The spread of COVID-19 in stock returns along global value chains

This paper examines the performance of industries in the trade network in international stock markets during the onset of COVID-19. In general, the value of all industries in G20 countries declines significantly in the pandemic. Stock returns of industries in the central positions of global value chains exhibit remarkable resilience despite the economic hardship caused by COVID-19. This pattern is more pronounced when the disruptions caused by social distancing requirements are considered. We postulate that this is related to the essential services provided by the central industries.

The stock market and NO2 emissions effects of COVID‐19 around the world

In this paper, we study the impact of the coronavirus disease 2019 pandemic in estimated panel vector autoregression models for 92 countries. The large cross‐section of countries allows us to shed light on the heterogeneity of the responses of stock markets and nitrogen dioxide emissions as high‐frequency measures of economic activity. We quantify the effect of the number of infections and four dimensions of policy measures: (1) containment and closure, (2) movement restrictions, (3) economic support, and (4) adjustments of health systems. Our main findings show that a surprise increase in the number of infections triggers a drop in our two measures of economic activity. Propping up economic support measures, in contrast, raises stock returns and emissions and, thus, contributes to the economic recovery. We also document vast differences in the responses across subsets of countries and between the first and the second wave of infections.

Does the Shield Effect of CSR Work in Crises? Evidence in Korea

This paper investigates the impact of corporate social responsibility (CSR) on shareholders' wealth during market downturn, focusing on the market crash caused by the COVID-19 pandemic and its aftermaths. We evaluate the relationship between firms' CSR and stock returns using a sample of 803 firms listed on the Korean stock market. The results of our study reveal that firms' pre-crisis CSR activities do not protect shareholders' wealth during the crisis;in fact, they negatively affected stock returns during the COVID-19 crisis. This finding is consistent across several robustness tests and challenges the prevailing notion that CSR is solely a philanthropic endeavor. This study suggests that firms need to reconsider their CSR approach in order to better align it with shareholders' interest.

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.

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.

Vacunación COVID-19 y Respuesta de los Mercados Financieros Latinoamericanos: GCG

La pandemia por COVID-19 ha traído grandes consecuencias económicas en los mercados. Este trabajo analiza la relación entre el avance de programas de vacunación y mercados financieros latinoamericanos. Se utiliza un enfoque de análisis de coherencia Wavelet para evaluar el movimiento conjunto de los mercados y el avances de estrategias de inoculación en base a datos diarios de Argentina, Brasil, Chile y México. Los resultados muestran que el avance de los programas de vacunación en los países latinoamericanos tienen efectos positivos y significativos en los rendimientos de sus mercados financieros.Alternate :The COVID-19 pandemic has had major economic consequences in the markets. This paper analyzes the relationship between the progress of vaccination programs and Latin American financial markets. A Wavelet coherence analysis approach is used to evaluate the co-movement of markets and the progress of inoculation strategies based on daily data from Argentina, Brazil, Chile and Mexico. The results show that the progress of vaccination programs in Latin American countries has positive and significant effects on the returns of their financial markets.Alternate :A pandemia da COVID-19 teve consequências económicas importantes nos mercados. Este documento analisa a relação entre o progresso dos programas de vacinação e os mercados financeiros latino-americanos. Uma abordagem de análise de coerência Wavelet é utilizada para avaliar o co-movimento dos mercados e o progresso das estratégias de inoculação com base em dados diários da Argentina, Brasil, Chile e México. Os resultados mostram que o progresso dos programas de vacinação nos países da América Latina tem efeitos positivos e significativos no retorno dos seus mercados financeiros.

