Informational inefficiency on bitcoin futures

This paper investigates the dynamics and drivers of informational inefficiency in the Bitcoin futures market. To quantify the adaptive pattern of informational inefficiency, we leverage two groups of statistics which measure long memory and fractal dimension to construct a global-local market inefficiency index. Our findings validate the adaptive market hypothesis, and the global and local inefficiency exhibits different patterns and contributions. Regarding the driving factors of the time-varying inefficiency, our results suggest that trading activity of retailers (hedgers) increases (decreases) informational inefficiency. Compared to hedgers and retailers, the role played by speculators is more likely to be affected by the COVID-19 crisis. Extremely bullish and bearish investor sentiment has more significant impact on the local inefficiency. Arbitrage potential, funding liquidity, and the pandemic exert impacts on the global and local inefficiency differently. No significant evidence is found for market liquidity and policy uncertainty related to cryptocurrency.

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.

Stock Comovement and Financial Flexibility

We develop a dynamic model of corporate investment and financing, in which shocks to the value of collateralizable assets generate variation in firms' debt capacity. We show that the degree of similarity among firms' financial flexibility forecasts cross-sectional variation in return correlation. We test the implications of the model with firm-level data in two empirical analyses using i) an instrumental variable approach based on shocks to the value of collateralizable corporate assets and ii) the outbreak of the COVID-19 crisis as an event study. We find that firms in the same percentile of the cross-sectional distribution of financial flexibility have 62% higher correlation in stock-return residuals than firms 50 percentiles apart.

What do we know about the idiosyncratic risk of clean energy equities?

The COVID-19 pandemic stimulated the need to invest in clean energy firms for better returns and climate risk mitigation. This study provides a detailed overview of the impact of idiosyncratic risk (IVOL) on excess returns of 95 clean energy stocks. Overall, investors in clean energy stocks are guided by the pessimist group of investors who underprice the high IVOL stocks and demand high-risk premiums to diversify the firm-specific risk. Further, during the COVID-19 period, there is no significant relationship between clean energy excess stock returns and IVOL. During this period, clean energy stocks were exposed to higher information asymmetry, limiting the arbitrage opportunities and producing a weaker return-IVOL relation indicating that clean energy stocks reflect the properties of technology stocks. IVOL has a low level of persistence which may be helpful in forecasting. This study offers valuable insights for regulators and investors from the investment decisions, asset pricing, and diversification perspective.

Association between Loneliness, Well-Being, and Life Satisfaction before and during the COVID-19 Pandemic: A Cross-Sectional Study

Good psychological well-being contributes to a satisfying life, reduces loneliness, and enables a better quality of life. Due to the COVID-19 pandemic, people worldwide have faced various challenges, which manifest in mental health problems, dissatisfaction with life and increased loneliness. This study aimed to investigate the influence of loneliness on mental well-being and life satisfaction among the adult population during the COVID-19 pandemic. A cross-sectional study was conducted between October 2021 and January 2022. A total of 664 participants took part in the survey, of whom 484 (73%) were female and 180 (27%) were male. Our results show that loneliness can explain 48% of the total variability in mental well-being and 52% of the variability in life satisfaction. The results show a higher level of loneliness and use of information and communication technology and a lower level of contact with relatives and friends, life satisfaction, and well-being during COVID-19 than they considered before the time of COVID-19. Study findings can help improve loneliness and mental well-being, and, consequently, life satisfaction. © 2023 by the authors.

Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic

We find that the COVID-19 pandemic increases (decreases) stock return sensitivity to market -wide (firm-specific) news, which is associated with return reversals (delayed reactions). These results are consistent with limited investor attention and investors paying heightened (reduced) attention to macro (micro) information after the outbreak. There are more biased reactions when the epidemic spread is higher, to good news than bad news, for firms headquartered in pandemic epicenters, and for larger stocks. We also find higher (lower) imbalanced trading, information flow, and price efficiency associated with market-wide (firm-specific) news during the pandemic.

