Learning about unprecedented events: Agent-based modelling and the stock market impact of COVID-19.

We model the learning process of market traders during the unprecedented COVID-19 event. We introduce a behavioural heterogeneous agents' model with bounded rationality by including a correction mechanism through representativeness (Gennaioli et al., 2015). To inspect the market crash induced by the pandemic, we calibrate the STOXX Europe 600 Index, when stock markets suffered from the greatest single-day percentage drop ever. Once the extreme event materializes, agents tend to be more sensitive to all positive and negative news, subsequently moving on to close-to-rational. We find that the deflation mechanism of less representative news seems to disappear after the extreme event.

Sustainable Thematic Investing: Identifying Opportunities Based on an Analysis of Stewardship Reports

Globally, a growing number of stakeholders recognise that sustainability determines success on multiple levels. Therefore, asset managers in developing and emerging countries increasingly focus on sustainable investment opportunities. While institutional investors largely centred on governance considerations pre-2020, the Coronavirus pandemic highlighted substantial social and environmental concerns at companies worldwide. As South Africa is the most unequal country globally according to the World Bank, decisions made by local institutional investors can have significant implications for individuals and environments where capital is invested. The objectives of this study were hence to analyse the sustainability themes on which South African asset managers focused in their stewardship reports and to explore the Sustainable Development Goals (SDGs) that they addressed through their investment mandates. A content analysis was performed on stewardship reports that were published in 2020 and 2021 to consider the impact of the Coronavirus pandemic. The findings indicate that prioritised sustainability themes include climate action, infrastructure development and social considerations. The considered asset managers accordingly focused on addressing climate action (SDG 13), decent work and economic growth (SDG 8), and affordable and clean energy (SDG 7). Promising investment opportunities in companies that address key social issues, including the health and well-being of society (SDG 3) and broadening access to quality education (SDG 4) were also highlighted. The leaders of local investee companies are thus encouraged to ensure concise, transparent reporting on these material matters to enhance communication and engagement with institutional investors and other key stakeholders. This study offers a novel perspective on sustainable thematic investing in a highly unequal society.

Machine Learning and Deep Learning based Stock Market Prediction considering Covid-19 as a Feature

India's capital markets are witnessing intense uncertainty due to global market failures. Since the outbreak of COVID-19, risk asset prices have plummeted sharply. Risk assets declined half or more compared to the losses in 2008 and 2009. The high volatility is likely to continue in the short term;as a result, the Indian markets have declined sharply. In this paper, we have used different algorithms such as Gated Recurrent Unit, Long Short-Term Memory, Support Vector Regressor, Decision Tree, Random Forest, Lasso Regression, Ridge Regression, Bayesian Ridge Regression, Gradient Boost, and Stochastic Gradient Descent Algorithm to predict financial markets based on historical data available along with economic and financial features during this pandemic. According to our findings, deep learning models can accurately estimate financial indexes by utilizing non-linear transaction data. We found that the Gated Recurrent Unit performs better than the existing model. © 2023 IEEE.

Two Major Economic Crises in the Early Twenty-First Century and their Impact on Central Bank Independence

Two major economic crises in the early twenty-first century have had a serious impact on monetary policy and CB independence. Disruption in financial intermediation and associated deflationary pressures caused by the global financial crisis of 2007–2009 and European financial crisis of 2010–2015 pushed central banks (CBs) in major currency areas towards adoption of unconventional monetary policy measures, including large-scale purchase of government bonds (quantitative easing). The same approach has been taken by CBs in response to the COVID-19 crisis in 2020 even if the characteristics of this crisis differ from the previous one. As a result of both crises, CBs have become major holders of government bonds and de facto – main creditors of governments. Against rapidly deteriorating fiscal balances, CBs have become hostages of fiscal policies, which compromises their independence. Risks to the CB independence also come from their additional mandates (beyond price stability) and populist political pressures.

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.

Is it good to hold more cash before the pandemic? A case of Taiwanese firms.

The Covid-19 pandemic poses a great damage to firm performance worldwide. It raises the empirical question that if any factor can help firm perform better during the pandemic. In this study, we hypothesize that firms holding more cash before the pandemic can perform better during the pandemic year in 2020. We collect all listed firms from Taiwan Stock Exchange and test this hypothesis. Adopting a panel-data regression models with fixed effects, we find supportive evidence that pre-saved cash is valuable and can help firms perform better during the pandemic. Cash-rich firms will have a higher return on equity and return on assets. The economic significance is also non-trivial. Our study thus contributes to our understanding of how the pandemic can affect firm business and which lesson we can learn from this pandemic.

