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1.
International Review of Economics & Finance ; 2023.
Article in English | ScienceDirect | ID: covidwho-20237435

ABSTRACT

Covid-19 has led to major changes worldwide and has had a significant impact on market risk. We characterize this uncertainty as innovations extracted from the Covid Risk Index on the Wall Street Journal through a textual analysis of high-dimensional data. We hedge the risk with mimicking portfolios constructed using the ESG (environmental, social, and governance) disclosure score as a measure of firm-level exposure to Covid-19 risk. The hedge portfolios perform well both in and out of sample. We also test the role of ESG in hedging and discover that during the Covid-19 pandemic firms with greater ESG disclosure generate higher returns as well as experience lower downside risk. The further analysis suggests that the portfolio returns can be explained by Covid risk shock and investment inflow, and the hedge effect mainly comes from the social part of ESG.

2.
Sustainability ; 15(11):9090, 2023.
Article in English | ProQuest Central | ID: covidwho-20236122

ABSTRACT

The COVID-19 pandemic has resulted in changes in consumer behavior and has created new opportunities and challenges for the provisioning of green products in emerging economies. The objective of this study was to identify how perceptions on COVID-19 affected the variables of planned behavior and responsible purchase intention during the pandemic in Colombia. A total of 320 consumers participated in an online survey, and the responses were analyzed using a structural equation model (SEM) and AMOS 24 statistical software. The results were positive regarding the development of better environmental awareness, indicating that COVID-19 (COV) influenced the attitude (ATT) of individuals and contributed to subjective norms (SNs) and perceived behavioral control (PBC), and that SNs and ATT influence eco-friendly purchase intention (EFPI). However, PBC does not contribute to EFPI. Colombian consumers have become aware of the importance to society of buying eco-friendly products, and planned behavior is an opportunity for organizations to formulate new portfolios relevant to the needs of the market. This is an important opportunity to sensitize consumers to the purchase of environmentally friendly products and for the identification of commercial strategies by companies that bet on the formulation and commercialization of eco-friendly portfolios that generate value for society.

3.
Applied Economics ; 55(36):4228-4238, 2023.
Article in English | ProQuest Central | ID: covidwho-20231748

ABSTRACT

In this paper, we investigate whether investors can reap potential diversification or hedging benefits from holding green bonds in a portfolio containing a conventional financial asset during the COVID-19 pandemic. Using data from 6 November 2014 to 5 November 2020, we estimate corrected dynamic conditional correlation between between green bonds and four major asset classes: stocks, corporate bonds, commodities, and clean energy. We extend our analysis by using these correlations to examine hedging, optimal portfolio weights, and naïve strategies and evaluate their implications for investors by calculating hedging effectiveness and utility gain improvement. Results reveal that across the full sample, pre-COVID-19, and during-COVID-19 periods, optimal portfolio weights represent an ideal strategy to realize the greatest risk reduction and risk-adjusted return. Further, green bonds could add substantial diversification benefits for investors holding assets in clean energy, global stocks, and commodities.

4.
Applied Economics ; : 1-16, 2023.
Article in English | Web of Science | ID: covidwho-20230941

ABSTRACT

Real-estate prices have soared since the start of the COVID-19 pandemic amid historically low mortgage rates and limited supply. The external shock observed in the real-estate market through relief measures may trigger changes in optimal conservation portfolios. The objective of this research is to identify the impacts of the real-estate market shock triggered by the pandemic through low-interest rates and limited real-estate supply on risk-diversification strategies for land conservation investment and to understand the implications of these impacts. We use a case study involving biodiversity conservation in the central and southern Appalachian region of the US by comparing modern portfolio theory (MPT) outputs using future conservation cost predictions with and without the shock. We find that the financial burden to fund the same level of risk-diversifying conservation benefits increases due to the shock and increases at an increasing rate as the return on investment (ROI) objective rises. This finding is alarming since higher conservation costs triggered by the shock decrease the cost-effectiveness of risk diversification, and this effect exacerbates with the goal of achieving higher ROI. Spatial diversification strategies with and without the shock offer risk-diversification information to help conservation organizations determine effective investment strategies.