Evaluating the Relationship Between Obesity and the Humoral Immune Response to COVID-19 Vaccines

Background. The pro-inflammatory state associated with obesity leads to B- and T-lymphocyte dysfunction that may lead to an inadequate immune response to natural infection and vaccination. Preliminary studies, conducted outside of the US, involving multiple COVID-19 vaccines indicate that obesity may impact antibody response. The objective of this study was to evaluate the role of inflammatory status as a mediator in the relationship between obesity and COVID-19 vaccine immune response in a predominantly African-American population. Methods. This cross-sectional analysis involved 54 participants 18 years of age who had completed the primary dosing schedule and booster for Novavax's recombinant COVID-19 vaccine, NVX-CoV2373. Weight, height, and waist circumference (WC) measurements were taken. Medical history including COVID-19 vaccination and known COVID-19 infection were obtained. Blood samples were taken for measurement of c-reactive protein (CRP) and anti-SARS-CoV-2 spike protein IgG levels. Spearman correlation coefficient was used to assess the presence of a relationship between BMI and CRP, WC and CRP, CRP and spike protein IgG, BMI and spike protein IgG, and finally, WC and spike protein IgG. Mediation analysis was used to evaluate the moderating effect of plasma CRP on the relationship between WC and spike protein IgG while adjusting for suspected confounders. Statistical significance was defined as p < .05. Results. There was an expected positive relationship betweenWCand CRP, (rho = 0.37, p< .05). CRP and spike protein IgG trended towards a weak, negative relationship (rho= -0.13, p > .05). WC and BMI both trended towards a positive relationship with anti-SARS-CoV-2 spike protein IgG (rho = 0.29 and 0.15, respectively, p >.05). The mediation analysis showed that WC positively influenced spike protein IgG (p< .05), and this effect was not mediated by CRP. Conclusion. Inflammation may be negatively associated with antibody response to COVID-19 vaccines. WC and antibody response may be positively related in NVX-CoV2373 recipients, in spite of chronic low-grade inflammation. Further research is needed to fully characterize the impact of obesity on COVID-19 vaccine immunogenic responses.

Market Return Around the Clock: A Puzzle

We study how the market return depends on the time of the day using E-mini S&P 500 futures actively traded around the clock. Strikingly, 4 hours around European open account for the entire average market return. This period's returns have a 1.6 Sharpe ratio and remain high after transaction costs. Average returns are a noisy zero during the remaining 20 hours. High returns are consistent with European investors processing information accumulated overnight and thus resolving uncertainty. Indeed, uncertainty reflected by VIX futures prices rises overnight and falls around European open. The results are stronger during the 2020 COVID crisis.

Market sentiment to COVID ‐19 and the Chinese stock market

We classify the market sentiment to COVID-19 into expected and unexpected components and then examine their particular impacts on the stock market. We find that unexpected sentiment causes fluctuations in the stock market more than expected sentiment does. However, unexpected sentiment cannot affect stock market informativeness despite the remarkable informational effect of expected sentiment. Moreover, the relation between expected sentiment and stock market fluctuation or informativeness is one-way, whereas there exists a two-way interaction between unexpected sentiment and stock market fluctuation. This further confirms that expected sentiment is informational, whereas unexpected sentiment is quite noisy and informationally harmful.

Mutual Fund Illiquidity and Stock Price Fragility: A Study Based on Chinese Mutual Funds

From the perspective of Chinese equity fund shareholding, the authors study the economic consequences of institutional investors' shareholding illiquidity. They use the stock holding data of Chinese mutual funds to verify that the illiquidity of mutual funds' stock holding brings fragility to individual stock returns. Specifically, to meet investor redeeming requirement, illiquid fund managers are forced to fire-sale assets. The selling pressure created by this behavior causes the stock to be traded at a price lower than its true value, increasing the stock price collapse risk. Finally, using COVID-19 case data in China, the authors design a quasi-natural experiment confirming the conclusion in this article.

How do investors price accrual risk during crises?

Under rational asset pricing theory, and in efficient, frictionless market, risk should be priced contemporaneously and, thus, the market meltdown during the COVID-19 pandemic must have been a contingent valuation of newly created risk. In contrast, we find that the reduction in equity value during the pandemic was stronger for stocks with higher pre-pandemic accrued risk. This lends support to the discrete pricing proposition, which is a form of behavioural bias where investors price accrued risk during significant corporate or macroeconomic events. Furthermore, we compare the pricing of accrued risk during the pandemic with the pricing of accrued risk during non-pandemic events and during past financial crises. We report evidence that pricing of accrued risk results in a premium in normal times and a discount during financial turmoil. Finally, we report evidence that investors price accrued stocks discriminately, that is, they are more likely to price accrued risk of stocks of larger firms, smaller B/M, and weaker momentum. Several theoretical and practical implications are discussed inside the paper.

Percutaneous biopsy and drainage of the pancreas.

