Precious Metals Comovements in Turbulent Times: COVID-19 and the Ukrainian Conflict

We examined the evolution of cross-market linkages between four major precious metals and US stock returns, before (Phase I) and after (Phase II) the COVID-19 outbreak. Phase II was also extended to encompass the Ukrainian conflict, which prolonged the period of uncertainty in financial markets. Due to the increase in volatility observed in Phase II, we used a heteroskedasticity-adjusted correlation coefficient to examine the evolution of correlation changes since the COVID-19 outbreak. We also propose a relevant dissimilarity measure in multidimensional scaling analysis that can be used for depicting associations between financial returns in turbulent times. Our results suggest that (i) the correlation levels of gold, silver, platinum, and palladium returns with US stock returns have not changed substantially since the COVID-19 outbreak, and (ii) all precious metal returns exhibit movements that are less synchronized with US stock returns, with palladium and gold being the least synchronized. © 2023 by the author.

Economic Policy Uncertainty and Emerging Stock Market Volatility

This research examines the effect of economic policy uncertainty (EPU) indices on Pakistan's stock market volatility. Particularly, we examine the impact of the economic policy uncertainty index for Pakistan and bilateral global trading partner countries, the US, China, and the UK. We employ the GARCH-MIDAS model and combination forecast approach to evaluate the performance of economic uncertainty indices. The empirical findings show that the US economic policy uncertainty index is a more powerful predictor of Pakistan stock market volatility. In addition, the EPU index for the UK also provides valuable information for equity market volatility prediction. Surprisingly, Pakistan and China EPU indices have no significant predictive information for volatility forecasting during the sample period. Lastly, we find evidence of all uncertainty indices during economic upheaval from the COVID-19 pandemic. We obtained identical results even during the Covid-19. Our findings are robust in various evaluation methods, like MCS tests and other forecasting windows.

The interest in online museum experiences and the influence of uncertainty and sentiment factors on tourist arrivals: The case of EU Mediterranean countries

This study examines the determinants of tourist arrivals at hotels and short-stay accommodations for nine EU countries from January 2010 to March 2022. We identify four driving channels of foreign and domestic tourism flows: a traditional, a sentiment, a technological and a health channel. The latter comprises two novel variables: the museum search interest and the infectious disease equity market volatility tracker. The results reveal that traditional and new drivers related to market sentiments and interest in online tourism experiences affect arrivals. Notably, there is a substitution effect between online and in-presence tourism, and the larger the uncertainty, the more substantial the reduction in tourist arrivals. COVID-19 has affected especially Spain and Italy and more foreign than domestic tourists. © 2023 The Authors

Gambling-Motivated Market Attention and Stock Market Volatility

Retail investors show gambling preferences and pay greater attention to the market than individual stocks. Previous studies report a positive and significant relationship between market attention and volatility. This relationship results from the joint effects of attention to investment-motivated and gambling-motivated components. However, the separate roles of these two components have not yet been examined. Hence, this study applied principal component analysis to identify the gambling-motivated component from market attention and gambling-related variables. The investment-motivated component is the regression residual of the market's attention paid to the gambling-motivated component. This study linearly relates these two components to volatility. The generalized method of moments regression was used to resolve endogeneity problems and biased estimates. The Google search volume index is a proxy for unobserved retail investors' market attention. Using a daily sample of the Thai market from August 6, 2008, to September 30, 2022 (a total of 3,450 observations), this study found a positive relationship between market attention and stock market volatility. This relationship results from the positive effects of both investment-motivated and gambling-motivated components. Attention to gambling is more influential than attention to investment. The explanatory powers of gambling-attention and investment-attention for volatility were 81.33% and 18.67%, respectively. These effects were less pronounced during the COVID-19 pandemic.

Construction of resilience mechanisms in response to container shipping market volatility during the pandemic period: From the perspective of market supervision

As a key enabler of international trade, the container shipping market experienced port congestion, space shortages, and skyrocketing freight rates following the outbreak of the COVID-19 pandemic. Therefore, this paper first utilizes the vector autoregressive model with exogenous variables (VARX) to analyze the interactive mechanisms of economy, capacity, freight rate, and port congestion during the pandemic to identify the causes behind the excessive market volatility. We then introduce government supervision to improve the policy deficiencies in pricing rules and assess whether prohibiting liner companies from charging excessive surcharges can solve market dilemmas by constructing a tripartite evolutionary game model. The results show that liner companies deliberately maintained congestion by using strict control over shipping capacity to raise freight rates and obtain high profits, which is one of the main reasons for the problems. However, we also conclude that relying solely on the spontaneous behavior of the market is unlikely to resolve the predicament. Instead, government intervention can play a crucial role in encouraging liner companies to increase appropriate container capacity, stabilize freight rates, and mitigate the risk of supply chain disruptions due to port congestion. This, in turn, can enhance the resilience of the container transport system.