5.
The European Journal of Finance ; 29(2):185-206, 2023.
Article in English | ProQuest Central | ID: covidwho-2326310

ABSTRACT

We examine the risk minimization utility of Islamic stock and Sukuk (bond) indices by studying their linkages against traditional global counterparts. We first employ an asymmetric power ARCH-based ADCC model on an extended dataset employed by Kenourgios et al. (2016). Our sample ranges from July 2007 to June 2021 covering the Global Financial Crisis (GFC), the European Sovereign Debt Crisis (ESDC), and the COVID-19 pandemic. Econometric tests suggest strong evidence of coupling in the bulk of Islamic equity indices. A handful of emerging market indices constitute exceptions. Qualitatively similar results emerge from time–frequency analysis via wavelet tools, revealing pervasive coupling in both returns and volatility series. The linkages are scale-dependent in only a few pairs. In contrast, Sukuk indices are uncoupled from their global fixed income counterparts and relevant risky debt portfolios. In sum, the risk-return characteristics of Islamic equities (especially in developed economies) remain coupled to major global benchmarks and therefore are unlikely to appeal as safe haven candidates. The converse applies to Sukuk, which promises potential portfolio diversification benefits and safe haven status in ‘normal' and crisis periods.

6.
Journal of Risk Model Validation ; 16(4):1-36, 2022.
Article in English | Web of Science | ID: covidwho-2308131

ABSTRACT

This paper provides a novel empirical approach to scenario design for selecting a stress scenario for international macrofinancial variables. The scenario design framework is composed of several building blocks. First, multiple scenarios on the risk factors are generated by simulating a multi-country large Bayesian vector autoregression. Second, we take the perspective of a representative investor who aims to select a severe-yet-plausible scenario for a set of systematic risk factors following a factor-investing strategy. Moreover, we compare the stress scenarios selected under different approaches to measure plausibility (the Mahalanobis distance and entropy pooling under subjective views with a clear economic narrative). Finally, we compare our scenario design approach with a historical scenario approach in terms of its ability to select a stress scenario in the run-up to a rare adverse event such as the Covid-19 pandemic. We give evidence that our framework is suitable for the selection of a proper forward-looking severe-yet-plausible macrofinancial stress scenario.

7.
Emerging Markets, Finance & Trade ; 59(5):1554-1571, 2023.
Article in English | ProQuest Central | ID: covidwho-2299255

ABSTRACT

To test for arbitrage opportunities and market efficiency in the Hong Kong money, stock, and real estate markets, we find that the money market stochastically dominates both the stock and real estate markets. Furthermore, the real estate market dominates the stock market, the money market dominates nearly all the efficient frontier portfolios, none of the efficient portfolios dominates the money market, and the money market also dominates the equal-weighting portfolio. This infers that in some cases investors could achieve higher expected ex-ante utility by investing in an individual asset rather than a portfolio. Our conclusions drawn from the pre-COVID-19 period are the same as those drawn from the entire period and the conclusions drawn from the COVID-19 period are the same as those drawn from the entire period except that the money market only stochastically dominates some of the efficient frontier portfolios. Our findings question diversification benefits in the Hong Kong capital market during our sample period, including both the pre-COVID-19 and COVID-19 periods.

8.
Technological Innovation Put to the Service of Language Learning, Translation and Interpreting: Insights from Academic and Professional Contexts ; : 55-66, 2023.
Article in English | Scopus | ID: covidwho-2295663

ABSTRACT

The COVID-19 pandemic has contributed to the acceleration of technological changes in language education in universities as well as in other educational levels. Technology has been of great use in the case of online or hybrid English teaching, but most importantly to support classroom practice during short confinement periods or to practice oral skills without a mask out of the classroom. This chapter describes five activities to enhance students' pronunciation and phonological awareness in OneNote. The activities were put into practice with a group of twenty-one future teachers in the course English Phonetics over a period of 12 weeks. After that, their performance and their perceptions on the tasks were explored by means of an ad hoc post-questionnaire composed of open answer questions, together with multiple and single response ones. The results indicate that in general the tasks that were designed were perceived as positive in terms of support of classroom practice, but also in connection with error detection, phonological awareness purposes or access to feedback. Furthermore, participants' views related to the future applicability of the tasks were optimistic. © Peter Lang GmbH. International Academic Publishers Berlin 2023. All rights reserved.

