What drives the performance and causality of green bond indices?

This paper empirically assesses the performance of green bond indices and the causality of that performance using a range of financial and commodity data. We present new insights from the novel application of datasets, neural networks and performance measurements. We find that green bond indices do not outperform the market when factors beyond market return are considered. We find that Brent crude oil has the most significant effect on certain indices, a finding that contrasts with other studies on green bonds. A greater sensitivity to oil prices and global green equities also evinces a negative impact on a green bond index's ability to outperform the market. For the first time, a linear causal relationship is established between Title Transfer Facility (TTF) returns and green bond index returns. Additionally, a fundamental shift in causal relationships is observed over the COVID-19 period. In this way, we contribute to the literature on sustainable green bonds and the impact of COVID-19. These insights provide more clarity to market participants for navigating the uncertainties of both the global energy transition and the postpandemic period. © 2023 Informa UK Limited, trading as Taylor & Francis Group.

Asymmetric information flow to G7 and Nordic equities markets during COVID-19 pandemic

PurposeThis paper investigates the probable differential impact of the confirmed cases of COVID-19 on the equities markets of G7 and Nordic countries to ascertain possible interdependencies, diversification and safe haven prospects in the era of the COVID-19 pandemic over the short-, intermediate- and long-term horizons.Design/methodology/approachThe authors apply a unique methodology in a denoised frequency-domain entropy paradigm to the selected equities markets (Li et al. 2020).FindingsThe authors' findings reinforce the operability of the entrenched market dynamics in the COVID-19 pandemic era. The authors divulge that different approaches to fighting the pandemic do not necessarily drive a change in the deep-rooted fundamentals of the equities market, specifically for the studied markets. Except for an extreme case nearing the end (start) of the short-term (intermediate-term) between Iceland and either Denmark or the US equities, there exists no potential for diversification across the studied markets, which could be ascribed to the degree of integration between these markets.Practical implicationsThe authors' findings suggest that politicians should pay closer attention to stock market fluctuations as well as the count of confirmed COVID-19 cases in their respective countries since these could cause changes to market dynamics in the short-term through investor sentiments.Originality/valueThe authors measure the flow of information from COVID-19 to G7 and Nordic equities using the entropy methodology induced by the Improved Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (ICEEMDAN), which is a data-driven technique. The authors employ a larger sample period as a result of this, which is required to better comprehend the subtleties of investor behaviour within and among economies - G7 and Nordic geographical blocs - which largely employed different approaches to fighting the COVID-19 pandemic. The authors' focus is on diverging time horizons, and the ICEEMDAN-based entropy would enable us to measure the amount of information conveyed to account for large tails in these nations' equity returns. Furthermore, the authors use a unique type of entropy known as Renyi entropy, which uses suitable weights to discern tailed distributions. The Shannon entropy does not account for the fact that financial assets have fat tails. In a pandemic like COVID-19, these fat tails are very strong, and they must be accounted for.

Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19

Documenting the interlinkages among assets that are widely used to hedge against inflation is crucial for investors, as the necessity to protect the investment portfolio is stronger under inflationary conditions. For this purpose, we investigate the volatility spillovers between treasury inflation-protected securities (TIPS) and a battery of other assets perceived as inflation hedges, including bonds, gold, real estate, oil and equities. The applied methodology comprehends the time-varying parameter vector autoregressive (TVP-VAR) extension of the Diebold and Yilmaz (Int J Forecast 28:57–66, 2012, 10.1016/j.ijforecast.2011.02.006) approach for the period 1/1/2010–3/31/2022. Our results indicate that the assets under consideration are moderately interconnected and subjected to several exogenous shocks, such as the US–China trade war, the COVID-19 pandemic and the Russia–Ukraine war. Furthermore, we assess the hedging effectiveness of TIPS against each asset by estimating hedge ratios and optimal portfolios weights, before and after the spread of COVID-19 pandemic, by using conditional variance estimations (DCC-GARCH). The empirical findings show that the short position in the volatility of TIPS is proved to be an excellent hedge for all the sampled assets, with the exception of short-term Treasury bonds, and their hedging ability was improved during COVID-19.

Dynamic Correlations Between Crude Oil Futures Prices

Whether Shanghai oil futures prices have altered the dominant role of global benchmarks remains unclear. By applying a time-varying copula model, we find that the correlations between Shanghai crude oil futures prices and Brent and West Texas Intermediate (WTI) crude oil futures prices are low but time varying. The correlation between Brent and WTI remains high and stable. The COVID-19 outbreak has increased the strength of interactions between oil futures prices in different markets. © 2022, Asia-Pacific Applied Economics Association. All rights reserved.

