Risk transmission between equity market of China and its trading partners: new evidence from various financial crises

PurposeThe authors examine the volatility connections between the equity markets of China and its trading partners from developed and emerging markets during the various crises episodes (i.e. the Asian Crisis of 1997, the Global Financial Crisis, the Chinese Market Crash of 2015 and the COVID-19 outbreak).Design/methodology/approachThe authors use the GARCH and Wavelet approaches to estimate causalities and connectedness.FindingsAccording to the findings, China and developed equity markets are connected via risk transmission in the long term across various crisis episodes. In contrast, China and emerging equity markets are linked in short and long terms. The authors observe that China leads the stock markets of India, Indonesia and Malaysia at higher frequencies. Even China influences the French, Japanese and American equity markets despite the Chinese crisis. Finally, these causality findings reveal a bi-directional causality among China and its developed trading partners over short- and long-time scales. The connectedness varies across crisis episodes and frequency (short and long run). The study's findings provide helpful information for portfolio hedging, especially during various crises.Originality/valueThe authors examine the volatility connections between the equity markets of China and its trading partners from developed and emerging markets during the various crisis episodes (i.e. the Asian Crisis of 1997, the Global Financial Crisis, the Chinese Market Crash of 2015 and the COVID-19 outbreak). Previously, none of the studies have examined the connectedness between Chinese and its trading partners' equity markets during these all crises.

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.

REVISITING TEMPORAL CAUSALITY BETWEEN ISLAMIC FINANCE INSTRUMENTS AND OUTPUT

With the onset of the COVID-19 pandemic, financing would again be the crux of the recovery process. This paper revisits existing literature on how financial development promotes growth by focusing on the role of Islamic finance in Malaysia. Specifically, the role of sukuk and loans by Islamic banks on output is examined in Malaysia. The main objective of this paper is to investigate the causal nexus between sukuk, Islamic banking loan, and output using a bootstrap causality test applied to both full sample and rolling window sub-samples. Data ranges from 2000M1-2021M6 for the sukuk market and 2006M12-2021M6 for Islamic banking loans. We rely on bootstrap rolling windows which allow for time-varying causalities within time-series data. Results indicate evidence that Islamic financing instruments, in this case, sukuk and loans by Islamic banks Granger-cause output in the long run. Even in the long run, non-constancy in the parameters is detected for total sukuk, sukuk for finance, and sukuk for transport. The parameter stability tests indicate parameter non-constancy in the short run for total sukuk, sukuk for finance, sukuk for transport, and sukuk for utility for the output-sukuk equation. In the case of Islamic financing via loans, short-run parameter instability is prevalent for all loan–output equations. We take the analysis further by examining the direction of the lead variables on a multi-time scale using continuous wavelet transforms and wavelet coherence. Results show that causality runs from sukuk output for total sukuk, transport, and utility sukuk whereas construction sukuk seems to exhibit a mixed behaviour. In the case of sukuk for finance, the impact is more pronounced in the very-long run. These findings could be a guide for countries intending to use Islamic financing instruments as one of the tools for fiscal stimulus or post-pandemic economic recovery. © 2023, Universiti Malaysia Sarawak. All rights reserved.

COVID-19 Detection by Using Handcrafted Features Extracted From Chest CT-Scan Images

Coronavirus illness, which was initially diagnosed in 2019 but has propagated rapidly across the globe, has led to increased fatalities. According to professional physicians who examined chest CT scans, COVID-19 behaves differently than various viral cases of pneumonia. Even though the illness only recently emerged, a number of research investigations have been performed wherein the progression of the disease impacts mostly on the lungs are identified using thoracic CT scans. In this work, automated identification of COVID-19 is used by using machine learning classifier trained on more than 1000+ lung CT Scan images. As a result, immediate diagnosis of COVID-19, which is very much necessary in the opinion of healthcare specialists, is feasible. To improve detection accuracy, the feature extraction method are applied on regions of interests. Feature extraction approaches, including Discrete Wavelet Transform (DWT), Grey Level Cooccurrence Matrix (GLCM), Grey Level Run Length Matrix (GLRLM), and Grey-Level Size Zone Matrix (GLSZM) algorithms are used. Then the classification by using Support Vector Machines (SVM) is used. The classification accuracy is assessed by using precision, specificity, accuracy, sensitivity and F-score measures. Among all feature extraction methods, the GLCM approach has given the optimum classification accuracy of 95.6%. . © 2023 IEEE.