9.
Financial Studies ; 25(4):34-70, 2021.
Article in English | ProQuest Central | ID: covidwho-2292497

ABSTRACT

The aim of this article is to highlight the importance and effectiveness of stress testing as part of microprudential policy. We focus on microprudential stress testing to assess financial stability, the resilience and solvency of one important private bank in Algeria in the face of liquidity risk. Our empirical analysis adopts a bottom-up approach based on an accounting method. It studies the relationship between the bank solvency ratio (ratio cook) and bank portfolios, such as loans to the construction, trade, industry, and automotive sectors. Microeconomic stress tests assess the credit risk of a bank's loan portfolio by bottom-up accounting approach, applying eleven pessimistic and plausible multi-variable scenarios with potential risks. The tests introduce several types of microeconomic shocks into the scenarios, which are designed to replicate those that occurred during the global financial crisis. The tests results show that this private bank is highly resistant to liquidity risk, despite significant losses on its investment portfolio. The stress tests prove once again, and especially after the 2008 financial crisis, that they are indispensable tools in the management of banking risks and against systemic risks.

10.
Agricultural Economics (Czech Republic) ; 69(3):109-118, 2023.
Article in English | Scopus | ID: covidwho-2306646

ABSTRACT

Because of the COVID-19 pandemic and the war in Ukraine, agricultural commodities had significant price increases, which inevitably implies high risk. In this article, we try to mitigate the extreme risk of corn and soybeans by constructing multivariate portfolios with developed and emerging European stock indices. We measured extreme risk via conditional value at risk. To address different goals that investors might prefer, we produced portfolios with the lowest risk and highest return-to-risk ratio. According to the results, corn and soybeans had relatively high portfolio shares. However, they are the riskiest assets because they have a very low pairwise correlation with the stock indices. Portfolios with emerging European indices had better risk-reducing results, considering both agricultural commodities because these indices are less risky than developed indices. In particular, the risk reductions of corn were 38% and 50% in the portfolios with developed and emerging stock indices, respectively, whereas, for soybeans, the results were 28% and 41%, respectively. In optimal portfolios, emerging European stock indices had the upper hand in most cases. © The authors.

11.
SN Bus Econ ; 3(5): 93, 2023.
Article in English | MEDLINE | ID: covidwho-2292917

ABSTRACT

The processes of localisation and investment optimisation present a challenge when it comes to emerging markets. The phenomena of low diversification and efficiency in some economies do not allow structurers to adequately visualize the dynamics and risks involved. This article aims to establish, by means of a recursive VAR, the transitive impacts that exist between the stock markets of the countries that make up the Pacific Alliance: Chile, Colombia, Mexico and Peru. The findings show that Mexico and Chile are the markets with the greatest depth and liquidity and are therefore the first to react to a random and exogenous shock such as the one caused by the informational impact of COVID-19, while the markets of Colombia and Peru experience a high degree of dependence on the impacts caused in the markets of countries with higher levels of efficiency and depth. Supplementary Information: The online version contains supplementary material available at 10.1007/s43546-023-00469-6.

12.
25th International Conference on Interactive Collaborative Learning, ICL 2022 ; 633 LNNS:289-299, 2023.
Article in English | Scopus | ID: covidwho-2255239

ABSTRACT

In the past two years, the "New Normal” such as blended university, COVID-19 Campus, hybrid everything, remote proctoring, and online networking has increasingly become the norm for Higher Education Institutions, and they will need to adapt accordingly. The importance of reflective learning and teaching is given special significance in numerous empirical findings on professionalization. Therefore, concepts and instruments are needed to make development, qualification, and competencies accessible on the way to becoming a "reflective practitioner” [1]. The article presents the implementation and the use of E-Portfolio as a reflective tool in the existing structure based on a seminar developed and conducted at the University of Passau. © 2023, The Author(s), under exclusive license to Springer Nature Switzerland AG.