Percutaneous pancreatic interventions performed by abdominal radiologists play important diagnostic and therapeutic roles in the management of a wide range of pancreatic pathology. While often performed with endoscopy, pancreatic mass biopsy obtained via a percutaneous approach may serve as the only feasible option for diagnosis in patients with post-surgical anatomy, severe cardiopulmonary conditions, or prior non-diagnostic endoscopic attempts. Biopsy of pancreatic transplants are commonly performed percutaneously due to inaccessible location of the allograft by endoscopy, usually in the right lower quadrant or pelvis. Percutaneous drainage of collections in acute pancreatitis is primarily indicated for infection with clinical deterioration and may be performed alone or in combination with endoscopic drainage. Post-surgical pancreatic collections related to pancreatic duct fistula or leak also often warrant therapeutic percutaneous drainage. Knowledge of appropriate indications, strategies of approach, technique, and complications associated with these procedures is critical for a successful clinical practice.

Changes in Parental Attitudes Toward COVID-19 Vaccination and Routine Childhood Vaccination During the COVID-19 Pandemic: Repeated Cross-sectional Survey Study.

BACKGROUND: It was reported that one in four parents were hesitant about vaccinating their children in China. Previous studies have revealed a declining trend in the vaccine willingness rate in China. There is a need to monitor the level of parental vaccine hesitancy toward routine childhood vaccination and hesitancy toward the COVID-19 vaccine during the ongoing COVID-19 pandemic. OBJECTIVE: This study aims to assess changes in trends of parental attitudes toward routine childhood vaccines and COVID-19 vaccinations across different time periods in China. METHODS: Three waves of cross-sectional surveys were conducted on parents residing in Wuxi City in Jiangsu Province, China from September to October 2020, February to March 2021, and May to June 2021. Participants were recruited from immunization clinics. Chi-square tests were used to compare the results of the three surveys, controlling for sociodemographic factors. Binary and multivariable logistic regression analysis was used to examine factors related to parental vaccine hesitancy and COVID-19 vaccine willingness. RESULTS: Overall, 2881, 1038, and 1183 participants were included in the survey's three waves. Using the Vaccine Hesitancy Scale, 7.8% (225/2881), 15.1% (157/1038), and 5.5% (65/1183) of parents showed hesitancy to childhood vaccination (P<.001), and 59.3% (1709/2881), 64.6% (671/1038), and 92% (1088/1183) of parents agreed to receive a COVID-19 vaccine themselves in the first, second, and third surveys, respectively (P<.001). In all three surveys, "concerns about vaccine safety and side effects" was the most common reason for refusal. CONCLUSIONS: There has been an increasing acceptance of COVID-19 vaccination in Wuxi City, China. Effective interventions are needed to mitigate public concerns about vaccine safety.

The Wisdom of the Robinhood Crowd

Robinhood investors increased their holdings in the March 2020 COVID bear market, indicating an absence of collective panic and margin calls. This steadfastness was rewarded in the subsequent bull market. Despite unusual interest in some "experience" stocks (e.g., cannabis stocks), they tilted primarily toward stocks with high past share volume and dollar-trading volume (themselves mostly big stocks). From mid-2018 to mid-2020, an aggregated crowd consensus portfolio (a proxy for the household-equal-weighted portfolio) had both good timing and good alpha.

Vaccine efficacy at a point in time.

Vaccine trials are generally designed to assess efficacy on clinical disease. The vaccine effect on infection, while important both as a proxy for transmission and to describe a vaccine's entire effects, requires frequent (e.g., twice a week) longitudinal sampling to capture all infections. Such sampling may not always be feasible. A logistically easy approach is to collect a sample to test for infection at a regularly scheduled visit. Such point or cross-sectional sampling does not permit estimation of classic vaccine efficacy on infection, as long duration infections are sampled with higher probability. Building on work by Rinta-Kokko and others (2009) and Lipsitch and Kahn (2021), we evaluate proxies of the vaccine effect on transmission at a point in time; the vaccine efficacy on prevalent infection and on prevalent viral load, VE$_{\rm PI}$ and VE$_{\rm PVL}$, respectively. Longer infections with higher viral loads should have more transmission potential and prevalent vaccine efficacy naturally captures this aspect. We demonstrate how these parameters obtain from an underlying proportional hazards model for infection and allow for waning efficacy on infection, duration, and viral load. We estimate these parameters based on regression models with either repeated cross-sectional sampling or frequent longitudinal sampling. We evaluate the methods by simulation and analyze a phase III vaccine trial with polymerase chain reaction (PCR) cross-sectional sampling for subclinical infection.