On the effects of Covid-19 pandemic on stock prices: an imminent global threat.

With the advent of the global COVID-19 pandemic, various world economies have been adversely affected. Occurrences such as plummeting equities, crippling global economic activities and surge in market volatility amongst others have become prevalent across the world. Assessing the economic impact of this crisis becomes expedient from a policy standpoint as the crisis unfolds with extreme speed. To this end, we employ the Autoregressive Distributed Lag approach to examine possible relationship between the pandemic and stock prices for global and some selected countries, namely China, France, Italy and the United States. We find evidence that the effect of COVID-19 observed cases on stock prices is rather varying across countries and limited, the spillover effects orchestrated through the recent oil and financial market volatility cannot be overlooked. Given the speed of occurrences, there is need for governments all over the world to be more proactive in striving for a breakthrough over the virus otherwise, in the coming weeks the global economy may receive a surge of the pandemic.

Into the Unknown: Uncertainty, Foreboding and Financial Markets

While the link between financial market movement and economic policy uncertainty indices is well-established in literature, uncertainty in the form of ‘foreboding' emanating from catastrophic events has not been explored in literature. This paper explores "foreboding”, which reflects uncertainty at its extreme, following the Covid-19 pandemic. Using Natural Language Processing on minute-by-minute news data, I construct two Foreboding Indices, representing ‘foreboding' or ‘fearful apprehension', for 28,622 Covid-related news for the period July 2020–August 2021. The impact of foreboding on financial market volatility is explored using a logistic regression model. Both the indices show a marked increase in June–July, 2020, in January 2021, April, 2021, and July–August, 2021 and have a positive impact on volatility for hourly S&P 500 Index. Understanding of foreboding sentiment is crucial for central banks looking to monitor financial market volatility. Appropriate signaling in accordance to sentiment can help central banks handle detrimental impacts of market volatility. Moreover, FI can be used for market practitioners to gauge the sentiment and take effective trading decisions. © 2023, The Author(s), under exclusive licence to Springer Japan KK, part of Springer Nature.

Interlinkages of cryptocurrency and stock markets during COVID-19 pandemic by applying a TVP-VAR extended joint connected approach

Purpose: The purpose of this paper is to study the interlinkages between the cryptocurrency and stock market by characterizing their connectedness starting from January 1, 2018 to December 31, 2021. Design/methodology/approach: The author employs a time-varying parameter vector autoregression (TVP-VAR) in combination with an extended joint connectedness approach. Findings: The pandemic shocks appear to have influences on the system-wide dynamic connectedness, which reaches a peak during the COVID-19 pandemic. Net total directional connectedness suggests that each cryptocurrency and stock have a heterogeneous role, conditional on their internal characteristics and external shocks. In particular, Bitcoin and Binance Coin are reported as the net receiver of shocks, while the role of Ethereum shifts from receivers to transmitters. As for the stock market, the US stock market stays persistent as net transmitters of shocks, while the Asian stock market (including Hong Kong and Shanghai) are the two consistent net receivers. During the COVID-19 pandemic shock, pairwise connectedness reveals that cryptocurrencies can explain the volatility of the stock markets with the impact most severe at the beginning of 2020. Practical implications: Insightful knowledge about key antecedents of contagion among these markets also help policymakers design adequate policies to reduce these markets' vulnerabilities and minimize the spread of risk or uncertainty across these markets. Originality/value: The author is the first to investigate the interlinkages between the cryptocurrency and the stock market and assess the influences of uncertain events like the COVID-19 health crisis on the dynamic interlinkages among these two markets. The author employs the TVP-VAR combined with an extended joint connectedness approach. [ FROM AUTHOR] Copyright of Journal of Economic Studies is the property of Emerald Publishing Limited 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.)

Markov-Regime Switches in Oil Markets: The Fear Factor Dynamics

This paper is an attempt to examine regime switches in the empirical relation between return dynamics and implied volatility in energy markets. The time-varying properties of the return-generating process are defined as a function of several risk factors, including oil market volatility and changes in stock prices and currency rates. The empirical evidence is based on Markov-regime switching models, which have the capacity to capture, in particular, the stochastic behavior of the OVX oil volatility index as a benchmark for investors' fear. The results suggest that the dynamics of oil market returns are governed by two distinct regimes, a state driven by a negative relationship between returns and implied volatility and another state characterized by a more pronounced negative correlation. It is the latter regime with a stronger correlation that tends to prevail over the sample period from 2008 to 2021, but the frequency of regime shifts also seems to increase under more volatile oil price dynamics in association with significant events such as the COVID-19 pandemic. Thus, the evidence of a negative correlation structure is found to be robust to changes in the estimation period, which suggests that the oil volatility index remains a reliable gauge of market sentiment in the energy markets. © 2023 by the author.

