Volatility Spillovers between Commodity and Financial Markets

The paper analyzes price volatility spillovers between commodity and financial markets order to investigate the interconnectedness and market integration and their potential in port-risk diversification. The paper analyzes gold and silver prices, oil prices, and the exchange of the Euro and British pound using the Diebold-Yilmaz spillover index methodology for-frequency weekly data from 1988 to 2020. The total spillovers between commodities and exchange rates were found to be 25.7% and the volatility spillover index during the analyzed period mostly ranged between 25% and 50% with extremes during the global financial crisis and during COVID-19 pandemic. This indicates a strong integration of commodity and financial markets, especially in crisis periods. Also, the results of the work suggest that silver price movements are affected by spillovers from other markets and therefore silver can be used to diversify risks. contribution of the paper to the existing literature is as follows: Firstly, the analysis of transmis-processes showed significant volatility spillovers between commodity markets and exchange indicating the existence of integration between different markets. Furthermore, a long period time is analyzed and the dynamic analysis shows intensified volatility spillovers in global crises periods. Secondly, the results of the analysis can help professional forecasters in forecasting and financial analysts to provide a comprehensive investment analysis. Managers and investors can thus design optimal protection instruments against unwanted movements in the financial and commod-markets. Investors benefit from portfolio diversification, and the information content obtained volatility spillover analysis can be used to assess potential determinants of future risk-adjusted returns, which would help them make investment decisions.

The directional spillover effects and time-frequency nexus between stock markets, cryptocurrency, and investor sentiment during the COVID-19 pandemic

Purpose: This paper aims to analyze the connectedness between Gulf Cooperation Council (GCC) stock market index and cryptocurrencies. It investigates the relevant impact of RavenPack COVID sentiment on the dynamic of stock market indices and conventional cryptocurrencies as well as their Islamic counterparts during the onset of the COVID-19 crisis. Design/methodology/approach: The authors rely on the methodology of Diebold and Yilmaz (2012, 2014) to construct network-associated measures. Then, the wavelet coherence model was applied to explore co-movements between GCC stock markets, cryptocurrencies and RavenPack COVID sentiment. As a robustness check, the authors used the time-frequency connectedness developed by Barunik and Krehlik (2018) to verify the direction and scale connectedness among these markets. Findings: The results illustrate the effect of COVID-19 on all cryptocurrency markets. The time variations of stock returns display stylized fact tails and volatility clustering for all return series. This stressful period increased investor pessimism and fears and generated negative emotions. The findings also highlight a high spillover of shocks between RavenPack COVID sentiment, Islamic and conventional stock return indices and cryptocurrencies. In addition, we find that RavenPack COVID sentiment is the main net transmitter of shocks for all conventional market indices and that most Islamic indices and cryptocurrencies are net receivers. Practical implications: This study provides two main types of implications: On the one hand, it helps fund managers adjust the risk exposure of their portfolio by including stocks that significantly respond to COVID-19 sentiment and those that do not. On the other hand, the volatility mechanism and investor sentiment can be interesting for investors as it allows them to consider the dynamics of each market and thus optimize the asset portfolio allocation. Originality/value: This finding suggests that the RavenPack COVID sentiment is a net transmitter of shocks. It is considered a prominent channel of shock spillovers during the health crisis, which confirms the behavioral contagion. This study also identifies the contribution of particular interest to fund managers and investors. In fact, it helps them design their portfolio strategy accordingly. © 2023, Hayet Soltani, Jamila Taleb and Mouna Boujelbène Abbes.