How precisely European equity ETFs mirror their flagship benchmarks? Evidence from funds replicating performance of Euro Stoxx 50 Index

The main goal of the article is to examine the tracking efficiency of a homogenous sample of 14 ETFs listed on European exchanges, replicating the performance of Euro Stoxx 50 Index—a benchmark index for blue chips from the euro area. This study provides some insights into the tracking quality of European ETFs over the long time horizon (2012–2021 period) including data from entire business cycle: both economic prosperity and COVID-19 crisis. The study has been made applying different tracking error calculation techniques and return intervals—daily, weekly and monthly. Passive investing may be a highly desirable, cheap and accurate method for long or short term investments in the largest 50 cap companies in the euro zone. Hence, this unique research may help to succeed in ETF selection process. The study reveals that ETFs are very effectively managed by keeping the TEs below 0.3% (for ETFs with accumulating share classes) and below 1% (for ETFs with distributing share classes). This shows that the ETFs with accumulating share classes perform much better—the average TE for three different methods is 0.11% for accumulating share classes ETFs and 0.33% for distributing share classes ETFs. It proofs, that it is not important whether to use the standard deviation of the difference between the return of an ETF and that of its benchmark index, or the standard error of regression in TE assessment, both methods give very similar results. However, TE calculation method signifies, if the average of the absolute difference between the return of an ETF and that of the index is used. Additionally, it is found that time intervals used in TE calculations matter—the shift from monthly to daily intervals results in reduction of TE levels. Using shorter intervals brings lower TE values of European ETFs.

The impact of containment measures and monetary and fiscal responses on US financial markets during the COVID-19 pandemic.

This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P Green Bond Index (GREEN) and the Dow Jones (DJ) Islamic World Market Index (ISLAM) over the period 1/01/2020-10/03/2021. The results suggest that all four indices are highly persistent and exhibit orders of integration close to 1. A small degree of mean reversion is observed only for the S&P500 under the assumption of white noise errors and USTB with autocorrelated errors; therefore, market efficiency appears to hold in most cases. The mortality rate, surprisingly, seems to have affected stock and bond prices positively with autocorrelated errors. As for the policy responses, both the containment and fiscal measures had a rather limited impact, whilst there were significant announcement effects which lifted markets, especially in the case of monetary announcements. There is also evidence of a significant, positive response to changes in the effective Federal funds rate, which suggests that the financial industry, mainly benefiting from interest rises, plays a dominant role.

Pandemic impact on the co-movement and hedging effectiveness of the global futures markets

This paper examines the impact of COVID-19 on five of the world's most liquid futures markets. The results of our wavelet coherence analysis for spot futures reveal two important findings. First, spot futures coherence movements during the pandemic period are influential at both low and high frequency scales. Second, the spectrogram shows mixed causality directions at all scales of observation in the period before and during the pandemic. In terms of hedging effectiveness, OLS and VECM show improvements in hedging effectiveness. Nevertheless, multiscale analysis with wavelet methods shows that hedging effectiveness depends on the hedge period due to the instability of the spot-futures association during the pandemic period. Our results refute the conventional wisdom among finance scholars that a stronger link between spot and futures markets during the crisis improves hedging effectiveness. We would emphasise that investment baskets and hedge pairs should be reviewed frequently to optimise results. [ABSTRACT FROM AUTHOR] Copyright of Investment Analysts Journal is the property of Routledge 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 abstract 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 abstract. (Copyright applies to all Abstracts.)

Asymmetric impact of investor sentiment and media coverage news on bitcoin returns

PurposeThis paper investigates the impact of global sentiment and various coronavirus disease 2019 (COVID-19)-related media coverage news (Media-Hype index;Panic Index;Media Coverage Index, infodemic index and coronavirus statistics) on the dynamics of bitcoin returns during the COVID-19 pandemic using an asymmetric framework.Design/methodology/approachThe authors use an asymmetric framework based on quantile regression (QR) and quantile-on-quantile regression.FindingsQR results show that COVID-19 panic news negatively affects bitcoin market returns at times of extreme bearish. However, COVID-19 bullish sentiment negatively impacts bitcoin market returns during bullish market conditions. Quantile-on-quantile approach's (QQA) empirical results show that the effects of COVID-19-related news on bitcoin returns were heterogeneous, mainly negative and varied across quantiles.Research limitations/implicationsThe authors find some significant differences regarding the impact of news on bitcoin return dynamics compared to stock markets, suggesting the safe-haven role of bitcoin against stock during the ongoing epidemic.Practical implicationsThe authors find some significant differences regarding the impact of news on bitcoin return dynamics compared to stock markets, suggesting the safe-haven role of bitcoin against stock during the ongoing epidemic.Originality/valueThis study contributes to understanding the dynamics of bitcoin returns using various COVID-19 media news.