The economic contribution of the cultural sector in Brazil: an input-output approach with different income groups

Brazil is characterized by strong income inequality, which is naturally reflected in the consumption of goods and services. Such disparities in access are also reproduced in the artistic and cultural activities sector. Thus, understanding the cultural sector as key to the development of society, the present article evaluates the intersectoral impact of the artistic and cultural activities sector on other sectors of the Brazilian economy. First, this analysis identifies the effects of COVID-19, which allows us to determine how the sector is affected by such a shock in terms of output, employment and income. Subsequently, the relevance of the cultural sector is evaluated by identifying different family income groups with the 2015 input-output matrix published by the Brazilian Institute of Geography and Statistics (IBGE) and information from the Family Budget Survey (POF). The main results indicate that the COVID-19 pandemic, specifically, its effect on the cultural sector, reduced the production of cultural activities by 31.8%, equating to a loss of 237,701 jobs. This result indicates the relevance of the cultural sector for the Brazilian economy. In addition, we show that low income families, a group representing more than 70% of households, are responsible for only 28% of all Brazilian household consumption in the cultural sector. However, families in the highest income bracket, i.e. less than 3% of households, account for 22% of this sector. This result underscores the importance of developing public policies to stimulate consumption among low income groups, given that in addition to the cultural sector's economic benefits, there are intangible benefits of cultural activity for society.

Coping with COVID-19 shocks in rural Nepal

We examine shocks experienced by rural Nepali households during the COVID-19 pandemic. Households primarily experienced income and price shocks during a government-imposed lockdown. During this time, households managed to effectively protect consumption, and mostly relied on credit (26%), asset sales (10%) and savings (8%). Debt levels nearly doubled, with limited changes to savings. We then leverage a long-term randomized control trial (RCT) to assess whether beneficiaries of a livestock livelihood program are more resilient. Program beneficiaries are 6 percentage points less likely to take out new loans.

Setting up of Bad Bank – A New Era Begins

During Covid 19 pandemic, Public Sector Banks (PSBs) experience the high and increasing level of gross non performing assets. This is as high as 14 per cent which is matter of concern to all stakeholders. Consequently, these banks to witness high provisioning, low capital base and dismal credit growth. To arrest the trends in stressed assets, existing recovery channels including Insolvency Bankruptcy Code have not produced the desired results. Hence, the Government has recently taken a bold decision to set up a Bad Bank and provide the sovereign guarantee to security receipts issued by the Bad Bank upon purchase of stressed assets from PSBs. The Bad Bank aims at buying stressed assets, restructure them successfully and, thereafter, to sell the same to investors which would facilitate the PSBs to clean their balance sheet and strengthen the capital base. While there is enough business potential for the Bad Bank in the near future, its success will depend on purchase price of assets transferred, expertise in management of distressed assets, business model and presence of a conducive environment to operate. It is hoped that, during the post pandemic, the Bad Bank would prove to be the best option for revival of stressed assets and enable PSBs to lend optimally for productive purposes. Towards this end, before the Bad Bank starts functioning, there is a dire need to create awareness of the same by understanding its background, organization structure, business model and emerging challenges.

Comparison of the Performances for CAPM and Fama-French models During COVID-19

Since the outbreak of COVID-19, it has caused a startling stun to both society and economy in numerous nations, where different industries suffered unequally. This paper reviews the various performance of the Capital Asset Pricing Model (CAPM), and the Fama-French three-factor model and the five-factor model in different regions and industries. To metric the performance, various statistics models and scaling are applied including Pearson correlation, linear regression, R2 scores, t-test, etc. Specifically, this paper demonstrates the different performances of the CAPM model on the US and Egyptian stock markets, whereas using generalized method of moments in a panel data analysis to evaluate the performance in the U.S. market and the paired sample t-test and Wilcoxon signed-rank to evaluate the performance in the Egyptian market. The Fama-French three-factor model and five-factor model are both based on the U.S. market and analyze the model's performance (measured by significant level) in the U.S. market in general and in individual sectors, respectively. Whereas, in terms of three-factors model, the OLS estimation and relapse expected excess return are used onto the variables and multiple linear regression method was used to study the significance of factors in three sub-industries. Regarding to five-factors model, a multivariate regression with covariates and OLS estimation are the method for evaluation. These results shed light for deeply understanding the model and recognizing the impact on the security market of the COVID-19. © 2023 SPIE.