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

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

The Impact of the COVID-19 Pandemic on the Economic Security of Russian Regions: Assessment of Resistance to the Spillover Effects of Epidemic Risks

The research aims to identify the spillover effects of epidemic risks for the economic security of Russian regions and propose a system of measures for their leveling at the stage of post-pandemic recovery. The research substantiates the hypothesis that epidemic risks of economic security have spillover effects on the economy of Russian regions, increasing the impact of a combination of traditional risks and provoking the emergence of new risks. The authors proposed a system of indicators and a methodology for assessing the stability of regional economic systems to the spillover effects of epidemic risks based on the use of a statistical method for calculating integral indicators. The results of the calculations made it possible to rank the regions of Russia by the level of resistance to the spillover effects of epidemic risks to economic security. It is proved that the Southern Federal District has the greatest resistance to spillover effects. Ranking of regions by the indicator of resistance to spillover effects allowed the authors to propose a model of economic security management for two types of regional economic systems. For regions resistant to spillover effects, it is recommended to implement a set of measures aimed at strengthening internal potential. For regions unstable to the spillover effect, a sequence of actions is proposed based on leveling the negative impact of the spillover effects and the subsequent implementation of measures to strengthen internal potential. © 2023, The Author(s), under exclusive license to Springer Nature Switzerland AG.

Different Moments Create Different Spillovers: A Study of Commodity Markets

Although the spillover effects of return and volatility risk across commodity markets have been demonstrated, evidence of extreme risk spillovers is limited. Using an autoregressive conditional density model, this study estimates the conditional skewness of nine S&P Goldman Sachs Commodity indices and then applies the Diebold-Yilmaz TVP-VAR-based approach to investigate the higher moment spillovers across commodity markets. Our findings provide evidence of extreme risk transfers from one commodity index to another. Among three energy indices including crude oil, natural gas and gasoil, crude oil transmits the most return, volatility risk and extreme risk to the agricultural indices and precious metal indices. Furthermore, our results confirm that spillovers in all three moments were significantly strengthened by extreme events such as the September 11 attacks, the global financial crisis, the food price crisis, the violent shock of international oil prices and the coronavirus disease of 2019. However, different events may have different impacts on spillovers. Finally, the results indicate that return spillover and skewness are affected by extreme events with almost the same intensity and direction for most periods.

A moderated mediation model of smart-device use: work-family conflict and well-being by age

PurposeSmart device use for work during family time is a growing issue of concern and is likely exacerbated by the COVID-19 pandemic. The authors test a broad range of well-being outcomes (job anxiety, job depression and insomnia) to extend the literature. Work-family conflict was included as a mediator with age as a moderator.Design/methodology/approachThe study uses representative data from 422 New Zealand employees across a wide range of occupations, sectors, and industries from late 2020. Confirmatory factor analysis (CFA) of the data was used and moderated mediation analysis was conducted.FindingsOverall, hypotheses were supported, with mWork positively influencing work-family and family-work conflict, and all well-being outcomes. Work-family and family-work conflict acted as mediators and age interacted with mWork leading to more conflict for older workers. Finally, moderated mediation effects were supported with age acting as a boundary condition, whereby the indirect effect of mWork on well-being outcomes increases as age increases.Research limitations/implicationsThe findings highlight the danger of using mobile devices to work in family time and highlight the additional risks for older workers.Originality/valueThe mWork literature has a limited focus on well-being outcomes, and the New Zealand data provides insights from a largely underrepresented population in the literature. Further, the use of age as a moderator of mWork towards well-being outcomes provides further originality.

Dynamics of return and volatility spill-over between developed, emerging and African equity markets during the Covid-19 pandemic and Russia–Ukraine war

We contribute to the growing literature examining spill-over effects between international equity markets in the "new normal” disposition and extend upon previous studies to include more recent periods covering the Russia–Ukraine war. Using the Diebold and Yilmaz network method, we estimate the returns and volatility connectedness between developed, emerging and African markets over the period 11 March 2020 to 30 June 2022. Our findings can be summarised in three points. Firstly, the static connectedness analysis informs us that emerging and African (developed) markets are the main net receivers (transmitters) of systemic shocks over the sample period. Secondly, the time-varying connectedness analysis further informs us that network connectedness is higher during the Russia–Ukraine war compared to the announcement of Covid-19 variants. Thirdly, the time-varying market specific analysis distinguishes which individual equities are most or least vulnerable to systemic shocks during the Covid-19 pandemic and Russia–Ukraine war. These findings are relevant for investors in their search for better hedging opportunities in equity markets. Moreover, market regulators should take heed of our findings as the observed build-up of systemic risk following the Russia–Ukraine conflict is an indicative of contagion effects experienced. © 2023 Stellenbosch University.