Modeling Oil shocks–Green Investments Nexus: A Global Evidence Based on Wavelet Coherence Technique

This study investigates the interdependence between oil shocks and green investments over time and frequency domains. Using the wavelet coherence approach, our results show evidence of bidirectional causality between all the variants of oil shocks and green investments around the global financial crisis and the 2014-2016 oil crisis. Economic activity shocks significantly Granger-cause green investments during the COVID-19 pandemic. © 2023, Asia-Pacific Applied Economics Association. All rights reserved.

Do cryptocurrencies integrate with the indices of equity, sustainability, clean energy, and crude oil? A wavelet coherency approach

The paper examines market co-movement between pairs of financial assets in the time-frequency domain. Recent finance literature confirms the integration of cryptocurrencies and financial assets, which may bring more investments with the possibility of surplus liquidity in the cryptocurrency segment, leading to financial instability. The novelty of this paper is examining the integration of cryptocurrencies and the indices of equity, sustainability, renewable energy, and crude oil for the daily observations from 2015 to 2021 by using the wavelet coherency method. The empirical results signify no integration in the short-term scales and grow stronger in the medium-term scales, especially during the COVID-19 period, and further exhibit weaker heterogeneous associations in the long-term scales. However, the sustainability, clean energy indices follow similar dynamics of the equity market and crypto pairs. In contrast, the global crude oil index showcases the minor integration with cryptocurrencies compared with other traditional asset classes. Hence, the cryptocurrency market fails to confirm the safe haven features, especially during the COVID-19 periods (Medium-term), which facilitate the domestic and international investors expecting to hedge their price risk in equity markets using cryptocurrencies may have to look for short-term. The lead-lag heterogeneous effects of the asset-pairs may pave arbitrage opportunities for investors.

Prediction of muscular paralysis disease based on hybrid feature extraction with machine learning technique for COVID-19 and post-COVID-19 patients.

Many Coronavirus disease 2019 (COVID-19) and post-COVID-19 patients experience muscle fatigues. Early detection of muscle fatigue and muscular paralysis helps in the diagnosis, prediction, and prevention of COVID-19 and post-COVID-19 patients. Nowadays, the biomedical and clinical domains widely used the electromyography (EMG) signal due to its ability to differentiate various neuromuscular diseases. In general, nerves or muscles and the spinal cord influence numerous neuromuscular disorders. The clinical examination plays a major role in early finding and diagnosis of these diseases; this research study focused on the prediction of muscular paralysis using EMG signals. Machine learning-based diagnosis of the diseases has been widely used due to its efficiency and the hybrid feature extraction (FE) methods with deep learning classifier are used for the muscular paralysis disease prediction. The discrete wavelet transform (DWT) method is applied to decompose the EMG signal and reduce feature degradation. The proposed hybrid FE method consists of Yule-Walker, Burg's method, Renyi entropy, mean absolute value, min-max voltage FE, and other 17 conventional features for prediction of muscular paralysis disease. The hybrid FE method has the advantage of extract the relevant features from the signals and the Relief-F feature selection (FS) method is applied to select the optimal relevant feature for the deep learning classifier. The University of California, Irvine (UCI), EMG-Lower Limb Dataset is used to determine the performance of the proposed classifier. The evaluation shows that the proposed hybrid FE method achieved 88% of precision, while the existing neural network (NN) achieved 65% of precision and the support vector machine (SVM) achieved 35% of precision on whole EMG signal.

Diversification evidence of bitcoin and gold from wavelet analysis.

To measure the diversification capability of Bitcoin, this study employs wavelet analysis to investigate the coherence of Bitcoin price with the equity markets of both the emerging and developed economies, considering the COVID-19 pandemic and the recent Russia-Ukraine war. The results based on the data from January 9, 2014 to May 31, 2022 reveal that compared with gold, Bitcoin consistently provides diversification opportunities with all six representative market indices examined, specifically under the normal market condition. In particular, for short-term horizons, Bitcoin shows favorably low correlation with each index for all years, whereas exception is observed for gold. In addition, diversification between Bitcoin and gold is demonstrated as well, mainly for short-term investments. However, the diversification benefit is conditional for both Bitcoin and gold under the recent pandemic and war crises. The findings remind investors and portfolio managers planning to incorporate Bitcoin into their portfolios as a diversification tool to be aware of the global geopolitical conditions and other uncertainty in considering their investment tools and durations.