Impacts and Consequences of COVID-19 Epidemic on Global Economy

Background: Since Coronavirus (COVID-19) is increasing its influence from China and spreading its reservoir to neighboring areas and other nations, expanded national and foreign efforts are being made to control this epidemic. Method(s): This review incorporated the information depicting the effect of COVID-19 on different industrial sectors. Result(s): According to the World Health Organization, the outbreak was first identified in the Chinese city of Wuhan in December 2019 and has affected more than 17660523 people (confirmed cases) worldwide, and more than 680894 people have died. In addition to its alarming impact on human health, the novel strain of COVID-19 has dramatically slowed down not just the Chinese economy but also the world economy. The increased uncertainty has led to financial market volatility. Conclusion(s): Some firm decisions and policies must be framed out to stabilize the world economy so that threatening socio-economic impact cannot be sustained for a longer period of time for the welfare of humankind.Copyright © 2021 Bentham Science Publishers.

Corporate Social Responsibility: A Business Strategy That Promotes Energy Environmental Transition and Combats Volatility in the Post-Pandemic World

Corporate social responsibility can assist in reducing the noise caused by pricing volatility and a lack of energy-efficient business solutions. The study's objective is twofold: (i) to investigate the role of corporate social responsibility (CSR) in reducing volatility through the contribution of energy-efficient strategies;(ii) to identify research trends in the field that may indicate future research directions for the development of more dynamic strategies that will help in mitigating the impact of pricing volatility. A five-step bibliometric analysis was applied to address the research question. The findings were visualized by using bibliometric tools such as R Studio, Biblioshiny, and VOSViewer. Chinese academics have been revealed as pioneers in integrating CSR into corporate strategies to reduce volatility and support energy-efficient investments. Moreover, results indicate that financial institutions must embrace a new business model based on both CSR and environmental, social, and corporate governance (ESG) principles. Since very little is known about the interaction structure between CSR and ESG in the mitigation of price volatility, the purpose of this article is to bridge that knowledge gap. The pioneering character of this research—the construction of a business model based on the principles of CSR and ESG—contributes significantly to both the field's knowledge and the practice of corporate sustainability management.

Economic Policy Uncertainty, Energy and Sustainable Cryptocurrencies: Investigating Dynamic Connectedness during the COVID-19 Pandemic

The purpose of the research is to explore the dynamic multiscale linkage between economic policy uncertainty, equity market volatility, energy and sustainable cryptocurrencies during the COVID-19 period. We use a multiscale TVP-VAR model considering level (EPUs and IDEMV) and returns series (cryptocurrencies) from 1 December 2019 to 30 September 2022. The data are then decomposed into six wavelet components, based on the wavelet MODWT method. The TVP-VAR connectedness approach is used to uncover the dynamic connectedness among EPUs, energy and sustainable cryptocurrency returns. Our findings reveal that CNEPU (USEPU) is the strongest (weakest) NET volatility transmitter. IDEMV is the most consistent volatility NET transmitter among all uncertainty indices across the original returns and wavelet scales (D1~D6). Energy cryptocurrencies, i.e., GRID, POW and SNC, are more likely to receive volatility spillovers than sustainable cryptocurrencies during a turbulent period (COVID-19). XLM (XNO) is least (most) affected by volatility spillover in system-wide connectedness, and XLM (ADA and MIOTA) showed a consistent (heterogeneous) non-recipient behavior across the six wavelet (D1~D6) scales and original return series. This study uncovers the dynamic connectedness across multiscale, which will support investors considering different investment horizons (D1~D6). © 2023 by the authors.

TIME-VARYING EFFECT OF SHORT SELLING ON MARKET VOLATILITY DURING CRISIS: EVIDENCE FROM COVID-19 AND WAR IN UKRAINE

In this paper, we empirically investigate the effect of short selling on market volatility during exogenously-induced uncertainties. Using the Covid-19 pandemic and the onset of the Russian-Ukraine Conflicts periods as event study, we employ the asymmetric EGARCH model. We show high persistence and asymmetric effects of market volatility during the pre-covid outbreak and post-covid outbreak periods. We find evidence that short selling increases market volatility during the pre-covid outbreak period while the period of the Russian-Ukraine conflict is characterized by reduced volatility. We find no evidence of short selling effect on market volatility during the post-covid outbreak period. Our findings provide significant implications for short-selling strategies during crisis periods. © 2022 The authors.