The coronavirus recombination pathway.

Recombination is thought to be a mechanism that facilitates cross-species transmission in coronaviruses, thus acting as a driver of coronavirus spillover and emergence. Despite its significance, the mechanism of recombination is poorly understood, limiting our potential to estimate the risk of novel recombinant coronaviruses emerging in the future. As a tool for understanding recombination, here, we outline a framework of the recombination pathway for coronaviruses. We review existing literature on coronavirus recombination, including comparisons of naturally observed recombinant genomes as well as in vitro experiments, and place the findings into the recombination pathway framework. We highlight gaps in our understanding of coronavirus recombination illustrated by the framework and outline how further experimental research is critical for disentangling the molecular mechanism of recombination from external environmental pressures. Finally, we describe how an increased understanding of the mechanism of recombination can inform pandemic predictive intelligence, with a retrospective emphasis on SARS-CoV-2.

Quantifying the spatial spillover effects of non-pharmaceutical interventions on pandemic risk.

BACKGROUND: Non-pharmaceutical interventions (NPIs) implemented in one place can affect neighboring regions by influencing people's behavior. However, existing epidemic models for NPIs evaluation rarely consider such spatial spillover effects, which may lead to a biased assessment of policy effects. METHODS: Using the US state-level mobility and policy data from January 6 to August 2, 2020, we develop a quantitative framework that includes both a panel spatial econometric model and an S-SEIR (Spillover-Susceptible-Exposed-Infected-Recovered) model to quantify the spatial spillover effects of NPIs on human mobility and COVID-19 transmission. RESULTS: The spatial spillover effects of NPIs explain [Formula: see text] [[Formula: see text] credible interval: 52.8-[Formula: see text]] of national cumulative confirmed cases, suggesting that the presence of the spillover effect significantly enhances the NPI influence. Simulations based on the S-SEIR model further show that increasing interventions in only a few states with larger intrastate human mobility intensity significantly reduce the cases nationwide. These region-based interventions also can carry over to interstate lockdowns. CONCLUSIONS: Our study provides a framework for evaluating and comparing the effectiveness of different intervention strategies conditional on NPI spillovers, and calls for collaboration from different regions.

Diverse spillover effects of COVID-19 control measures on air quality improvement: evidence from typical Chinese cities.

The COVID-19 prevention and control measures are taken by China's government, especially traffic restrictions and production suspension, had spillover effects on air quality improvement. These effects differed among cities, but these differences have not been adequately studied. To provide more knowledge, we studied the air quality index (AQI) and five air pollutants (PM2.5, PM10, SO2, NO2, and O3) before and after the COVID-19 outbreak in Shanghai, Wuhan, and Tangshan. The pollution data from two types of monitoring stations (traffic and non-traffic stations) were separately compared and evaluated. We used monitoring data from the traffic stations to study the emission reduction caused by traffic restrictions. Based on monitoring data from the non-traffic stations, we established a difference-in-difference model to study the emission reduction caused by production suspension. The COVID-19 control measures reduced AQI and the concentrations of all pollutants except O3 (which increased greatly), but the magnitude of the changes differed among the three cities. The control measures improved air quality most in Wuhan, followed by Shanghai and then Tangshan. We investigated the reasons for these differences and found that differences in the characteristics of these three types of cities could explain these differences in spillover effects. Understanding these differences could provide some guidance and support for formulating differentiated air pollution control measures in different cities. For example, whole-process emission reduction technology should be adopted in cities with the concentrated distribution of continuous process enterprises, whereas vehicles that use cleaner energy and public transport should be vigorously promoted in cities with high traffic development level.