Volatility Spillovers Among the Three Places Across the Taiwan Strait: Evidence from a BEKK-CARR Approach*

This study introduces a new BEKK-CARR model to explore the volatility spillover effects among mainland China, Hong Kong, and Taiwan stock markets during the COVID-19 pandemic. We also extend the approach of Diebold and Yilmaz (2009, 2012) to infer a brand-new volatility spillover index to discuss the bi-directional volatility transmission. Our results show that the trading information flow among these three markets has changed significantly as a result of the COVID-19 pandemic. The strength of volatility spillover is increasing during this momentous period. The Hong Kong stock market plays a pivotal role in volatility transmission. The values for half-lives by exogenous shocks keep relatively low during the pandemic period. A reasonable explanation is that the trading information transmissions among stock markets are quicker than in the non-pandemic period. © 2023 The Authors. Asia-Pacific Journal of Financial Studies published by John Wiley & Sons Australia, Ltd on behalf of Korean Securities Association.

The interconnectedness across risk appetite of distinct investor types in Borsa Istanbul

PurposeThis study aims to investigate the interconnectedness across the risk appetite of distinct investor types in Borsa Istanbul. This study also examines the causal impact of global implied volatility indices on the risk appetite of these investor groups. Design/methodology/approachThe authors use a novel time-varying frequency connectedness framework of Chatziantoniou et al. and a new time-varying Granger causality test with a recursive evolving procedure by Shi et al. over June 2008 and July 2022. FindingsThe results show a high level of interconnectedness across the risk appetite of different investor types. The sizable spillovers to domestic types of investors either occur from professional or foreign investors, indicating the long-term dominant effect of foreign and more qualified investors on the domestic investors in Borsa Istanbul. The authors provide significant evidence of causality from the global implied volatility to the Borsa Istanbul risk appetite indices, which are getting stronger after the COVID-19 outbreak. Originality/valueUnlike the previous studies, the authors analyze the risk appetite sub-indices of various types of investors to reveal behavioral distinctions and interconnectedness across them. The authors use a novel econometric framework to assess investors' risk appetite in different investment horizons in a time-varying system. Together with volatility index (VIX), the authors also use volatilities of oil (OVX), gold (GVZ) and currency (EVZ), considering the information transmission not only from stock markets but also energy, metals and currency markets. The present data set covers significant financial crises, socioeconomic events and the COVID-19 outbreak.

The Russia-Ukraine conflict and foreign stocks on the US market

PurposeThe authors investigate how market quality diverges between foreign firms and domestic firms on the US stock market in response to the Russia-Ukraine conflict.Design/methodology/approachWith an event study approach, the authors compare foreign firms with domestic firms in their market responses over the three-day window around the outbreak of the war. Further, with Difference-in-Difference (DID) analyses, the authors study the change in foreign firms' market quality upon this outbreak in comparison with their domestic counterparts. Finally, the authors compare the foreign firms across firm specific characteristics and home country characteristics.FindingsThe authors find that foreign stocks listed in the US experience more severe market quality deterioration compared to the stocks' domestic counterparts. This effect is especially strong for companies from countries considered friendlier towards Russia and companies that are not cross-listed. The authors' findings are consistent with the information asymmetry hypothesis concerning market quality. Moreover, US market investors have more concerns over political risks with non-US-aligned political standings during war times.Research limitations/implicationsThe authors' findings are consistent with the information asymmetry hypothesis concerning market quality. Moreover, US market investors have more concerns over political risks over non-US-aligned political standings during war time.Practical implicationsSince both countries in the conflict are in Europe, the US stock market, to a certain degree, becomes a safe haven for capital from Europe and other countries. In the meantime, American Depository Receipts (ADRs) have been important for US investors to create a globally diversified portfolio, and the knowledge regarding ADRs' vulnerability to international geopolitical events is valuable. The author' results are informative for stock market investors to understand the market dynamics for international and domestic companies during this extremely uncertain time.Originality/valueThis is the first study that examines the market quality divergence between foreign firms and domestic firms on the US stock market in response to the Russia-Ukraine conflict. The authors provide novel evidence on the change in ADRs' market quality associated with significant political uncertainty. The authors show that ADRs' market quality is more vulnerable to international geopolitical risks relative to otherwise comparable domestic firms.