13.
Applied Economics ; 2023.
Article in English | Scopus | ID: covidwho-2252382

ABSTRACT

This paper discusses whether the Bitcoin exchange-traded fund (ETF), which tracks the value of Bitcoin, improves equity portfolios, by using a robust portfolio performance analysis. The equity portfolio is represented by an ETF that tracks the Standard & Poor's 500. We use data from a turbulent investment period within the coronavirus pandemic, to study the diversification benefits of Bitcoin. We compare the performances of diverse portfolios composed of both ETFs, which include 40 classical dynamic volatility model-based portfolios and 900 score-driven portfolios. For the score-driven portfolios, the dynamic association is modelled by score-driven Clayton, rotated Clayton, Gumbel, rotated Gumbel and Student's t copulas. We compare portfolio strategies using the model confidence set test. We find that score-driven portfolios outperform classical volatility model-based portfolios and the equity portfolio. Our results may provide suggestions for cryptocurrency investors on portfolio optimization and may also have policy implications for regulators and policymakers. © 2023 Informa UK Limited, trading as Taylor & Francis Group.

14.
Applied Economics ; 55(24):2740-2754, 2023.
Article in English | ProQuest Central | ID: covidwho-2250037

ABSTRACT

This study investigates the dynamic transmission mechanism between COVID-19 news sentiment (Google Trends Index), and S&P100, crude oil and gold volatility indices using the recently developed time-varying parameter vector autoregressive (TVP-VAR)-based extended joint connectedness approach. This framework corrects for the Generalized Forecast Error Variance Decomposition (GFEVD) normalization problem. The obtained empirical results suggest that dynamic total connectedness is heterogeneous over time and severely affected by COVID-19. More importantly, we identify COVID-19 news sentiment to be the main driver of spillover shocks indicating that it is indeed an important predictor of the volatility indices employed in our study. Thus, our findings have important implications for policymakers, private investors, as well as for portfolios and risk managers.

15.
International Journal of Islamic and Middle Eastern Finance and Management ; 16(2):234-252, 2023.
Article in English | ProQuest Central | ID: covidwho-2273112

ABSTRACT

PurposeThis study aims to examine the hedge and safe-haven properties of the Sukuk and green bond for the stock markets pre- and during the COVID-19 pandemic period.Design/methodology/approachTo test the hedge and safe-haven characteristics of Sukuk and green bonds for stock markets, the study first uses the methodology proposed by Ratner and Chiu (2013). Next, the authors estimate the hedge ratios and hedge effectiveness of using Sukuk and green bonds in a portfolio with stock markets.FindingsStrong safe-haven features of ethical (green) bonds reveal that adding green bonds into the investment portfolios brings considerable diversification avenues for the investors who tend to take fewer risks in periods of economic stress and turbulence. The hedge ratio and hedge effectiveness estimates reveal that green bonds provide sufficient evidence of the hedge effectiveness for various international stocks.Practical implicationsThe study has significant implications for faith-based investors, ethical investors, policymakers and regulatory bodies. Religious investors can invest in Sukuk to relish low-risk and interest-free investments, whereas green investors can satisfy their socially responsible motives by investing in these investment streams. Policymakers can direct the businesses to include these diversifiers for portfolio and risk management.Originality/valueThe study provides novel insights in the testing hedge and safe-haven attributes of green bonds and Sukuk while using unique methodologies to identify multiple low-risk investors for investors following the uncertain COVID-19 pandemic.

16.
Energies ; 16(3):1329, 2023.
Article in English | ProQuest Central | ID: covidwho-2267652

ABSTRACT

This study investigates the effects of crude oil and natural gas future returns on energy stock portfolios. We consider returns of portfolios of energy companies approximated by energy ETFs and returns of Brent crude oil and natural gas contracts listed on the US market from January 2015 to September 2022. To study the relationship between Brent crude oil, natural gas, and ETFs, we apply Granger causality in mean and variance, Dynamic Conditional Correlation and the tail dependence-focused copula approach. The research hypothesis regarding the dependence between energy ETFs and the underlying energy risk factors—crude oil and natural gas, and therefore, the existence of hedging or diversification opportunities, was verified. Our empirical findings indicate that crude oil has a medium effect on energy ETFs, and for natural gas it is even lower in the analyzed period, so hedging opportunities are weak, but opportunities for diversification arise.