Economic Shocks from COVID-19 and the Assessment of Micro-, Small-, and Medium-Sized Enterprises Emergence of Insurance Coverage in Urban South-West, Nigeria

The COVID-19 pandemic created financial uncertainties which affected economic growth and investments throughout different sectors of the world economy. It created ample setbacks and negatively affected priority sectors such as agriculture, healthcare, defense, finance, and construction. The COVID-19 risk is perceived differently and viewed as a global economic shock. Micro, small, and medium-sized enterprises (MSMEs) have been proven to be the powerhouse of sustainable development of most economies, even though most of them do not have any risk management tool set in place. Insurance coverage is one of the risk management tools that help protect businesses from shocks and enables them to remain in business. This chapter examines the impact of the COVID-19 pandemic on MSMEs' level of production income and the uptake of insurance coverage in South-West, Nigeria. A quantitative approach is adopted with a representative sample of 192 MSME operators selected by snowballing sampling. Data were analyzed using descriptive and inferential statistics, including the treatment effects model, logistic regression, Pearson correlation coefficient, and Cramer's V. The average age of the respondents was 37 ± 7.2 years—implying MSME operators in the study area are young and vibrant and, therefore, considered to be in their economically active years. Most MSME operators had at least secondary education in which 68.2% were providing services of some kind and can be classified as micro in nature as they employed less than ten employees. The findings revealed that the uptake of insurance coverage by MSMEs stood at 31%, while 69% were willing to take insurance coverage to mitigate future risks. MSMEs affected by the global pandemic showed more interest in taking up insurance coverage to mitigate future risks than those that were not seriously affected. Over 45% of MSME operators showed interest towards the uptake of fire and special peril insurance products, while about 29% were interested in the uptake of business interruption insurance products—reflecting on the proactive nature of doing business and new normal in the region. It is recommended that insurance companies should develop tailor-made products for MSMEs so as to make insurance more attractive. Given that the high cost of premiums significantly influenced MSMEs' likelihood of getting insurance, flexible payments methods should be allowed for increased uptake. This will, in turn, boost productivity and confidence that in the event of any adverse market condition and undesirable future occurrences, they will not be worse off. © 2023, The Author(s), under exclusive license to Springer Nature Switzerland AG.

Volatility forecasting with Hybrid-long short-term memory models: Evidence from the COVID-19 period

Volatility forecasting, a central issue in financial risk modelling and management, has attracted increasing attention after several major financial market crises. In this article, we draw upon the literature on volatility forecasting and hybrid models to construct the Hybrid-long short-term memory (LSTM) models to forecast the intraday realized volatility in three major US stock indexes. We construct the hybrid models by combining one or multiple traditional time series models with the LSTM model, and incorporating either the estimated parameters, or the predicted volatility, or both from the statistical models as additional input values into the LSTM model. We perform the out-of-sample test of our Hybrid-LSTM models in volatility forecasting during the coronavirus disease 2019 (COVID-19) period. Empirical results show that the Hybrid-LSTM models can still significantly improve the volatility forecasting performance of the LSTM model during the COVID-19 period. By analysing how the construction methods may influence the forecasting performance of the Hybrid-LSTM models, we provide some suggestions on their design. Finally, we identify the optimal Hybrid-LSTM model for each stock index and compare its performance with the LSTM model on each day during our sample period. We find that the Hybrid-LSTM models' great capability of capturing market dynamics explains their good performance in forecasting. © 2023 John Wiley & Sons Ltd.

Resilience of Environmental and Social Stocks under Stress: Lessons from the COVID‐19 Pandemic

This paper examines whether environmental and social (ES) activities affect the resiliency of firms during the COVID‐19 crisis. We study a sample of 330 firms operating in five developed countries: Canada, France, Japan, the UK and the US. Our analysis shows that US firms with a high ES ranking experienced a significantly lower stock price range volatility during the Covid stock market rundown of February‐March 2020. Such findings also hold for Japanese firms but only later on after the introduction of government support. In terms of returns, compared to their peers with a low ES ranking, Japanese and UK stock prices with a high ES ranking suffered more during and after the market rundown. For other countries, we do not find significant differences in stock price behavior based on ES ratings. Our findings suggest that engaging with ES activities is not associated with a better or worse performance during crisis times, which has important implications for investors and managers.