Stock market integration and volatility spillovers: new evidence from Asia-Pacific and European markets

PurposeThis work investigates the volatility spillovers across stock markets and the nature of such spillovers through different periods of crises and tranquility.Design/methodology/approachUsing daily stock return volatility data from June 2003 to June 2021, the generalized forecast error variance decomposition method (based on Diebold and Yilmaz, 2012 approach) is employed to measure the degree of volatility spillovers/connectedness among stock markets of 24 Asia-Pacific and 12 European Union (EU) economies.FindingsThe empirical results from static analysis suggested that about 28.1% (63.7%) of forecast error variance in return volatility for Asia-Pacific (EU) markets is due to spillovers. The evidence from dynamic analysis suggested that during mid of the global financial crisis, European debt crisis (EDC) and Covid-19, the gross volatility spillovers for Asia-Pacific (EU) was around 67% (80%), 65% (80%) and 73% (67%), respectively. The degree of net volatility transmission from Singapore (Denmark) to other Asia-Pacific (EU) markets was found to be highest.Practical implicationsThe findings have crucial implications for the investors and portfolio managers in assessment of risk and optimum allocation of assets and investment decisions.Originality/valueThis study adds to the literature on risk management by systematically examining the impact of global financial crises, EDC and Covid-19 on the market interactions by capturing the magnitude, duration and pattern of the shock-specific market volatilities for a large sample of Asian and European markets using recent and large data set.

Unpleasant surprises? Debt relief and risk of sovereign default

PurposeThe Covid-19 pandemic has rekindled interest in sovereign debt crises amidst calls for debt relief for developing and emerging countries. But has debt relief lessened the debt burdens of emerging and developing economies? The purpose of this paper is to empirically address this question. In particular, the focus is on the implications of debt relief and institutional qualities for sovereign debt in emerging and developing economies. Design/methodology/approachThe model extends the framework on the probability of default by incorporating the receipt of debt relief by a debtor country. Doing so allows to better explain movements of sovereign defaults relating to debt relief. The model is estimated via the regular probit regression. FindingsThe analysis shows that the debt relief provided, thus, far, failed to ease the debt overhang problems of developing and emerging countries and reduced investment. The current debt relief schemes may underscore the prospects of self-enforcing and self-fulfilling sovereign debt crises rather than eliminating the dilemma completely. Regarding the forms of debt relief, the analysis shows that debt forgiveness offers favourable prospects in terms of debt sustainability and economic outcomes than debt rescheduling. Perhaps, the sovereign debt crises, particularly in low-income countries, hinge on insolvency problems rather than transitory illiquidity issues. Practical implicationsAny debt relief mechanism should consider seriously the potential incentive effect that reinforces expectations of future debt-relief initiatives. Importantly, solving the sovereign debt problem requires a programme for sustained investment and economic growth, while not discounting the critical role of prudent debt management policies and institutions. Originality/valueThis study contributes a different angle to the debate on sovereign debt distress. Aside from the structural and economic factors, this study investigates the role of debt management policy in the debtor nation and the implications of debt relief benefits for sovereign risk. The framework also focuses on whether the different forms of debt relief exert distinctive impacts.

VIX and major agricultural future markets: dynamic linkage and time-frequency relations around the COVID-19 outbreak

Purpose The purpose of this paper is to examine the volatility spillover and lead-lag relationship between the Chicago Board Options Exchange volatility index (VIX) and the major agricultural future markets before and during the Coronavirus disease 2019 (COVID-19) outbreak. Design/methodology/approach The methods used were the vector autoregression-Baba, Engle, Kraft and Kroner-generalized autoregressive conditional heteroskedasticity method, the Wald test and wavelet transform method. Findings The findings indicate that prior to the COVID-19 outbreak, there was a two-way volatility spillover impact between the majority of the sample markets. In comparison, volatility transmission between the VIX index and the agricultural future market was significantly lower following the COVID-19 outbreak, the authors observed greater coherence at higher frequencies than at lower frequencies, implying that the interdependence between the two VIX indices and the agricultural future market was stronger over a longer time-frequency domain and the VIX's signalling effect on various agricultural future prices after the COVID-19 outbreak was significantly lower. Originality/value The authors conducted the first comprehensive investigation of the VIX's correlation with major agricultural futures, especially during COVID-19. The findings contribute to a better understanding of the risk transmission mechanism between the VIX and major agricultural commodities futures contracts. And our findings have significant implications for investors and portfolio managers, as well as for policymakers who are concerned about the price of agricultural futures.

