days, respectively. Conclusion: The time from diagnosis to death of COVID-19 patients varied significantly, with the median time of 6-9 days in different regions.

An analysis on cure time of patients with COVID-19

Objective: To analyze the cure time from diagnosis to cure of coronavirus disease 2019(COVID-19). Methods: Based on the time of admission, diagnosis, and discharge of cured cases announced by the provincial and municipal health committees, the average period from diagnosis to discharge was calculated. And based on the aggregate data including the cumulative number of diagnoses, the number of curedcases and the number of deaths and their proportional relationship, we calculated the cure time. Results: The cure time curve of 580 COVID-19 patients had skewed distribution, with a skewness of 1.09, a mean cure time of (14.6±6.7) days, a median of 13 days, and a 95% confidence interval (6.9, 21.0). The average cure time calculated based on the relationship between the cumulative number of diagnoses, the number of cured cases and the number of deaths was (13.3±3.5)d, with a median of 13.5 d. The average value of the cure time calculated based on the proportion of cured cases to the number of endpoints was (14.2±4.2)d, with the median number of 14.5 d. Based on the calculation of the relationship between the cumulative number of diagnosed cases, the number of cured cases and the number of deaths, the median cure time of cases with COVID-19 in Wuhan, Hubei Province, and the whole country was 15 days, 15.5 days and 15 days, respectively. The mediancure time for COVID-19cases in Wuhan, Hubei, and the whole country was 14 days. Conclusion: The median cure time of COVID-19 is 13-15.5 days. There is some variation at different time of the outbreak, but there is not much difference between different regions.