Global commodity and equity markets spillovers to Africa during the COVID-19 pandemic

This paper examines the connectedness among 12 African equity markets and the global commodity, developed equity markets, paying particular attention to their evolution during the COVID-19 pandemic's peak period. We find that whilst African equity markets connect weakly to these markets, the levels of connectedness among these markets improved significantly during the pandemic. In addition, the energy market dominates the transmission of shocks in the system with commodity markets. Regarding the system with equity markets, the French and South African equity markets transmit the highest spillover in the full sample and during the pandemic's peak period, respectively. • Examines the connectedness among African equity and the global equity and commodity markets. • Examines the evolution of connectedness among these markets during the COVID-19. • African equity markets are weakly integrated with the global commodity and equity markets • During the COVID-19 peak period, however, the level of integration among these increased significantly. [ FROM AUTHOR] Copyright of Emerging Markets Review is the property of Elsevier B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full . (Copyright applies to all s.)

Global Commodity Chains and Supply Bottlenecks in Austria with Medical Devices in the COVID-19 Pandemic

The COVID-19 Pandemic led to a strong increase in demand for medical products. At the same time, supply problems in international supply chains kicked in due to health policy interventions (e.g., lockdowns) and economic policy measures (e.g., export controls). Combined, both resulted in temporary shortages and triggered a controversial discussion about the advantages and disadvantages of globalised production structures, which led to strong dependencies on a few, primarily Asian, locations and producers. Against this background and based on case studies for Austria, the article deals with the question which factors determine the robustness of global commodity chains for respirators, protective gloves and respiratory equipment and which national and European policies could be suitable for increasing resilience in the supply of medical products. © 2022 Austrian Geographical Society. All rights reserved.

Return and volatility spillovers among global assets: Comparing health crisis with geopolitical crisis

This study investigates the dynamic mechanism across equity, cryptocurrency, and commodity markets before and during health and geopolitical crisis (Covid-19 and the Ukrainian war). We apply the (TVP-VAR) based extended joint connectedness methodology, to understand return and volatility connectedness of financial markets for 2010–2023 period. The empirical results indicate that spillovers were particularly high during the Covid-19 and Russia-Ukraine war. First, health and geopolitical risks considerably impact the return and volatility system. Second, the value of total joint connectedness during the COVID-19 period was greater than during Russia-Ukraine war crisis. Also, evidence suggests that Commodity markets, received the highest shocks from other markets after Russia-Ukraine war and wheat was the main commodity receiving chocks from both health and geopolitical crisis. Our findings indicate that spillover channels differ depending on the type of crisis. Specifically, low-frequency components are the main transmission channels during the health crisis, whereas high-frequency components are the main transmission channels during the geopolitical crisis. Finally, results indicate that, cryptocurrency markets played some minor role in transmitting risks between markets. Our results are important in understanding how assets affect return and volatility spillover during geopolitical and health crises and are of particular importance to policymakers, market regulators, investors, and portfolio managers.

Aid, Trade and Development: The Future of Globalization, Second Edition

This volume presents a broad sweep of modern economic history underpinning aid, trade, development and globalization in the last half century and the salient challenges facing the global community today. The author draws on his long years as an academic and development practitioner to recommend what needs to be done to cope with the backsliding of the fight against global poverty, fractured geopolitics and the threats to the multilateral economic order. The new, revised edition analyses how unilateralism, rising protectionism and the Covid-19 pandemic seriously threaten global sustainable development. It concludes with recommendations on the policy changes needed to make globalization more equitable and development more sustainable. This book will be of interest to researchers and students of economic development and economic history, as well as all those concerned about global inequality and sustainability. © The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2022.

Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19

Dealing with structural breaks is an essential step in most empirical economic research. This is particularly true in panel data comprised of many cross-sectional units, which are all affected by major events. The COVID-19 pandemic has affected most sectors of the global economy;however, its impact on stock markets is still unclear. Most markets seem to have recovered while the pandemic is ongoing, suggesting that the relationship between stock returns and COVID-19 has been subject to structural break. It is therefore important to know if a structural break has occurred and, if it has, to infer the date of the break. Motivated by this last observation, the present article develops a new break detection toolbox that is applicable to different sized panels, easy to implement and robust to general forms of unobserved heterogeneity. The toolbox, which is the first of its kind, includes a structural change test, a break date estimator, and a break date confidence interval. Application to a panel covering 61 countries from January 3 to September 25, 2020, leads to the detection of a structural break that is dated to the first week of April. The effect of COVID-19 is negative before the break and zero thereafter, implying that while markets did react, the reaction was short-lived. A possible explanation is the quantitative easing programs announced by central banks all over the world in the second half of March.

BIST Tourism and BIST Electricity Index Relationship

In this study, which is based on daily data, the relationship between BIST electricity index and BIST tourism index was measured between 2012:M9 – 2022:M9 periods. The aim of the study is to measure the relationship between BIST electricity index and BIST tourism index. VAR Granger causality test was applied to determine whether there is any causal relationship between the variables. It has been determined as a result of the analysis that the BIST electricity index has no effect on the BIST tourism index. Two-way ineffectiveness was determined among the variables. In addition, it was obtained as a result of the analysis that the applied correlation relationship was weak between these variables. The results obtained from the study are important in terms of measuring the effects among BIST indices.

The Bank of Japan's exchange traded fund purchases: a help or hindrance to market efficiency?

We examine the impact of the Bank of Japan's exchange traded fund (ETF) purchases on two aspects of market efficiency—long-range dependence and price delay—of the TOPIX and Nikkei 225 indices. An increase in ETF purchases results in lower long-range dependence for both indices while the impact on the price delay varies according to index and measure. A sub-period analysis shows that the impact on market efficiency varies over time, with the dominant pattern being a delayed harmful effect, followed by a positive impact and thereafter a negative effect. The implications of these findings are discussed.

Asian perspective of capital market performance amid the COVID 19 pandemic

PurposeThe purpose of this research is to investigate the short-term capital markets' reactions to the public announcement first local detection of novel corona virus (COVID 19) cases in 12 major Asian capital markets.Design/methodology/approachUsing the constant mean return model and the market model, an event study methodology has been implied to determine the cumulative abnormal returns (CARs) of 10 pre and post-event trading days. The statistical significance of the data was assessed using both parametric and nonparametric test statistics.FindingsFirst discovery of local COVID 19 cases had a substantial impact on all 12 Asian markets on the event day, as shown by statistically significant negative average abnormal return (AAR) and cumulative average abnormal return (CAAR). The single factor ANOVA result has also demonstrated that there is no variability among 12 regional markets in terms of short-term market responses. Furthermore, there is little evidence that these major Asian stock market indices differ significantly from the FTSE All-World Index which might suggest possible spillover impact and co-integration among the major Asian capital markets. The study further discovers that market capitalization and liquidity did not have any significant impact on market reaction to announcement.Research limitations/implicationsThe study's contribution might have been compromised by the absence of socio-demographic, technical, financial and other significant policy factors from the analysis.Practical implicationsThese findings will be considerably helpful in tackling this unprecedented epidemic issue for personal and institutional investors, industrial and economic experts, government and policymakers in assessing the market in special circumstances, diversifying risk and developing financial and monetary policy proposals.Originality/valueThis paper is the first to examine the effects of local COVID 19 detection announcement on major Asian capital markets. This study will add to the literature by investigating unusual market returns generated by infectious illness outbreaks and the overall market efficiency and investors' behavioral pattern of major Asian capital markets.

