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1.
Journal of Risk Finance ; 2022.
Article in English | Scopus | ID: covidwho-1961346

ABSTRACT

Purpose: The purpose of this paper is to examine the response of Travel & Leisure (T&L) stocks of some advanced economies (the USA and United Kingdom) as well as Europe to uncertainty due to pandemics and epidemics. The motivation for the study is derived from the expectation that pandemics and epidemics which are infectious would limit activities and events that require physical interactions such as those associated with T&L, and therefore, returns on related investments may decline during this period. Design/methodology/approach: The authors formulate a model in line with Westerlund and Narayan (2012, 2015) where uncertainty due to infectious diseases is included as a predictor in the valuation of T&L stocks while also controlling for endogeneity bias (for omitted variables bias), conditional heteroscedasticity effect (typical of high frequency data) and persistence (typical of most financial and economic time series). Findings: The authors’ results suggest that contrary to the negative impact of previous cases of pandemics and epidemics on the T&L stocks, the behavior of these stocks during COVID-19 pandemic is modest owing to the positive nexus between equity market volatility due to infectious diseases (EMV-ID) (our proxy for pandemics and epidemics) and the T&L returns during the COVID-19 period. The authors maintain that investors in this market need not panic as the market tends to be resilient to pandemics over time albeit with a lower resilience during daily trading. The results leading to this conclusion are robust to alternative measures of the COVID-19 pandemic. Originality/value: The peculiarity of this paper on T&L stocks is premised on the introduction of the new datasets for infectious diseases, and the need to include the COVID-19 pandemic given its peculiarity. Essentially, we utilize the Baker et al. (2020) dataset which captures all the pandemics including COVID-19 and a complementary dataset on the COVID-19 pandemic using an alternative approach. © 2022, Emerald Publishing Limited.

2.
Annals of Financial Economics ; 2022.
Article in English | Scopus | ID: covidwho-1840616

ABSTRACT

Utilizing a mixed data sampling (MIDAS) approach, we show that a daily newspaper-based index of uncertainty associated with infectious diseases can be used to predict, both in-and out-of-samples, low-frequency movements of output growth for the United States (US). The predictability of monthly industrial production growth and quarterly real Gross Domestic Product (GDP) growth during the current period of heightened economic uncertainty due to the COVID-19 pandemic is likely to be of tremendous value to policymakers. © 2022 World Scientific Publishing Company.

3.
Vaccines (Basel) ; 10(4)2022 Apr 15.
Article in English | MEDLINE | ID: covidwho-1792366

ABSTRACT

The COVID-19 pandemic has resulted in millions of human deaths, prompting the rapid development and regulatory approval of several vaccines. Although Nigeria implemented a COVID-19 vaccination program on 15 March 2021, low vaccine acceptance remains a major challenge. To provide insight on factors associated with COVID-19 vaccine hesitancy (VH), we conducted a national survey among healthcare workers, academics, and tertiary students, between 1 September 2021 and 31 December 2021. We fitted a logistic regression model to the data and examined factors associated with VH to support targeted health awareness campaigns to address public concerns and improve vaccination rates on par with global efforts. A total of 1525 respondents took part in the survey, composed of healthcare-workers (24.5%, 373/1525), academics (26.9%, 410/1525), and students (48.7%, 742/1525). Only 29% (446/1525) of the respondents were vaccinated at the time of this study. Of the 446 vaccinated respondents, 35.7% (159/446), 61.4% (274/446) and 2.9% (13/446) had one, two and three or more doses, respectively. Reasons for VH included: difficulty in the vaccination request/registration protocols (21.3%, 633/1079); bad feelings towards the vaccines due to negative social media reports/rumours (21.3%, 633/1079); personal ideology/religious beliefs against vaccination (16.7%, 495/1079); and poor confidence that preventive measures were enough to protect against COVID-19 (11%, 323/1079). Some health concerns that deterred unvaccinated respondents were: innate immunity issues (27.7%, 345/1079); allergic reaction concerns (24.6%, 307/1079); and blood clot problems in women (21.4%, 266/1079). In the multivariable model, location of respondents/geopolitical zones, level of education, testing for COVID-19, occupation/job description and religion were significantly associated with VH. Findings from this study underscore the need for targeted awareness creation to increase COVID-19 vaccination coverage in Nigeria and elsewhere. Besides professionals, similar studies are recommended in the general population to develop appropriate public health interventions to improve COVID-19 vaccine uptake.