Exposure to negative foreign COVID-19 news predicts lower support for immigration policy in China.

We present a framework for studying the spillover effect of negative foreign COVID-19 news on attitudes towards immigration. Our framework proposes that exposure to negative COVID-19 news from foreign countries can activate negative associations with foreigners, reduce positive attitudes towards them, and increase perceived threat, ultimately leading to decreased support for immigration. We conducted three studies to test this framework. Study 1 found that exposure to negative COVID-19 news about a foreign country increased negative valence associations with that country. Study 2 showed that exposure to more negative COVID-19 news about foreign countries was associated with lower acceptance of immigration policies in real life. Study 3 replicated the spillover effect of negative news exposure using a scenario manipulation. The effects of negative news exposure on immigration policy acceptance in both Studies 2 and 3 were mediated by changes in foreigner attitudes and intergroup threat. Our results demonstrate the important spillover effect of negative foreign COVID-19 news exposure on immigration attitudes and highlight the association perspective as a foundation for understanding attitude changes during the COVID-19 pandemic.

COVID-19 vaccinations and mental health among U.S. adults: Individual and spillover effects.

RATIONALE: The COVID-19 pandemic led to dramatic increases not only in physical illness, but also in mental health symptoms and disorders among U.S. adults. Although the introduction of COVID-19 vaccines dramatically lowered rates of physical illness and death, little is known about the effects of vaccines on mental health. OBJECTIVES: We assessed both individual and spillover effects of COVID-19 vaccination on mental health disorders, and whether effects of individual vaccination varied based on contextual risks indicated by state infection rates and state vaccination rates. METHODS: Using data from the Household Pulse Survey, we assessed 448,900 adults surveyed within approximately the first six months of the U.S. vaccine rollout (February 3 - August 2, 2021). Coarsened exact matching balanced vaccinated and non-vaccinated participants on demographic and economic characteristics. RESULTS: Logistic regression analyses found 7% lowered odds of depression among vaccinated individuals, but no significant difference in anxiety. Reflecting potential spillover effects, state vaccination rates predicted lowered odds of anxiety and depression (1% decrease in odds for each additional 1% of the state population vaccinated). Although state COVID-19 infection rates did not moderate effects of individual vaccination on mental health outcomes, significant interactions indicated that effects of individual vaccination on mental health were stronger in contexts of lower state vaccination rates, and links between state vaccination rates and mental health problems were stronger among unvaccinated individuals. CONCLUSIONS: Results suggest that COVID-19 vaccinations improved the mental health of adults in the U.S., with lower rates of self-reported mental health disorders both among vaccinated individuals themselves and among other individuals living in the same state, particularly when those individuals were not themselves vaccinated. These direct and spillover effects on mental health expand our understanding of the benefits of COVID-19 vaccination for the wellbeing of adults in the U.S.

The Impact of Emissions Reduction Awareness on Moral Self-Concept: Sustaining Climate-Friendly Behaviour in the Aftermath of the Covid-19 Pandemic

Communication campaigns often highlight environmental progress to encourage further pro-environmental behaviour. Consequently, the drop in carbon emissions caused by the COVID-19 restrictions has been framed as a positive environmental outcome of the pandemic. We conducted an experimental study with a US-representative sample (N = 500) to show that raising awareness of emissions reduction has the contrary effect: an increase in moral self-concept facilitated a negative spillover, namely, it reduced climate-friendly behavioural intentions. Normative influence was able to prevent this negative spillover because activating environmental norms inhibited compensatory feelings. Besides, awareness of recent emissions reduction was less likely to increase the moral self-concept of participants with a strong environmental self-identity. Our findings demonstrate that environmental progress increases moral self-concept which, in turn, could cause a negative spillover (i.e., reduce climate-friendly low-carbon behaviour and increase climate-harmful high-carbon behaviour). Normative influences and environmental self-identity can inhibit this negative spillover.