Hedging potentials of green investments against climate and oil market risks

PurposeThis study aims to examine the ability of clean energy stocks to provide cover for investors against market risks related to climate change and disturbances in the oil market.Design/methodology/approachThe study adopts the feasible quasi generalized least squares technique to estimate a predictive model based on Westerlund and Narayan's (2015) approach to evaluating the hedging effectiveness of clean energy stocks. The out-of-sample forecast evaluations of the oil risk-based and climate risk-based clean energy predictive models are explored using Clark and West's model (2007) and a modified Diebold & Mariano forecast evaluation test for nested and non-nested models, respectively.FindingsThe study finds ample evidence that clean energy stocks may hedge against oil market risks. This result is robust to alternative measures of oil risk and holds when applied to data from the COVID-19 pandemic. In contrast, the hedging effectiveness of clean energy against climate risks is limited to 4 of the 6 clean energy indices and restricted to climate risk measured with climate policy uncertainty.Originality/valueThe study contributes to the literature by providing extensive analysis of hedging effectiveness of several clean energy indices (global, the United States (US), Europe and Asia) and sectoral clean energy indices (solar and wind) against oil market and climate risks using various measures of oil risk (WTI (West Texas intermediate) and Brent volatility) and climate risk (climate policy uncertainty and energy and environmental regulation) as predictors. It also conducts forecast evaluations of the clean energy predictive models for nested and non-nested models.

Unveiling commodities-financial markets intersections from a bibliometric perspective

The prominence of commodity markets within the domains of empirical finance and energy economics is well established, largely due to oil's importance and its relationship with other commodities and financial markets. In this study, we present a bibliometric examination of 437 journal articles addressing the phenomenon of commodity connectedness, spanning the period from 1994 to 2022. The research methods include a blend of qualitative and quantitative approaches, incorporating bibliometrics and content analysis. Based on the findings of the analysis, four primary research streams have been identified within the literature concerning commodity connectedness, namely (1) commodity interconnectivity, (2) the relationship between traditional commodities, renewable energy, and cryptocurrencies, (3) the relationship between oil and stock markets, and (4) studies utilizing copula methods to examine the interconnectivity between oil and financial markets. We proposed 15 future research questions for further investigation in the domain of commodity connectedness, including topics such as the impact of the post-COVID era and global uncertainties on commodity markets, how commodities can address the issue of climate change, the exponential growth of cryptocurrencies as a new financial asset, and the impact of the ongoing Russia-Ukraine conflict on commodity and financial markets.

Volatility connectedness among the Indian equity and major commodity markets under the COVID-19 scenario

In this paper, the dynamic relationship between the volatilities of both the Indian equity market and six major commodity markets is analyzed during the COVID-19 pandemic. We employ the time-varying parameters vector autoregression model (TVP-VAR) and wavelet coherence approach to assess the market connectedness. The results reveal a significant increase in volatility correlation and spillovers between the Indian equity market and the six major commodity markets after the outbreak of COVID-19. Furthermore, it was found that after the COVID-19 outbreak, the volatility from the commodity markets rapidly spilled over to the Indian equity market. The wavelet coherence also suggests that the Indian equity market and the six major commodity markets may exhibit higher levels of contagion over the medium and long term. This evidence has important implications for financial risk management, macroprudential policy design, and investors who are interested in the volatility linkages between the Indian markets and major commodities.

Dynamic linkages between shipping and commodity markets: Evidence from a novel asymmetric time-frequency method

This study extends the existing literature in this area by examining the connectedness and shock spillover between commodity and shipping markets using a new novel time-varying frequency and quantile connectedness method developed by Chatziantoniou et al (2022) based on B&K (2018) and Ando et al (2018). Connectedness and shock transmission between the markets were analysed with daily data covering July 4, 2012 to July 20, 2022. A major value added of this study to the existing literature is the examination of the asymmetric effect of commodity price changes (or return) on the connectedness of the markets. Mean-frequency total connectedness analysis indicates that, the overall shipping market (BDI) is both the transmitter (to) and receiver of the highest shock from the entire market connectedness system. In the short-term, the agricultural markets dominate as both the transmitters and receivers of the major shocks to and from the entire market system, while in the medium-term, the shipping markets dominate as both the transmitters and receivers of the largest shocks to the entire market system. However, in the long-term, connectedness and shock propagation were very low. The time-varying quantile analysis reveals that, connectedness was very strong before, during and after COVID-19 at the bearish and bullish market conditions. Further, the time-varying frequency connectedness analysis shows that, although total connectedness is relatively high overtime, it was propelled by short-term dynamics. Metal markets are connected among themselves, and with both agricultural and shipping markets. Agricultural markets are connected among themselves, and with shipping markets, which are only connected among themselves. There is evidence of the asymmetric effect of commodity return dynamics on the connectedness of the markets. Some important policy recommendations were drawn from the findings.