The French automotive industry faces the challenge of the ecological transition

[...]the vehicle of the future must be considered within the broader framework of the mobility of the future, taking into account the entire value chain. Transforming our future into a sustainable future: planning for the automotive transition Didier Sepulchre de Condé, Mechanical industry The automotive industry is in turmoil, firstly because of the economic situation, with a market deeply affected by Covid, shortages of materials and components and disoriented customers;and secondly because of the structural situation, with the forced transition to electrification. The four paradoxes of the ecological transition of the European car industry Alois Kirchner, Former Director of Cabinet of the Minister for Industry The energy transition in the automotive sector is essential for achieving French and European climate objectives. [...]the actions implemented come up against four paradoxes, which must be overcome if this transition is to succeed: * the regulation on the reduction of CO2 emissions from the tank to the wheel, to the exclusion of other sources which now represent the majority of emissions from new vehicles;* the steering of vehicle traffic restrictions based on Crit'air stickers, leading to the prohibition of access to certain cities for vehicles that are more virtuous than others that are still allowed to enter;* the inability to implement policies to support the production of vehicles on European soil that are sufficiently powerful to halt the fall in associated jobs;a situation that benefits production sites that are not subject to the same environmental standards;* and the rising price of "green" vehicles, leading to a slowdown in the renewal of the fleet and the maintenance of a high level of pollution and carbon emissions.

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.

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.

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.

Does US Infectious Disease Equity Market Volatility Index Predict G7 Stock Returns? Evidence Beyond Symmetry

During the COVID-19 pandemic, Baker et al. (2020) [The unprecedented stock market reaction to COVID-19. The Review of Asset Pricing Studies, 10, 742–758.] proposed the infectious disease equity market volatility (ID-EMV) index, which tracks US equity market volatility caused by infectious diseases. We extended the literature by using this newly developed ID-EMV index to examine its asymmetric effect on the share market returns of the G7 countries, which include the United Kingdom, Italy, Japan, Germany, France, Canada, and the United States of America. Moreover, we used novel techniques like the quantile-on-quantile regression test, quantile cointegration test, and quantile unit root test. The quantile cointegration test indicates that the infectious disease EMV index is cointegrated with G7 stock returns. Moreover, the quantile-on-quantile regression technique reveals that the infectious disease index positively affects stock returns during bullish states of the stock markets. In contrast, it negatively affects stock returns during bearish states of the stock market returns. The negative effect of the bearish states implies that investors may discourage investments during the downturns of the economy, whereas they need to boost their investments during economic booms.

The mean reversion/persistence of financial cycles: Empirical evidence for 24 countries worldwide

Research background: The globalization trend has inevitably enhanced the connectivity of global financial markets, making the cyclicality of financial activities and the spread of market imbalances have received widespread attention, especially after the global financial crisis. Purpose of the article: To reduce the negative effects of the contagiousness of the financial cycles, it is necessary to study the persistence of financial cycles and carve out the total connectedness, spillover paths, and sources of risks on a global scale. In addition, understanding the relationship between the financial cycle and economic development is an important way to prevent financial crises. Methods: This paper adopts the nonlinear smoothing transition autoregressive (STAR) model to extract cyclical and phase characteristics of financial cycles based on 24 countries during 1971Q1?2015Q4, covering developed and developing countries, the Americas, Europe, and Asia regions. In addition, the frequency connectedness approach is used to measure the connectedness of financial cycles and the relationship between the global financial cycle and the global economy. Findings & value added: The analysis reveals that aggregate financial cycles persist for 13.3 years for smoothed and 8.7 years for unsmoothed on average. The national financial cycles are asynchronous and exhibit more prolonged expansions and faster contractions. The connectedness of financial cycles is highly correlated with systemic crises and contributes to the persistence and harmfulness of shocks. It is mainly driven by short-term components and exhibits more pronounced interconnectedness within regions than across regions. During the financial crisis, the global financial cycle movements precede and are longer than the business fluctuations. Based on the study, some policy implications are presented. This paper emphasizes the impact of systemic crises on the persistence of financial cycles and their connectedness, which contributes to refining research related to the coping mechanisms of financial crises.

Oil price shocks, economic policy uncertainty, and green finance: a case of China

This study investigates the long- and short-run effects of crude oil price (COP) and economic policy uncertainty (EPU) on China's green bond index (GBI) using the quantile autoregressive distributed lag model. The empirical results show that COP and EPU produce a significant positive and negative influence on GBI in the long-run across most quantiles, respectively, but their short-run counterparts are opposite direction and only significant in higher quantiles. Thus, major contributions are made accordingly and shown in the following aspects. The findings emphasise the importance of understanding how COP and EPU affect China's green bond market for the first time. In addition, both the long- and short-run effects are captured, but long-run shocks primarily drive the green bond market. Finally, time- and quantile-varying analyses are adopted to explain the nexus between COP and EPU to GBI, which considers not only different states of the bond market but also events that occur in different time periods. Some detailed policies, such as a unified and effective green bond market, an early warning mechanism of oil price fluctuation, and prudent economic policy adjustments, are beneficial for stabilising the green finance market.