Does foreign equity investment impact the spillover effect of industries in China?

This study aims to systematically investigate the impact of foreign equity investment on the spillover across industries in China, both in terms of the contagion path and persistence of shocks and the performance during the COVID-19 pandemic. We use daily data on returns covering 2014 to 2022 and apply linear and non-linear causality tests and spillover framework. Our findings show that the two proxies of foreign investment, net buying and Δ Net Buying, significantly shock the spillover across 11 industry indexes of China's stock market, particularly the spillover output and long-term spillover received of sectors. During the COVID-19 pandemic, international investors are bullish on China's economy reflected in the continuous inflow of northbound trading, and the short-run influence on China's stock market is weakened, while the long-run impact remains. Moreover, financial networks suggest that the path of movement international capital movement to accomplish overall contagion through shock in certain specific industries. Overall, this study evidence that the northbound trading generally overlooked by researchers is indeed an important channel of financial contagion to China's stock market.

Are companies with high absorptive capacity more likely to survive in harsh environments? From the perspective of innovation spillovers

This study examines whether companies with high absorptive capacity are more likely to survive adversity. With the financial component stocks of the S&P 500 taken as the research subjects, the industrial innovation spillover effects of individual stocks were extracted and then put into panel data regression for analysis. The results reveal that, following the outbreak of coronavirus disease (COVID-19), companies with high absorptive capacity rapidly adjusted their organizational strategies to increase their absorption of innovation spillovers, particularly active in absorbing those from the financial technology (Fin-Tech) industry. Policy-wise, the study recommends that the government examine regulatory flexibility during major economic events and encourage industry players to proactively develop endogenous institution innovations.

Network connectedness of the term structure of yield curve and global Sukuks

This paper explores the connectedness between the returns and volatilities of the conventional and Islamic bond markets. We use the level, slope, and curvature of the US yield curve and estimate the connectedness of these factors with the Dow Jones Islamic indices (of 3 to 10 years of maturity) as well as the minimum connectedness portfolio. The static analysis shows that level and slope of the conventional yield curve are the net transmitters of shocks while the Islamic indices have been mostly at the receiving end. The dynamic connectedness analysis shows a varying degree of the connectedness over the full sample period characterized by distinctive trajectories of booms and busts. The pairwise connectedness analysis also confirms that level and slope are the net transmitters in the system with an exception in most recent times of Covid-19 pandemic. The findings have implications for the researchers, policy makers, regulators, shariah boards, investors, and fund managers.

Exploration of industrial risk contagion characteristics and mechanism under geopolitical events: evidence from China

Based on the TVP-VAR-DY and TVP-VAR-BK models, this article examines the characteristics and mechanisms of systemic risk contagion in the Chinese industries under geopolitical events by selecting data spans from 1 January 2010 to 31 August 2022. First, dynamic analysis of full-sample risk contagion shows that there is a significant climb in total risk during geopolitical events. Then the static analysis of risk contagion in the full sample specifically shows the correlation between risk contagion and industry chain between the financial and real sectors. Besides, the sub-sample analysis illustrates that during geopolitical events such as the Sino-US Trade War, the COVID-19 Pandemic and the Russia-Ukraine Conflict, Chinese industrial stock indexes show short-term risk spillovers from key industries related to geopolitical events, and gradually spread along the industrial chain in the long run compared to the Chinese ‘Stock Market Crash'. Through further mechanistic tests, we find that the irrational behaviour of investors in the market exacerbates short-term risk contagion, while the financial distress of real firms due to financing constraints exacerbates long-term risk contagion. In addition, geopolitical risk, economic uncertainty, and policy uncertainty as macro variables also have an impact on the short-run and long-run risk contagion. © 2023 Informa UK Limited, trading as Taylor & Francis Group.