The impact of COVID-19 on the portfolio optimization

PurposeThis article unveils first the lead–lag structure between the confirmed cases of COVID-19 and financial markets, including the stock (DJI), cryptocurrency (Bitcoin) and commodities (crude oil, gold, copper and brent oil) compared to the financial stress index. Second, this paper assesses the role of Bitcoin as a hedge or diversifier by determining the efficient frontier with and without including Bitcoin before and during the COVID-19 pandemic.Design/methodology/approachThe authors examine the lead–lag relationship between COVID-19 and financial market returns compared to the financial stress index and between all markets returns using the thermal optimal path model. Moreover, the authors estimate the efficient frontier of the portfolio with and without Bitcoin using the Bayesian approach.FindingsEmploying thermal optimal path model, the authors find that COVID-19 confirmed cases are leading returns prices of DJI, Bitcoin and crude oil, gold, copper and brent oil. Moreover, the authors find a strong lead–lag relationship between all financial market returns. By relying on the Bayesian approach, findings show when Bitcoin was included in the portfolio optimization before or during COVID-19 period;the Bayesian efficient frontier shifts to the left giving the investor a better risk return trade-off. Consequently, Bitcoin serves as a safe haven asset for the two sub-periods: pre-COVID-19 period and COVID-19 period.Practical implicationsBased on the above research conclusions, investors can use the number of COVID-19 confirmed cases to predict financial market dynamics. Similarly, the work is helpful for decision-makers who search for portfolio diversification opportunities, especially during health crisis. In addition, the results support the fact that Bitcoin is a safe haven asset that should be combined with commodities and stocks for better performance in portfolio optimization and hedging before and during COVID-19 periods.Originality/valueThis research thus adds value to the existing literature along four directions. First, the novelty of this study lies in the analysis of several financial markets (stock, cryptocurrencies and commodities)' response to different pandemics and epidemics events, financial crises and natural disasters (Correia et al., 2020;Ma et al., 2020). Second, to the best of the authors' knowledge, this is the first study that examine the lead–lag relationship between COVID-19 and financial markets compared to financial stress index by employing the Thermal Optimal Path method. Third, it is a first endeavor to analyze the lead–lag interplay between the financial markets within a thermal optimal path method that can provide useful insights for the spillover effect studies in all countries and regions around the world. To check the robustness of our findings, the authors have employed financial stress index compared to COVID-19 confirmed cases. Fourth, this study tests whether Bitcoin is a hedge or diversifier given this current pandemic situation using the Bayesian approach.

Performance Evaluation of Tourism and Hospitality Companies in the Indian Stock Market, A Post-Covid-19 perspective

The Covid-19 pandemic affected the tourism industry's supply chain and reflected its performance and financial market. This paper aims to evaluate the performance of selected tourism-related companies listed in the Indian stock market. This study evaluates the performance of companies share prices and their business performance in post covid perspective. No studies have been conducted before on the performance evaluation of tourism-related companies listed in the Indian Stock Market from a post covid perspective. Fundamental data analysis for the reports from 2018 to 2022 and the share price charts from 2019 to 2022 was undertaken by twenty-five companies in four categorised sectors: Travel Agencies, hotels and resorts, Airlines, and Amusement parks. This study unveils that companies are underperforming in post covid and at the same time, they performed well in the share market after a negative correction due to covid-19. Airline companies are the most affected and least performed in the stock market by their share price growth. The study result helps investors and people interested in the share market assess the influence of a pandemic situation and to help in decision-making related to investment in the tourism and hospitality industry.