HERDING BEHAVIOR IN FRONTIER NORDIC COUNTRIES

This paper investigates herding behavior of investors in three frontier Nordic countries from July 1,2002 until July 30, 2021, under different market conditions and during three crises that occurred in this period. As estimation methods, we use both OLS and quantile regression and determine that both up and down market, high and low volatility induce a weak herding behavior for at least one quantile in almost all Nordic countries examined, except for Latvia. At the same time, we find that crises determine a more prominent herding behavior in Nordic countries, but do not influent the behavior of investors from Latvia, that tend to remain rational even in stressful conditions.

Stock Price Forecasting of IBEX35 Companies in the Petroleum, Electricity, and Gas Industries

In recent years, time series forecasting has become an essential tool for stock market analysts to make informed decisions regarding stock prices. The present research makes use of various exponential smoothing forecasting methods. These include exponential smoothing with multiplicative errors and additive trend (MAN), exponential smoothing with multiplicative errors (MNN), and simple exponential smoothing with additive errors (ANN) for the forecasting of the stock prices of six different companies in the petroleum, electricity, and gas industries that are listed in the IBEX35 index. The database employed for this research contained the IBEX35 index values and stock closing prices from 3 January 2000 to 30 December 2022. The models trained with this data were employed in order to forecast the index value and the closing prices of the stocks under study from 2 January 2023 to 24 March 2023. The results obtained confirmed that although none of the proposed models outperformed the rest for all the companies, it is possible to calculate forecasting models able to predict a 95% confidence interval about real stock closing values and where the index will be in the following three months.

OIL PRICE AND VIETNAM STOCK MARKET IN THE ERA OF THE COVID-19 OUTBREAK

The interactive association between oil prices and stock market has increasingly captured the attention of researchers. Especially, how does the relationship between oil prices and stock market varies during COVID-19 pandemic? The study's aim is to investigate the time-varying causal effect of the COVID-19 pandemic on the link between the oil prices and Vietnam stock market using the wavelet approach. Daily data about oil prices Vietnam stock prices and returns covers the period of ten years from January 2011 to December 2021 will be gathered, processed and analyzed to examine the influence of pre, first and second waves of COVID-19 pandemic on the relationship between oil prices and stock market.

Influence of the global environment on capital flows in the London Office market

PurposeThe London office market is a major destination of international real estate capital and arguably the epicentre of international real estate investment over the past decade. However, the increase in global uncertainties in recent years due to socio-economic and political trends highlights the need for more insights into the behaviour of international real estate capital flows. The purpose of this study is to evaluate the influence of the global and domestic environment on international real estate investment activities within the London office market over the period 2007–2017.Design/methodology/approachThis study adopts an auto-regressive distributed lag approach using the real capital analytics (RCA) international real estate investment data. The RCA data analyses quarterly cross-border investment transactions within the central London office market for the period 2007–2017.FindingsThe study provides insights on the critical differences in the influence of the domestic and global environment on cross-border investment activities in this office market, specifically highlighting the significance of the influence of the global environment in the long run. In the short run, the influence of factors reflective of both the domestic and international environment are important indicating that international capital flows into the London office market is contextualised by the interaction of different factors.Originality/valueThe authors provide a holistic study of the influence of both the domestic and international environment on cross-border investment activities in the London office market, providing more insights on the behaviour of global real estate capital flows.

How Governance Indicators Affect Foreign Ownership in the Middle East Equity Markets

The governance indicators of any country may reflect how safe is it to invest in its markets. The question is whether these indicators are being considered by foreign investors in the stock markets. A quantitative approach was used in this study to answer this question and explore how governance indicators can affect the size of the foreign ownership in the stock markets of the Middle East. The study covered the period from 2010 to 2019 excluding the time of financial crisis and the time of COVID-19. The collected data were analyzed using ordinary least squares method. Study results revealed that foreign investors in the stock markets of the Middle East do not consider governance indicators when taking their investment decisions because the foreign ownership in the equity markets was not affected by the governance indicators even when testing each country and each indicator individually.