Determinants Influencing Non-Performing Loan Ratio of Joint Stock Commercial Banks in Vietnam

This study investigates macro and micro determinants of the ratio of non-performing loans (MPG ratio) of Vietnam commercial banks between 2015 and 2021. Data were collected from fifteen banks with total assets accounting for 62.9% of the total banking industry assets. The regression analytical technique is used to determine the impact of some independent variables on the MPG ratio of sample banks. The results reveal that the non -performing loan ratio is negatively correlated with the bank's asset size and loan growth rate but positively correlated with the net interest margin and the credit risk. The variable of Covid-19 has no statistically significant correlation with the non-performing loans ratio. Although a range of previous studies on that topic has been carried out, none of them digs deeper into the impact of these explanatory variables on the ratio of non-performing loans of Vietnamese commercial banks, especially the impact of Covid-19, whereas the banking industry of Vietnam is far-affected by that epidemic. Therefore, these findings can be used by creditors, investors, bank managers, and policy-makers when they have to give decisions relating to commercial banks in this complex period.

The Fault Lines of Inequality: COVID 19 and the Politics of Financialization

This book examines how decisions made by the Conservative government during the COVID19 pandemic have increased economic inequality in the UK. Decades of austerity, asset-based welfare and financialization had already exacerbated social divisions in the UK prior to the pandemic. The political blueprint behind these measures combined Privatized Keynesianism and the Asset Economy. To explain, economists have highlighted that inequality derives from the fact that income from wealth increases at a faster rate than income from wages. The ensuing political assumption is that - in the face of pressures on public finances - promoting asset ownership is the best alternative to government-funded welfare schemes. What this meant, as the pandemic unfolded, was that when tough decisions about resource allocation needed to be made, the UK Treasury and the Bank of England found almost unlimited funds to rescue and protect asset-holders and middle-income homeowners, whilst reverting to a narrative of "misfortune" for the asset-less poor. This book assesses the political decisions taken by UK policymakers during 2020-21 and their consequences. In doing so, it challenges policymakers and the informed public to re-consider the morality of inequality, and to make alternative decisions to promote a more ecologically sustainable, caring, equal and prosperous society. © The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2022. All rights reserved.

How do institutional investors react to local shocks during a crisis? A test using the COVID-19 pandemic

We examine how institutional investors reacted to geographically dispersed local shocks during the early stages of the COVID-19 pandemic. A sample of real estate investment trusts (REITs) enables us to link two layers of geography: the locations of the assets in which the REITs were invested and the headquarters locations of institutional investors who owned REIT shares. We find that the institutional ownership of firms with an economic interest in the investors' home markets declined more if those markets were heavily affected by the pandemic. In addition, the ownership responses to the COVID-19 shock were larger in those markets in which REITs had larger portfolio allocations and in markets that were home to the investors. Importantly, we find that nonpassive and short-term investors may have overreacted to the local shocks because their REIT portfolios subsequently underperformed relative to passive and long-term investors. Our study highlights the importance of geography in the formation of investors' expectations during market crises. © 2023 American Real Estate and Urban Economics Association.

An impact assessment of the COVID-19 pandemic on Japanese and US hotel stocks.

This study proposes two new regime-switching volatility models to empirically analyze the impact of the COVID-19 pandemic on hotel stock prices in Japan compared with the US, taking into account the role of stock markets. The first model is a direct impact model of COVID-19 on hotel stock prices; the analysis finds that infection speed negatively affects Japanese hotel stock prices and shows that the regime continues to switch to high volatility in prices due to COVID-19 until September 2021, unlike US stock prices. The second model is a hybrid model with COVID-19 and stock market impacts on the hotel stock prices, which can remove the market impacts on regime-switching volatility; this analysis demonstrates that COVID-19 negatively affects hotel stock prices regardless of whether they are in Japan or the US. We also observe a transition to a high-volatility regime in hotel stock prices due to COVID-19 until around summer 2021 in both Japan and the US. These results suggest that COVID-19 is likely to affect hotel stock prices in general, except for the influence of the stock market. Considering the market influence, COVID-19 directly and/or indirectly affects Japanese hotel stocks through the Japanese stock market, and US hotel stocks have limited impacts from COVID-19 owing to the offset between the influence on hotel stocks and no effect on the stock market. Based on the results, investors and portfolio managers should be aware that the impact of COVID-19 on hotel stock returns depends on the balance between the direct and indirect effects, and varies from country to country and region to region.

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.