17.
Iranian Journal of Language Teaching Research ; 11(1):75-95, 2023.
Article in English | Scopus | ID: covidwho-2267639

ABSTRACT

Due to the spread of COVID-19, all face-to-face speaking courses were discontinued for a while, which inevitably impaired assessment results. E-portfolios are typically an appropriate evaluation technique for universities that implement fully synchronous online learning in pandemic situations. However, little is known about how this alternative assessment technique influences student speaking performance and self-efficacy. As a response, this study explored the impacts of e-portfolios on students' speaking performance and self-efficacy when studying from home, owing to the COVID-19 pandemic. A mixed-methods experimental design was used, with 55 university students (experimental = 28, control = 27) aged 18–20 years. Data were gathered via pre and post-speaking tests, pre and post-self-efficacy questionnaires, and an interview guide. The statistical analysis revealed that the experimental group outperformed the control group regarding speaking performance and self-efficacy. Furthermore, the interview findings indicated that the activities in e-portfolios were crucial for these improvements. This article suggests innovative approaches for teaching online speaking courses with e-portfolios © Urmia University Press

18.
Studies in Economics and Finance ; 40(2):302-312, 2023.
Article in English | ProQuest Central | ID: covidwho-2261669

ABSTRACT

PurposeThis paper aims to examine the hedge, diversifier and safe haven properties of the global listed infrastructure sector and subsector indices against two traditional asset classes, stocks and bonds, and four alternative asset classes, including commodities, real estate, private equity and hedge funds during extreme negative stock market movements.Design/methodology/approachUsing dynamic conditional correlation and quantile regression, the authors analyze a data set of 12 indices comprising listed infrastructure and traditional asset classes from 2010 to 2019.FindingsOverall, the findings indicate that listed infrastructure acts as an effective diversifier but not as a strong safe haven or hedge when considered in a multiasset context. With minor exceptions, listed infrastructure cannot be concluded as a safe haven against other asset classes under investigation.Practical implicationsThe present study has implications for institutional investors looking to incorporate infrastructure in their multiasset portfolios for increased portfolio diversification benefits.Originality/valueDespite the increased influence of infrastructure as an asset class, to the best of the authors' knowledge, this is the first study to investigate the hedge, safe haven and diversifying properties of infrastructure in a multi-asset context.

19.
25th International Conference on Interactive Collaborative Learning, ICL 2022 ; 634 LNNS:528-535, 2023.
Article in English | Scopus | ID: covidwho-2278840

ABSTRACT

In the conditions of extremely dangerous human life (COVID-19 pandemic, martial law, etc.) the urgent tasks of science and education are the preservation of values, the creation of E-communications for adaptive and comprehensive support of scientists. The goal of the research is to intensify the problems of information analytics in the system of scientific staff training (SST) and to develop a methodology for building an information-analytical system (IAS), which will ensure the integrity of the process of intellectual potential formation. This is aimed at the rationality of the IAS, in particular, its component – E-Portfolio. This will make it possible to convert the accumulated information into electronic form and facilitate the transition to the creation of fundamentally new types of information resources. They can be combined into digital collections, which in the projection of the educational space become a system complex of digital scientific and educational resources – part of the IAS. When force-majeure makes radical changes in the education system and causes a certain failure in all spheres of scientific activity, the E-Portfolio itself becomes a reasonable and well-reasoned decision. Its development as an open component of the IAS for SST is using methods of adequate definition of structure based on of systematic, competency, transdisciplinary and diagnostic approaches. The components of the structure are combined into meaningful blocks based – on conceptual, organizational, socio-psychological, and diagnostic. This allows for establishing transdisciplinary relationships between researchers in different fields of science. Thus E-Portfolio is an effective IAS-tool for distance SST and also helps with the adaptive performance of scientific tasks. © 2023, The Author(s), under exclusive license to Springer Nature Switzerland AG.

20.
Finance Research Letters ; 52, 2023.
Article in English | Scopus | ID: covidwho-2245724

ABSTRACT

This paper investigates whether there exists a clear relationship between ESG indicators and financial performance with specific reference to the CoVid-19 crisis and to discover what are, if any, the key takeaways for issuers that emerge from such relationship. To assess this connection, we carried out an ESG scores based long-short portfolio analysis in the spirit of Fama and French (1992) on the European market in the period 2016‒2021. The results indicate that there is robust evidence that the bottom decile portfolio provides negative alphas and some weak evidence that the long-short portfolio provides some positive abnormal returns compared to all three most prominent asset pricing models (CAPM, Fama-French three-factor model and Fama-French five-factor model). © 2022

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