4.
Buletin Ekonomi Moneter dan Perbankan ; 24(2):169-180, 2021.
Article in English | Scopus | ID: covidwho-1350604

ABSTRACT

In this study, we extend the literature analyzing the predictive content of commodity prices for exchange rates by examining the role of palm oil price. Our analysis focuses on Indonesia and Malaysia, the two top producers and exporters of palm oil, and utilizes daily data covering the period from December 12, 2011 to March 29, 2021, which is partitioned into two sub-samples based on the COVID-19 pandemic. Relying on a methodology that accommodates some salient features of the variables of interest, we find that on average the in-sample predictability of palm oil price for exchange rate movements is stronger for Indonesia than for Malaysia. While Indonesia’s exchange rate appreciates due to a rise in palm oil price regardless of the choice of predictive model, Malaysia’s exchange rate only appreciates after adjusting for oil price. However, both exchange rates do not seem to be resilient to the COVID-19 pandemic as they depreciate amidst dwindling palm oil price. Similar outcomes are observed for the out-of-sample predictability analysis. We highlight avenues for future research and the implications of our results for portfolio diversification strategies. © 2021 Bank Indonesia Institute. All Rights Reserved.

5.
Quantitative Finance and Economics ; 5(2):352-372, 2021.
Article in English | Web of Science | ID: covidwho-1266795

ABSTRACT

In this study, we exploit the information contained in financial innovations in precious metals for hedging the risks associated with the Asia-Pacific equities during the current pandemic. We measure financial innovations as exchange traded funds (ETFs) for gold, silver, platinum and palladium which contrast with investment in the physical precious metals since the former tracks well the prices of the latter and as well provides cost-effective alternative to invest in the markets without storage costs. Based on the optimal portfolio weights and optimal hedge ratios, we find that gold offers the best hedge (followed by silver, platinum, and palladium) against the risk associated with the Asia-Pacific equities during the COVID-19 pandemic albeit with a lower hedging effectiveness during the pandemic. Overall, including gold ETFs in an Asia-Pacific equity portfolio would provide both a valuable portfolio combination that could improve the risk-adjusted performance of the market in addition to serving as an effective hedge for equity-related risks.

6.
Research in International Business and Finance ; 57, 2021.
Article in English | Scopus | ID: covidwho-1261951

ABSTRACT

In this study, we examine the hedging relationship between gold and US sectoral stocks during the COVID-19 pandemic. We employ a multivariate volatility framework, which accounts for salient features of the series in the computation of optimal weights and optimal hedging ratios. We find evidence of hedging effectiveness between gold and sectoral stocks, albeit with lower performance, during the pandemic. Overall, including gold in a stock portfolio could provide a valuable asset class that can improve the risk-adjusted performance of stocks during the COVID-19 pandemic. In addition, we find that the estimated portfolio weights and hedge ratios are sensitive to structural breaks, and ignoring the breaks can lead to overestimation of the hedging effectiveness of gold for US sectoral stocks. Since the analysis involves sectoral stock data, we believe that any investor in the US stock market that seeks to maximize risk-adjusted returns is likely to find the results useful when making investment decisions during the pandemic. © 2021 Elsevier B.V.

7.
Singapore Economic Review ; : 1-28, 2021.
Article in English | Scopus | ID: covidwho-1138444

ABSTRACT

This study complements the emerging literature on the COVID-19 pandemic and provides direction, in the case of Nigeria, for targeting monetary policy response to mitigate the pandemic's economic consequences. We simulate three scenarios: (i) do-nothing;(ii) reduce MPR gradually and (iii) reduce MPR drastically;amidst falling oil prices. The do-nothing scenario, although inflationary, would produce a marginal appreciation of the Naira/USD exchange rate. Gradual or drastic reduction of MPR would deliver relative price stability, but will undermine exchange rate stability and deplete external reserves. MPR should optimally not be reduced below 12% in response to the economic effect of the pandemic. © 2021 World Scientific Publishing Company.

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