Covid-19 and the changing face of financial literacy in India : Evidence from Delhi NCR during lockdowns

With a change in global market entanglement and composite retail financial products, financial literacy has gained distinction in the recent past. More importantly, the Covid-19 pandemic has brought attention to the preparation of individuals’ financial budgets for unforeseen losses. As a result, financial literacy has gained immense importance. Literature available on the subject suggests that individuals when faced with a situation of crisis, tend to reduce their risk of not paying the liabilities, by controlling their budget. This research article aims to understand whether or not individuals with a good understanding of financial literacy have better skills in financial management, particularly during lockdowns. Primary data was collected after the second phase of lockdowns in August 2021 from 232 individuals residing in Delhi NCR, using a questionnaire adapted from the OECD study. Besides, a scale was developed to understand their financial behaviour and financial management skills. The results of the study indicate that a good understanding of financial principles helped manage financial risk effectively and avoid any financial pitfalls. It helps individuals avoid financial concerns and enable individuals to regulate their income, even in challenging conditions like the Covid-19 pandemic.

Can the covid bailouts save the economy?

The covid-19 crisis has led to a sharp deterioration in firm and bank balance sheets. The government has responded with a massive intervention in corporate credit markets. We study equilibrium dynamics of macroeconomic quantities and prices, and how they are affected by this policy response. The interventions prevent a much deeper crisis by reducing corporate bankruptcies by about half and short-circuiting the doom loop between corporate and financial sector fragility. The additional fiscal cost is zero since programme spending replaces what would otherwise have been spent on financial sector bailouts. An alternative intervention that targets aid to firms at risk of bankruptcy prevents more bankruptcies at much lower fiscal cost, but only enjoys marginally higher welfare. Finally, we study longer-run consequences for firm leverage and intermediary health when pandemics become the new normal.

Can gold or silver be used as a hedge against policy uncertainty and COVID-19 in the Chinese market?

Purpose The purpose of this study is to present evidence as to whether the use of gold or silver can be justified as an asset to hedge against policy uncertainty and COVID-19 in the Chinese market. Design/methodology/approach By using a GARCH model with a generalized error distribution (GED), this study specifies that the gold (or silver) return is a function of a set of economic and uncertainty variables, which include volatility from interest rate innovation, a change in economic policy uncertainty (EPU), a change in geopolitical risk (GPR) and volatility due to pandemic diseases, while controlling for stock market returns, inflation rates, economic growth and the Chinese currency value. Findings This study employs monthly data of gold and silver prices over the period from January 2002 to August 2021 to examine hedging behavior. Estimated results show that the gold return is positively correlated to the stock return and a rise in uncertainty from economic policy innovation, geopolitical risk, volatility due to US interest rate innovation as well as COVID-19 infection. This result suggests that gold cannot be used to hedge against a stock market decline, but can be used to hedge against uncertainty in general. However, the silver return only responds positively to a rise in uncertainty from the inflation rate and geopolitical risk. Evidence shows that silver returns are negatively correlated with stock returns, and display hedging characteristics. However, the evidence lacks statistically significance during the COVID-19 period, suggesting that the role of silver as a safe-haven asset against stock market turmoil is weak for this time period. Research limitations/implications More general nonlinear specifications can be developed. The tests may include different measures of uncertainty that interact with each other or with the lagged error terms. An implication of the model is that gold can be used to hedge against a broad range of uncertainties for economic policy change, political risk and/or a pandemic. However, the use of gold as an asset to hedge against a stock downturn in Chinese market should be done with caution. Practical implications This study has important policy implications as regards a choice in assets in formatting a portfolio to hedge against uncertainty. Specifically, this study presents empirical evidence on gold and silver return behavior and finds that gold returns respond positively to heightened uncertainty. Thus, gold is a good asset to hedge against uncertainty arising from policy innovations and infectious disease uncertainty. Social implications This paper provides insightful information on the choice of assets toward hedging against risk in the uncertainty market conditions. It provides information to investors and policy makers to use gold price movements as a signal for detecting the arrival of uncertainty. This study also provides information for demanding a risk premium for infectious disease. Originality/value This study empirically analyzes and verifies the role that gold serves as a safe haven asset to hedge against uncertainty in the Chinese market. This paper contributes to the literature by presenting evidence of risk/uncertainty premiums for holding gold against various sources of uncertainty such as economic policy uncertainty, geopolitical risk and equity market volatility due to US interest rate innovation and/or COVID-19. This study finds evidence that supports the use of a nonlinear specification, which demonstrates the interaction of uncertainty with the lagged change of infectious disease and helps to explain the gold/silver return behavior. Further, evidence shows that the gold return is positively correlated to the stock return. This finding contrasts with evidence in the US market. However, silver returns are negatively correlated with stock returns, but this correlation becomes insignificant during the period of COVID-19.