Measuring Dependence in a Set of Asset Returns

An index measuring the degree of dependence in a set of asset returns is defined as the ratio of an equivalent number of independent assets to the number of assets. The equivalence is based on either attaining the same optimized value enhancement or spread reduction. The value enhancement is the difference in value of a value maximizing portfolio and the maximum value delivered by the components. The spread reduction is the percentage reduction attained by a spread minimizing portfolio relative to the smallest spread for the components. Asset values or bid and ask prices of portfolios, are modeled by conservative valuation operators from the theory of two price economies. The dependence indices fall with the number of assets in the portfolio and they are explained by a measure of concentration applied to normalized eigenvalues of the correlation matrix along with the average level of correlation, the level of the (Rudin and Morgan, 2006) portfolio diversification index and the number of assets in the portfolio. A time series of the indices constructed on the basis of the S&P 500 index and the nine sector ETF's reveals a collapse during the financial crisis with no recovery until 2016, with a peak in February 2020 and a COVID crash in March of 2020. Furthermore, factor dependence benefits are richer than those found in equity indices. Dependence benefits across global indices are not as strong as dependence benefits across an equal number of domestic assets, but they rise substantially for longer horizons of up to three years.

‘I believe in building people up': A call for attention to asset-based community development in geographical framings of poverty in the global North

This paper calls for human geographers examining poverty in the global North to attend more to asset-based community development (ABCD) poverty interventions in order to complement geographers' current foci on how people experience and respond to poverty. ABCD is a community movement that originated in the USA that emphasises principles of focusing on gifts and assets rather than deficits, and on relationships at the neighbourhood level. In doing so, ABCD starts from what is ‘strong' rather than ‘wrong' in order to work towards community transformation. This paper's focus on ABCD emerges from an ethnography with a community following ABCD on an estate in Birmingham, UK. The housing estate in which the ethnography was conducted is an area of relatively high UK deprivation. However, the ethnography drew out how, through ABCD intertwined with a Christian ethos, local volunteers and community workers endeavoured to reframe the questions being asked of and by the community in order to focus on people's gifts, foster neighbour-to-neighbour support, and shun stigma. In conclusion, the paper argues that giving more attention to ABCD poverty interventions will complement human geographers' existing attention to poverty in the global North by broadening our foci, including to question whether ABCD interventions could be used more widely to combat both the existence and experience of poverty. However, this comes with a warning: in giving more attention to assets, we must be careful to avoid romanticising poverty, and so this must be alongside existing geographical attention to austerity and welfare provision. The information, practices and views in this article are those of the author(s) and do not necessarily reflect the opinion of the Royal Geographical Society (with IBG). © 2023 The Author. Area published by John Wiley & Sons Ltd on behalf of Royal Geographical Society (with the Institute of British Geographers).

The most relevant intangible assets in generating value in creative economy companies

Objective: This work seeks to identify which variables best explain the generation of value in creative economy companies that have high investment in intangible assets. The study focused on the creative economy sector of Porto Digital in the city of Recife, Pernambuco, Brazil. Methodology: The methodology used was exploratory research. For the examination of the variables, the multivariate analysis was used with the application of exploratory factor analysis, and for confirmation, the Spearman correlation model. For data collection, a semi-structured questionnaire prepared in Google Forms was sent to the companies in the second half of July 2021. The responses were validated using Cronbach's Alpha, and the suitability for using factor analysis was measured using the KMO and Bartlett tests. All results were found and demonstrated using the IBM SPSS Statistics 26 software. Results: The variables highlighted by the results were grouped into three groups and presented in an accounting statement model using the Resource-Based Theory definitions. Finally, the CEO of two of the most prominent Creative Economy companies in Pernambuco gave his opinion on these variables. These comments were placed in the financial statement explanatory note format. The results showed that 13 variables were classified into structural, relational, and human capital. Study contributions: Creative economy companies essentially work using the ability to manage all their intangible resources. This article is the first to provide empirical evidence on the perceptions of managers of creative economy companies in Porto Digital do Recife about the importance and contributions of intangible assets to generate value in their businesses, as well as assess the organizational resilience of these companies in the context of the covid-19 pandemic.

The importance of the human factor in organizational change in banking. Evolution and systematics between two crises

Objective: This study aims to highlight the evolution operated in the three banks of systemic size in Spain, in the 11-year period observed and which is framed between two major crises, the first known in Spain as the "brick crisis", and the second derived from the COVID-19 pandemic. It specializes in the treatment and management of human resources, as the engine of organizational change in the financial sector aimed not only at reducing costs, but also at the digital business revolution. Thus, it is intended to demonstrate the importance of the human factor in the organizational change of banking. Methodology: An economic-financial analysis methodology of data and ratios contained in balance sheets and annual reports has been used, which cover the information provided to shareholders and stakeholders. Results: The evolutionary design of banking in terms of its parameters follows a line already drawn, assuming each of the two crises we encounter an acceleration of processes. Limitations: A greater number of banking entities would have made it possible to generalize what was indicated in the study. Practical implications: Facilitate the understanding of a certain line of action common to all financial entities, in the relationship between human resources and economic results.

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.