COVID-19 VACCINATION, GOVERNMENT STRICT POLICY AND CAPITAL MARKET VOLATILITY: EVIDENCE FROM ASEAN COUNTRIES

The COVID-19 pandemic had a negative impact on the volatility of the stock market in the ASEAN region. Mass vaccination and strictness policies are government efforts to tackle stock market losses. Hence, this study aims to examine the effect of the COVID-19 vaccination and the stringent government policies on the volatility of stock markets in ASEAN countries. We collected the daily index prices, the number of vaccines, and the stringency index from 13 January 2020 to 31 August 2021. Using the GJR-GARCH model (1, 1) and Generalized Least Square regression, this study found that the mass vaccination had a negative effect on stock market volatility, whereas the government's stringent policies had a positive effect. Mass vaccination tends to increase the confidence of economic actors, impacting investors' confidence in the stability of the stock market. Meanwhile, the government's strict policies have caused uncertainty among economic actors and investors regarding the economic prospects during the pandemic, leading to high levels of volatility. Therefore, governments must promote more aggressive vaccination policies, thereby reducing stringent policies for economic agents. © 2023, Bulgarska Akademiya na Naukite. All rights reserved.

Stock markets' reaction to COVID-19: the joint impact of uncertainty avoidance culture and government response–evidence from emerging countries

Purpose: The authors examine whether the uncertainty avoidance culture and the stringency of government response play a role in shaping the stock market's response to coronavirus disease 2019 (COVID-19). The authors find that investors' response to the pandemic will not only depend on their instinct of uncertainty aversion but also on their expectation about the effectiveness of the government measures. The uncertainty avoidance culture amplifies the irrational actions of investors. However, harsh government responses will weaken this effect. Harsh government responses also send a negative signal to the market about the extent of the pandemic and the economic damage caused by anti-COVID measures. Governments need to be balanced in imposing anti-COVID measurements to preserve market confidence. Design/methodology/approach: In this article, the authors investigate whether the stock market volatility of emerging countries is simultaneously driven by two factors: the uncertainty-aversion culture of investors in a country and the stringency of the government's response to the pandemic. The authors conduct an empirical study on a sample of 20 emerging countries during the period from January 2020 to March 2021. Findings: The authors find that the national-level uncertainty aversion amplifies the irrational actions of investors during the period of crisis. However, harsh government responses will weaken this effect. The authors' findings show evidence that investors' response to the pandemic will not only depend on their instinct of uncertainty aversion but also on their expectation about the effectiveness of the government measures. Although harsh government responses can stabilize the investors' sentiment in countries with high levels of uncertainty aversion, they also send a negative signal to the market about the extent of the pandemic as well as the economic damage caused by anti-COVID measures. Originality/value: First, the study's results complement evidence from existing studies on the effect of uncertainty avoidance culture in determining stock market responses to COVID-19. Second, an important difference from previous studies, this paper adds to the behavioral finance literature by showing that investors' investment decisions in the face of economic uncertainty are not driven solely by their cultural values but also by their expectation about the effectiveness of the government policy. During a crisis, when the market has neither rational information nor adequate experience to forecast the future, the government must play an important role in stabilizing investors' sentiment and reactions. © 2021, Emerald Publishing Limited.

Climate policy uncertainty and stock market volatility: Evidence from different sectors

This paper mainly investigates whether the climate policy uncertainty index (CPU) can predict the volatility of Chinese stock market volatility considering different sectors. Out-of-sample results show that climate policy uncertainty index can have a greater effect on the utility sector. We also investigate the effects of CPU based on longer horizons, different volatility levels and the COVID-19 pandemic. This paper tries to provide new evidence based on sector stock indices. © 2022

Reactive or Immune: Stock Market Behaviour During Subsequent Waves of the COVID-19 Pandemic

The COVID-19 pandemic, since its onset, has erupted in waves over the past two years. Previous studies investigated the initial impact of the outbreak on stock market returns. This study extends the investigation of the impact on stock market returns during subsequent waves of the pandemic. A panel data regression of stock market returns to covid variables during the three waves indicated that the initial fear of the disease did not persist through the later waves and the fear factor of the disease spread, deaths and lockdowns faded with every subsequent wave. Investors reacted differently to certain COVID variables. The daily count of total cases and daily deaths were the variables of interest for the first wave, whereas, for subsequent waves, the growth in daily new cases was the most prominent. The country-wise analysis over periods of waves of the pandemic revealed that investor behaviours varied among countries with no identifiable pattern indicating the significance of societal behaviours affecting investor decisions, especially during the crises.