Volatility connectedness among the Indian equity and major commodity markets under the COVID-19 scenario

In this paper, the dynamic relationship between the volatilities of both the Indian equity market and six major commodity markets is analyzed during the COVID-19 pandemic. We employ the time-varying parameters vector autoregression model (TVP-VAR) and wavelet coherence approach to assess the market connectedness. The results reveal a significant increase in volatility correlation and spillovers between the Indian equity market and the six major commodity markets after the outbreak of COVID-19. Furthermore, it was found that after the COVID-19 outbreak, the volatility from the commodity markets rapidly spilled over to the Indian equity market. The wavelet coherence also suggests that the Indian equity market and the six major commodity markets may exhibit higher levels of contagion over the medium and long term. This evidence has important implications for financial risk management, macroprudential policy design, and investors who are interested in the volatility linkages between the Indian markets and major commodities.

Traffic Flow Forecasting in the COVID-19: A Deep Spatial-temporal Model Based on DiscreteWavelet Transformation

Traffic flowprediction has always been the focus of research in the field of Intelligent Transportation Systems, which is conducive to the more reasonable allocation of basic transportation resources and formulation of transportation policies. The spread of COVID-19 has seriously affected the normal order in the transportation sector. With the increase in the number of infected people and the government's anti-epidemic policy, human outgoing activities have gradually decreased, resulting in increasingly obvious discreteness and irregularities in traffic flow data. This article proposes a deep-space time traffic flow prediction model based on discrete wavelet transform (DSTM-DWT) to overcome the highly discrete and irregular nature of the new crown epidemic. First, DSTM-DWT decomposes traffic flow into discrete attributes, such as flow trend, discrete amplitude, and discrete baseline. Second, we design the spatial relationship of the transportation network as a graph and integrate the new crown pneumonia epidemic data into the characteristics of each transportation node. Then, we use the graph convolutional network to calculate the spatial correlation of each node, and the temporal convolutional network to calculate the temporal correlation of the data. In order to solve the problem of high discreteness of traffic flow data during the epidemic, this article proposes a graph memory network (GMN), which is used to convert discrete magnitudes separated by discrete wavelet transform into highdimensional discrete features. Finally, use DWT to segment the predicted traffic data, and then perform the inverse discrete wavelet transform between the newly segmented traffic trend and discrete baseline and the discrete model predicted by GMN to obtain the final traffic flow prediction result. In simulation experiments, this work was compared with the existing advanced baselines to verify the superiority of DSTM-DWT.

Efficient intelligent compression and recognition system-based vision computing for computed tomography COVID images

Computed tomography (CT) image-based medical recognition is extensively used for COVID recognition as it improves recognition and scanning rate. A method for intelligent compression and recognition system-based vision computing for CT COVID (ICRS-VC-COVID) was developed. The proposed system first preprocesses lung CT COVID images. Segmentation is then used to split the image into two regions: nonregion of interest (NROI) with fractal lossy compression and region of interest with context tree weighting lossless. Subsequently, a fast discrete curvelet transform (FDCT) is applied. Finally, vector quantization is implemented through the encoder, channel, and decoder. Two experiments were conducted to test the proposed ICRS-VC-COVID. The first evaluated the segmentation compression, FDCT, wavelet transform, and discrete curvelet transform (DCT). The second evaluated the FDCT, wavelet transform, and DCT with segmentation. It demonstrates a significant improvement in performance parameters, such as mean square error, peak signal-to-noise ratio, and compression ratio. At similar computational complexity, the proposed ICRS-VC-COVID is superior to some existing techniques. Moreover, at the same bit rate, it significantly improves the quality of the image. Thus, the proposed method can enable lung CT COVID images to be applied for disease recognition with low computational power and space. © The Authors. Published by SPIE under a Creative Commons Attribution 4.0 International License. Distribution or reproduction of this work in whole or in part requires full attribution of the original publication, including its DOI. [DOI: 10.1117/1.JEI.32.2.021404] © 2023 SPIE. All rights reserved.