COVID-19 full vaccination and blockchain size: empirical evidence from the cryptocurrency market

PurposeThis paper aims to analyse COVID-19 indices and blockchain features on Bitcoin and Ethereum returns, respectively. The authors focus on the most used and owned cryptocurrencies that cover Europe, the US and Asian countries.Design/methodology/approachAn autoregressive distributed lag panel (pooled mean group and mean group) is utilized, and a robustness check is incorporated by using a Random Effect Model and Generalized Method of Moments (GMM).FindingsFour new findings were discovered, including (1) the vaccine confidence index (VCI) pushes economic recovery and increased demand for the Bitcoin market, but the opposite result was interestingly observed from Ethereum;(2) the blockchain features were revealed to be essential to Bitcoin, while they were irrelevant to Ethereum for short-run country-specific results;(3) the hash rate and network difficulty moved inversely during the pandemic;and (4) the government played a significant role in taking action during uncertain times and regarding cryptocurrency policies.Research limitations/implicationsVCI is constructed by the most used vaccine type in our sample countries (i.e. Pfizer), as the data for a specific classification by each type is still unavailable.Practical implicationsProviding an evenly distributed vaccination program primary vaccination series against COVID-19 to the citizens is an essential duty of the government. Bitcoin policymakers and investors should watch the COVID-19 vaccine distributions closely as it will affect its return. Ethereum is emphasized to keep developing its smart contract which appeared to outplay other blockchain features. Cryptocurrency investors should be wise in their investment decisions by analysing the news thoroughly.Social implicationsThis research emphasizes that the success in the roll-out of COVID-19 vaccination requires citizens' willingness to participate and their trust in the vaccine's efficacy. Such self-awareness and self-discipline in society can ultimately empower individuals and stabilise the economy. Nevertheless, the implementation of health protocols is still highly required to prevent the spread of new variants of COVID-19.Originality/valueThis is the first study that attempts to construct a VCI which denotes the confidence derived from the administration of full-dose COVID-19 vaccines (an initial vaccine and a second vaccine). The authors further find the impact on cryptocurrency returns. Next, blockchain size is utilized as a new determinant of cryptocurrencies.

Impact of Covid-19 Pandemic on the Investment Behavior of DIIs and FIIs on Indian Debt and Equity Markets

This paper aims to examine the impact of the Covid-19 pandemic on the investment behaviours of both Domestic Institutional Investors (DIIs) and Foreign Institutional Investors (FIIs) in the Indian debt and equity markets. The study is based on the daily time-series data from January 01,2015, to June 03, 2020. The study has constructed three Structural Vector Auto Regression dynamic models to compare the investment behaviors of FIIs and DIIs in both pre-and post-pandemic periods. The results indicate that the Institutional Investors' activities do not significantly impact the equity returns in the Indian markets, which has remained so in the wake of Covid-19. The debt purchases and sales for the DIIs are relatively more inelastic to market returns and reflect the risk-averse investment attitude of DIIs because of the negligible impact of Covid-19. There is a drop in the risk appetite of the FIIs due to a rise in the share of debt holdings in their portfolio in the wake of the Covid-19 pandemic.

PREDICTIVE ABILITY OF FINANCIAL AND NON-FINANCIAL PERFORMANCE FOR FINANCIAL STATEMENT PUBLICATION TIME FRAME: MODERATING ROLE OF COVID-19 PANDEMIC