Analysis of the impact of the COVID-19 pandemic on the quotes of pharmaceutical companies listed in the NYSE index

This paper aims to analyse the financial impacts of the COVID-19 pandemic on the pharmaceutical companies listed in the New York Stock Exchange (NYSE) index. The event study methodology is applied to a sample of 50 companies that comprise the pharmaceutical sector of the NYSE. The results present evidence in favour of the efficiency of this financial market, thus confirming that behind all great historical phenomena lies a financial effect;it was possible to demonstrate that the market returns of pharmaceutical companies showed a positive return in the WHO reports on COVID-19.

Demographic Factors and Job Characteristics Associated With Burnout in Chinese Female Nurses During Controlled COVID-19 Period: A Cross-Sectional Study.

Background: To investigate the prevalence of burnout syndrome among Chinese female nurses during the controlled coronavirus disease 2019 (COVID-19) period and explore its associated socio-demographic factors and job characteristics. Methods: With the multistage, stratified sampling method, a cross-sectional online survey was conducted from September to October 2020 in China. The survey tool included revised Maslach Burnout Inventory (MBI) with 15 items, socio-demographic and job characteristics. Univariate logistic regression analysis and multivariate factor logistic regression analysis were used to identify the risk factors for burnout of female nurses. Results: During controlled COVID-19 period in China, the overall prevalence of burnout symptoms among Chinese female nurses was 60.2% with a breakdown in severity as follows: 451 (39.8 %) mild, 163 (14.4%) moderate, and 68 (6.0%) severe burnout. Little variance was reported for burnout symptoms according to job tenure (Waldχ2 = 14.828, P < 0.05,odds ratio [OR] <1), monthly salary income (Waldχ2 = 12.460, P < 0.05, OR <1), and night shift (Waldχ2 = 3.821, P < 0.05, OR > 1). Conclusion: Burnout symptoms among Chinese female nurses were prevalent and associated with job tenure, monthly salary income, and night shift. Female nurses who were with shorter job tenure, worked at night shifts, and had lower monthly salaries tended to exhibit increasing high-level burnout than their counterparts. This study serves as an implication for administrators and policy-makers to improve the work conditions of nurses for promoting overall healthcare service quality.

Dividend sentiment, catering incentives, and return predictability

Using Internet search volume of dividend-related keywords to measure investor preference for dividends that varies over time and across states, we show that dividend sentiment affects corporate policies and asset prices. Investors search more for dividends when economic conditions are poor, with the peak volume reached during the recent COVID-19 pandemic. Firms initiate or increase dividends when dividend sentiment is stronger, especially in regions with strong dividend sentiment. Shifts in dividend sentiment predict higher investor demand for dividends and higher returns for high dividend stocks. Further, mutual funds that pay high dividends receive more inflows when dividend sentiment is stronger.

Lockdown, unlock, stock returns, and firm-specific characteristics: the Indian tourism sector during the Covid-19 outbreak

Using the event study methodology, we find that the stock returns of the Indian tourism sector reacted differently to the announcements of nationwide lockdown and the Unlock 1.0. Using the cross-sectional regression, we find liquidity, volatility, solvency, and size as the primary drivers of CARs during the event windows. The findings will empower the decision-making abilities of the investors and firm managers.

Sleep quality and insomnia during the COVID-19 lockdown among the Saudi public: A cross-sectional study.

OBJECTIVES: To measure the Saudi population's sleep quality during the lockdown of COVID-19. METHODS: An internet-based questionnaire that was performed during the lockdown of the COVID-19 pandemic among the Saudi population over 2 weeks from April 1 to April 15, 2020. We used the instant messaging application WhatsApp and Twitter to reach the targeted population. Saudi citizens and non-Saudi residents who can read and understand the questionnaire were recruited. Data were analyzed using Stata and SPSS. RESULTS: A total of 790 responses were included. The majority of participants were the Saudi population 735 (92.9%). The prevalence of insomnia and poor sleep quality were 54.4% and 55.5%, respectively. Saudi citizenship was associated with longer sleep duration (p=0.031). Female gender and being married were associated with worse global PSQI, sleep quality, sleep distribution, sleep latency, and daytime dysfunction. CONCLUSION: Our findings showed that during the COVID-19 pandemic, the Saudi population had a high prevalence of insomnia and poor sleep quality. Routine monitoring of the psychological impact of life-threatening outbreaks and the adoption of effective early mental health actions should be considered.