How Australia's economy gained momentum because of Covid-19

The objective of the paper is to assess the resilience of the economy of Australia following the Covid-19 pandemic that hit the global economy in Q4 2019, in years 2020, 2021 and 2022. Quarterly growth rates (annualised) of the Real GDP of Australia and Canada are forecasted between Q2 2022 and Q4 2050. Two sets of forecasts are generated: forecasts using historical data including the pandemic (from Q1 1961 to Q1 2022) and excluding the pandemic (from Q1 1961 to Q3 2019). The computation of the difference of their averages is an indicator of the resilience of the economies during the pandemic, the greater the difference the greater the resilience. Used as a benchmark, Canada's economy shows a slightly lower resilience to the Covid-19 pandemic (+0.37%) than Australia's economy (+0.39%) based on Q2 2022-2050 forecasts. However, driven by stronger growth than Canada, the average estimate of the Q2 2022-Q4 2050 quarterly (annualised) growth rate forecasts of Australia is expected to be +2.09% with the Q1 1961-Q1 2022 historical data while it should be +1.61% for Canada. Supported by higher growth, Australia's Real GDP is expected to overtake Canada's in Q1 2040.

An investigation of financial contagion between cryptocurrency and equity markets: Evidence from developed and emerging markets

The present study conducts a dynamic conditional cross-correlation and time–frequency correlation analyses between cryptocurrency and equity markets in both advanced and emerging economies. The purpose of the study is twofold. First, the study investigates the presence of the pure (narrow) form of financial contagion between cryptocurrency and stock markets in both advanced and emerging economies, during the black swan event of the COVID-19 crisis. Second, the study examines the hedging and safe-haven properties of cryptocurrencies against equity markets, before and during periods of financial upheaval triggered by the COVID-19 pandemic. Two econometric models are used: (1) the dynamic conditional correlation (DCC) GARCH and (2) the wavelet analysis models. Using the DCC GARCH model, the study found the evidence of high conditional correlations between cryptocurrency and equity markets. The high conditional correlation was mostly detected in periods of financial turmoil corresponding to the first quarter and the second quarter of 2020. The increase in conditional correlation during periods of financial upheaval (compared to a tranquil period) indicates the presence of the pure form of financial contagion. The wavelet cross-correlation analysis showed the evidence of positive cross-correlation between the Bitcoin and the equity markets during period of financial turmoil. The cross-correlation was identified in both short and long (coarse) scales. In short scales, the equity markets lead the cryptocurrency market, while the cryptocurrency market leads equity markets in coarse scales. The findings of the present study revealed that the degree of interdependence between cryptocurrency and equity markets has substantially increased during the COVID-19 period, and this has negated the safe-haven and hedging benefits of cryptocurrencies over equity markets. © 2023 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group.

Resilient Control for Macroeconomic Models.

This paper derives a macroeconomic resilient control framework that provides the optimal feedback fiscal and monetary policy responses in response to a potentially large negative external incident. We simulate the model for the U.S. under the conditions that prevailed throughout the 2020 economic crisis that occurred due to the government lockdown that was caused by the coronavirus pandemic. We develop a discrete-time soft-constrained linear-quadratic dynamic game under a worst-case design with multiple disturbances. Within this context, we introduce a resilience feedback response and compare the case where the policymakers counter in response the external incident with the case when they do not counter. This framework is especially applicable to large-scale macroeconomic tracking control models and wavelet-based control models when formulating the magnitudes of the policy changes necessary for the unemployment rate and national output variables to maintain acceptable tracking errors in the periods following a major disruption. Our policy recommendations include the maintenance of "rainy day" funds at appropriate levels of government to mitigate the effects of large adverse events.

Computational modeling of fractional COVID-19 model by Haar wavelet collocation Methods with real data.

This study explores the use of numerical simulations to model the spread of the Omicron variant of the SARS-CoV-2 virus using fractional-order COVID-19 models and Haar wavelet collocation methods. The fractional order COVID-19 model considers various factors that affect the virus's transmission, and the Haar wavelet collocation method offers a precise and efficient solution to the fractional derivatives used in the model. The simulation results yield crucial insights into the Omicron variant's spread, providing valuable information to public health policies and strategies designed to mitigate its impact. This study marks a significant advancement in comprehending the COVID-19 pandemic's dynamics and the emergence of its variants. The COVID-19 epidemic model is reworked utilizing fractional derivatives in the Caputo sense, and the model's existence and uniqueness are established by considering fixed point theory results. Sensitivity analysis is conducted on the model to identify the parameter with the highest sensitivity. For numerical treatment and simulations, we apply the Haar wavelet collocation method. Parameter estimation for the recorded COVID-19 cases in India from 13 July 2021 to 25 August 2021 has been presented.