Environmental impact assessment for the use of an orally aerosolised adenovirus type-5 vector-based COVID-19 vaccine in randomised clinical trials.

BACKGROUND: An orally aerosolised adenovirus type-5 vector-based COVID-19 vaccine (Ad5-nCoV) has recently been authorized for boosting immunization in China. Our study aims to assess the environmental impact of the use of aerosolised Ad5-nCoV. METHODS: We collected air samples from rooms, swabs from the setting desks of the vaccine nebuliser, mask samples from participants and blood samples of nurses who administered the inoculation in the clinical trials. The viral load of adenovirus type-5 vector in the samples and the antibody levels against the wild-type SARS-CoV-2 strain in serum were detected. RESULTS: Only one (4.00%) air samples collected before the initiation of vaccination was positive, which were almost positive during and after the vaccination (97.96%, 100%, respectively). All nurses in the trial A showed at least four-fold increase of the neutralizing antibody against the SARS-CoV-2 after the initiation of the study. In trial B, the positive proportion of the mask samples was 72.97% at 30 minutes after vaccination, 8.11% at day 1, and 0% at days 3, 5, and 7, respectively. CONCLUSION: The vaccination with the orally aerosolised Ad5-nCoV could have some spillage of the vaccine vector viral particles in the environment and cause human exposure.

Dynamic and classifier-based model SARS-CoV-2 Omicron spillover risk assessment in China

The coronavirus disease 2019 (COVID-19) continues to have a huge impact on health care and economic systems around the world. The first question to ponder is to understand the flow of COVID-19 in the spatial and temporal dimensions. We collected 7 Omicron clusters outbreaks in China since the outbreak of COVID-19 as of August 2022, selected outbreak cases from different Provinces and cities, and collected variable indicators that affect spillover outcomes, such as distance, migration index, PHSM index, daily reported cases number and so on. First, variables influencing spillover outcome events were assessed and analyzed retrospectively by constructing an infectious disease dynamics model and a classifier model, and secondly, the association between explanatory variables and spillover outcome events was constructed by fitting a logistics function. This study incorporates 7 influencing factors and classifies the spillover risk level into 3 levels. If different outbreak sites could be classified into different levels of spillover, it may reduce the pressure of epidemic prevention in some cities due to the lack of a uniform standard, which might be more conducive to achieving the goal of "dynamic zero".

Containment Measures and Business Confidence in COVID Times: A Global Study

In this article, we take a global perspective to assess the impact of the exogenous COVID pandemic shock on business confidence. Through a quantitative analysis of 31 advanced and 12 emerging economies over the period from January 2018 to December 2020, we provide a novel investigation of a unique worldwide event, in contrast to the most frequent exogenous shocks, which typically have a more limited local or regional scope. We proxy business expectations with the business confidence indicator or BCI. First, we find that the containment measures for the COVID pandemic have negatively affected business confidence, with the compulsory policies having a greater negative effect on BCI than the voluntary ones. Second, we find positive spillover effects on the local BCIs from the containment measures implemented in neighboring countries. This suggests that business people are not against compulsory measures per se, but rather that they are less inclined to assume the costs of these. Third, we find that while the severity of containment measures has been greater in emerging countries, the negative impact on BCI of these containment measures has been larger in advanced economies.Alternate :摘要：本文采用全球视角来评估新冠疫情带来的外源性休克给企业家经商信心带来的影响。通过对31个发达经济体和12个发展中经济体从2018年1月至2020年12月数据的量化分析，我们对该全球性事件进行了调研。使用企业家的 "商业期待” 来代表其经商信心，我们发现了几个重要结果。首先，新冠防疫措施挫伤了经商信心，措施越严厉，负面效应越大。其次，邻国由于疫情措施对经商信心的挫伤会产生溢出效应，而影响本地企业家的经商信心。第三，虽然发展中经济体的防疫措施更加严厉，但其负面影响却在发达经济体中更大。