Construction of a volatility index from exchange-traded dollar-rupee options

Purpose This paper aims to propose the implied volatility index for the US dollar-Indian rupee pair (INRVIX). The study seeks to examine whether INRVIX truly reflects future USDINR (US Dollar-Indian rupee) volatility and signals profitable currency trading strategies. Design/methodology/approach Two measures of INRVIX are constructed and compared: a model-free version based on the methodology adopted by the Chicago Board of Options Exchange (CBOE) and a model-dependent version constructed from Black-Scholes-Merton-implied volatility. The proposed INRVIX is computed by tweaking some parameters of the CBOE methodology to ensure compatibility with the microstructure of the Indian currency derivatives market. The volatility forecasting ability of INRVIX is compared to that of a generalized autoregressive conditional heteroscedasticity (1,1) model. Ordinary least squares regression is used to examine the relationship between n-day-ahead USDINR returns and different quantiles of INRVIX. Findings Results indicate that INRVIX based on the model-free approach reflects ex post volatility in a better manner than its model-dependent counterpart, although neither measure is found to be an unbiased and efficient forecast. Subsample analysis across tranquil and turbulent periods corroborates the results. The volatility forecasting performance of INRVIX is found to be better than that of forecasts based on historical time-series. These results are consistent with similar studies of developed market currencies. The study does not find any significant relationship between extreme levels of INRVIX and the profitability of trading strategies based on such levels, which is contrary to results from the equity options market. Practical implications Foreign exchange volatility affects the costs of international trade and the external sector competitiveness of Indian multinationals. It is a significant risk factor for financial institutions and traders in the financial markets. An implied VIX for the USDINR could serve as an indicator of expected foreign exchange risk. It could thus provide a signal for a possible intervention in the forex market by the regulator. Regulators could introduce volatility derivative contracts based on the INRVIX. Such contracts would enable hedging of the pure volatility risk of dollar-rupee exposure. Thus, the study has practical implications for investors, hedgers, regulators and academicians alike. Originality/value To the author's knowledge, this is one of a few studies to construct an implied VIX for an emerging currency like the rupee. The study is based on up-to-date sample data that includes the recent COVID-19 market crash. A novel contribution of this paper is that in addition to examining whether INRVIX contains information about future USDINR volatility, and it also examines the signalling power of INRVIX for currency trading strategies.

Time-varying herding spillover for emerging countries: evidence from BRIC countries and Turkey

Purpose This study aims to investigate herding spillover in BRIC (Brazil, Russia, India and China) countries and Turkey under different regimes by using a time-varying approach. Design/methodology/approach The authors used the structural change model of Bai and Perron (1998). Findings The results indicate that there is an evidence of herding behaviour in the Chinese stock market in two different regimes. These regimes cover the recent global financial crisis and the period of Hong Kong protests. We also report the evidence of herding behaviour in the Turkish stock market in the regime covering the COVID-19 period. Findings of herding spillover show that there is a two-way herding among Russia and China during crises and high volatile regimes. Similarly, there exists a cross-country herding among Brazil and India during crisis regimes. Also, there is herding spillover from Turkey to Russia, China and Brazil during the global financial crisis, post-European debt crisis and COVID-19 periods respectively. Furthermore, it is also evident that there is a herding spillover from Russia and China to India during the period covering COVID-19. Originality/value To the best of the authors' knowledge, this is the first study that uses structural change approach to identify herding behaviour spillovers from the US stock market to BRIC countries and Turkey and to investigate the cross-country herding behaviour among BRIC countries and Turkey.

DISTANCE MEASURES, INCONSISTENCY MATRICES AND ALGORITHMS FOR THE STUDY OF EPIDEMIOLOGICAL AND FINANCIAL CRISES

The article reports that Distance measures, inconsistency matrices and algorithms for the study of epidemiological and financial crises. Topics include methods for multivariate time series analysis and then applies these methods to understand the behavior of financial crises;and substantial homogeneity between the equity indices of countries during the Covid-19 pandemic.