Secure NIfTI Image Authentication Scheme for Modern Healthcare System

Advances in digital neuroimaging technologies, i.e., MRI and CT scan technology, have radically changed illness diagnosis in the global healthcare system. Digital imaging technologies produce NIfTI images after scanning the patient's body. COVID-19 spared on a worldwide effort to detect the lung infection. CT scans have been performed on billions of COVID-19 patients in recent years, resulting in a massive amount of NIfTI images being produced and communicated over the internet for diagnosis. The dissemination of these medical photographs over the internet has resulted in a significant problem for the healthcare system to maintain its integrity, protect its intellectual property rights, and address other ethical considerations. Another significant issue is how radiologists recognize tempered medical images, sometimes leading to the wrong diagnosis. Thus, the healthcare system requires a robust and reliable watermarking method for these images. Several image watermarking approaches for .jpg, .dcm, .png, .bmp, and other image formats have been developed, but no substantial contribution to NIfTI images (.nii format) has been made. This research suggests a hybrid watermarking method for NIfTI images that employs Slantlet Transform (SLT), Lifting Wavelet Transform (LWT), and Arnold Cat Map. The suggested technique performed well against various attacks. Compared to earlier approaches, the results show that this method is more robust and invisible.

Multifractal characteristics and multiscale entropy patterns in energy markets under the effect of the COVID-19 pandemic

This study uses the wavelet leaders method to examine multifractal characteristics and multiscale entropy patterns in price returns of four energy markets, Brent, West Texas Intermediate (WTI), gasoline, and heating oil, before and during the COVID-19 pandemic. The results show that price returns in all energy markets exhibit multifractal properties before and during the pandemic. In addition, the level of multifractals intensified during the pandemic only in price returns of Brent, WTI, and gasoline markets. On the contrary, the level of multifractals decreased during the pandemic in price returns of the heating oil market. The empirical results based on multiscale entropy show strong evidence of a reduced irregularity in energy market price returns during the COVID-19 pandemic. Our empirical findings have important managerial implications for traders and investors in the energy market.

Dependence structure among rare earth and financial markets: A multiscale-vine copula approach

This paper examines the dynamic upper and lower tail dependence across rare earth metals, clean energy, gold, world equity, base metals, and crude oil markets at various time scales. Firstly, raw return series are decomposed into various time scales using the maximum overlapping discrete wavelet transform method, then the time-varying pairwise dependencies, accounting for the impact of the covariate (in our case, the rare earth stock index), are analysed using vine-copula. This so called multiscale-vine copula approach is applied to daily data from June 25, 2009 to October 7, 2022, covering the Covid-19 outbreak. The results show that, for raw returns, the rare earth market moderates the positive dependence between world equity and clean energy markets. At the short-term time scale, unlike other pairwise dependencies, rare earth eases the dependency between clean energies. During the Covid-19 pandemic period, the rare earth stock index significantly affects the correlation of the gold and oil markets and makes them more resilient to global health shocks. At the mid-term time scale, the impact of the rare earth index is more pronounced, for both the entire sample and during the Covid-19 outbreak, as the dynamic dependencies of most indices, such as clean energy-world equity, base metals-world equity, and crude oil-clean energy, significantly decline after accounting for the influence of rare earth metals. The main result at the long-term time scale is that the Covid-19 pandemic moderates the dependency of clean energy-gold even further when considering the impact of the rare earth stock index. In general, the rare earth stock index plays a significant role in easing the extent of dependency in the medium term during the entire sample and the pandemic. These findings provide some useful implications for heterogeneous investors and market participants operating at various time scales.

Time-frequency relationship between energy imports, energy prices, exchange rate, and policy uncertainties in India: Evidence from wavelet quantile correlation approach

This study examined the relationship between energy imports, energy prices, exchange rate, and policy uncertainty over different time-frequency and across various quantiles by employing the wavelet quantile correlation. The findings suggest that the relationship changes over different time-frequencies and across various quantiles. Moreover, during the COVID-19 to neo-normal period, exchange rate and geopolitical risk exhibit a relatively stronger relationship than energy prices and economic policy uncertainty at both lower and higher frequencies across quantiles. Further, the findings suggest that to reduce energy imports, policymakers should adopt different strategies for both shorter and longer time-horizons.