Objetivo: Este estudo examinou a capacidade de desempenho financeiro e nao financeiro na previsäo do tempo de publicaçao de relatórios financeiros, moderada pela pandemia da COVID-19. Referenciái teórico: A teoria dos sinais postula que a administraçâo desempenha um papel crucial no fornecimento de informaçöes as partes interessadas sobre as condiçöes da empresa (Brigham & Houston, 2001). De acordo com Spence (1973), as empresas estao motivadas a fornecer informaçöes relevantes as partes interessadas. Se as condiçöes de desempenho sao boas, a empresa tende a acelerar o processo de apresentaçao de demonstraçöes financeiras. Por outro lado, se o desempenho for ruim, há uma tendencia a atrasar a publicaçao dos relatórios financeiros. O longo período de tempo para a publicaçao de relatórios financeiros pode indicar más noticias que a empresa tem, de modo que ela ainda tem que publicar as noticias para o público. Scott (2015) sugere que quando os gerentes souberem que há noticias desfavoráveis sobre a condiçao da empresa no futuro, evitarao publicar estas informaçöes ou pelo menos atrasaräo a apresentaçao das demonstraçöes financeiras. Método: O desempenho financeiro foi medido por quatro indicadores: lucratividade, liquidez e solvencia. Enquanto isso, o desempenho nao financeiro variável foi medido pelo indice de boa governança corporativa (GCG) e pela reputaçao dos auditores. O modelo proposto foi testado com base nos dados quantitativos coletados de 156 empresas de manufatura listadas na Bolsa de Valores da Indonesia (IDX) a partir de 2018 e 2020. A análise de regressao múltipla foi realizada para analisar e interpretar os dados. Resultados e conclusao: O resultado indica que a solvencia, a boa governança corporativa e a reputaçao do auditor foram preditores significativos do período de publicaçao do relatório financeiro. Entretanto, a capacidade preditiva de rentabilidade e liquidez no prazo de publicaçao nao foi considerada significativa. Além disso, os resultados mostram que a pandemia da COVID-19 modera a capacidade de rentabilidade e boa governança corporativa na previsao do prazo de publicaçao. Implicates da pesquisa: O indicador de desempenho financeiro e nao financeiro dá resultados diferentes na previsäo do RWPLK das empresas de manufatura na Indonesia. ROA e CR nao sao capazes de prever o RWPLK, mas DER, GCG, KAP sao capazes de prever o RWPLK. O papel da pandemia COVID-19 foi capaz de moderar a capacidade de ROA e GCG em prever o prazo para publicaçao de relatórios financeiros, mas foi incapaz de moderar a capacidade de CR, DER e KAP em prever o RWPLK. Originalidade/valor: O presente estudo fornece a primeira evidencia empírica sobre o papel moderador da pandemia COVID-19 na capacidade preditiva do desempenho financeiro e nao financeiro para o prazo de publicaçao das demonstraçöes financeiras.Alternate :Purpose: This study examined the ability of financial and non-financial performance in predicting financial reports publication time frame as moderated by the COVID-19 pandemic. Theoretical framework: Signal theory postulates that management serves a crucial role in providing information to stakeholders regarding the condition of the company (Brigham & Houston, 2001). According to Spence (1973), companies are motivated to provide relevant information to stakeholders. If the performance conditions are good, the company tend to speed up the process of presenting financial statements. Conversely, if performance is poor, there is a tendency to delay the financial reports publication. The long span of time for the publication of financial reports can indicate bad news that the company has so that it has yet to publish the news to the public. Scott (2015) suggests that when managers know there is unfavorable news about the condition of the company in the future, they will avoid publishing this information or at least delay the presentation of financial statements. Method/design/approach: Financial performance was measured by four indicators: profita il ty, liquidity and solvency. Meanwhile, variable non-financial performance was measured by the index of good corporate governance (GCG) and auditor reputation. The proposed model was tested based on the quantitative data collected from 156 manufacturing companies listed on the Indonesia Stock Exchange (IDX) from 2018 and 2020. The multiple regression analysis was performed to analyze and interpret the data. Results and conclusion: Result indicates that solvency, good corporate governance, and auditor reputation were significant predictors of the time span of financial report publication. However, the predictive ability of profitability and liquidity on the publication timeframe was found to be not significant. Furthermore, the results show that the COVID-19 pandemic moderates the ability of profitability and good corporate governance in predicting the publication timeframe. Research implications: Financial and non-financial performance indicator gives different results in predicting the RWPLK of manufacturing companies in Indonesia. ROA and CR are not able to predict RWPLK, but DER, GCG, KAP are able to predict RWPLK. The role of the COVID-19 pandemic was able to moderate the ability of ROA and GCG in predicting the timeframe for publication of financial reports, but was unable to moderate the ability of CR, DER and KAP in predicting RWPLK. Originality/value: The present study provides the first empirical evidence on the moderating role of the COVID19 pandemic on the predictive ability of financial and non-financial performance for financial statement publication time frame.

The Relationship Between Financial Indicators and Financial Intermediaries' Stock Price Volatility Listed on the BM&FBOVESPA Index in the Crisis Period of 2008 and 2020 (Covid-19): GCG

The study goal was to verify the relationship among financial indicators and intermediaries' volatility stock price listed on the BM&FBovespa Index in the crisis period from 2008 and 2020 (COVID-19). The methods used for analysis were Spearman's correlation, multiple linear regression, and Test T. The analyzed period refers to the year 2008, the second semester of 2019 and the first semester of 2020, which include the periods before and during the crises of 2008 and 2020. The results found show that only the indicator of the assets total turnover rate has a significant relationship with the stock price volatility.Alternate :O estudo tem como objetivo verificar a relação entre os indicadores com a volatilidade das ações das intermediadoras financeiras listadas no Índice BM&FBovespa no período das crises de 2008 e 2020 (COVID-19). Os métodos utilizados para análise foram de correlação de Spearman, regressão linear múltipla e Teste T. O período analisado refere-se ao ano de 2008, segundo semestre de 2019 e primeiro semestre de 2020, onde englobam os períodos pré e durante as crises de 2008 e 2020. Os resultados encontrados apontam que apenas o indicador taxa total de rotatividade dos ativos possui relação significativa com a volatilidade do preço das ações.Alternate :El estudio tiene como objetivo verificar la relación entre los indicadores y la volatilidad de las acciones de los intermediarios financieros listados en el Índice BM&FBovespa en el período de las crisis de 2008 y 2020 (COVID-19). Los métodos utilizados para el análisis fueron la correlación de Spearman, la regresión lineal múltiple y la prueba T. El período analizado se refiere al año 2008, la segunda mitad de 2019 y la primera mitad de 2020, que incluyen los períodos antes y durante las crisis de 2008 y 2020. Los resultados encontrados indican que solo el indicador de tasa de rotación de activos totales tiene una relación significativa con la volatilidad del precio de las acciones.

Impact of COVID-19 and government interventions on Bursa Malaysia sectors

PurposeThe purpose of this paper is to examine the influence of the daily growth in confirmed COVID-19 cases in Malaysia and government interventions on the daily returns of financial times stock exchange Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI) and eight selected Bursa Malaysia sectorial indices for the period January 29, 2020 to March 31, 2021.Design/methodology/approachThis paper adopts the multivariate generalized autoregressive conditional heteroscedasticity model to determine the effects for the entire study period and four sub-periods, i.e. pre-government intervention, movement control order (MCO), conditional MCO (CMCO) and recovery MCO phases.FindingsThis paper finds no evidence of the effect of the daily growth in confirmed COVID-19 cases on the returns of FBMKLCI and eight Bursa Malaysia sectorial indices for the full study period. However, the former has exerted different effects over the four sub-periods. Sectors that are positively affected for the MCO period are financial services and real estate investment trust. Yet, these sectors are negatively affected for the CMCO period along with the industrial products and services and technology sectors. Sectors that consistently demonstrate statistically insignificant results are construction, energy, plantation and utilities.Originality/valueThis study makes an initial attempt to investigate the influence of the COVID-19 pandemic on the returns of Bursa Malaysia sectorial indices over different phases of government interventions in Malaysia.

The complex evolution of information quality improvement in competitive market

Information is important market resource. High-quality information is beneficial to increase enterprise's reputation and reduce consumer's verification cost. This paper constructs a two-layer dynamic model, in which enterprises simultaneously conduct price and information game. The goal of profit maximization integrates two types of games into one system. The complex evolution of the two-layer system are studied by equilibrium analysis, stability analysis, bifurcation diagram, entropy and Lyapunov exponent. It is found that improving the information quality through regulations will increase involution and reduce stability of the market. Then, the block chain technology is introduced into the model for improving information quality of the market. It is found that increasing enterprises' willingness to adopt block chain can improve the information quality quickly and effectively, and that is verified by entropy value. Therefore, the application and promotion of new technologies are more effective than exogenous regulations for improving information quality in market.