Global commodity and equity markets spillovers to Africa during the COVID-19 pandemic

This paper examines the connectedness among 12 African equity markets and the global commodity, developed equity markets, paying particular attention to their evolution during the COVID-19 pandemic's peak period. We find that whilst African equity markets connect weakly to these markets, the levels of connectedness among these markets improved significantly during the pandemic. In addition, the energy market dominates the transmission of shocks in the system with commodity markets. Regarding the system with equity markets, the French and South African equity markets transmit the highest spillover in the full sample and during the pandemic's peak period, respectively. • Examines the connectedness among African equity and the global equity and commodity markets. • Examines the evolution of connectedness among these markets during the COVID-19. • African equity markets are weakly integrated with the global commodity and equity markets • During the COVID-19 peak period, however, the level of integration among these increased significantly. [ FROM AUTHOR] Copyright of Emerging Markets Review is the property of Elsevier B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full . (Copyright applies to all s.)

Quantile co-movement and dependence between energy-focused sectors and artificial intelligence

This paper examines the dependence between Artificial Intelligence (AI) and eight energy-focused sectors (including renewable energy and coal) across different market conditions and investment horizons. This paper adopts both linear and non-linear models such as quantile regressions and quantile cross-spectral coherency models. Evidence from the linear model suggests that the performance of energy-focused corporations, especially those in the renewable energy sector depends strongly on the performance of AI. Results from the non-linear model indicate that dependence varies across both energy sectors, market conditions as well as investment horizons. By considering both negative and positive shocks on AI, we demonstrate that the dependence of energy corporations on AI also varies according to the direction of shocks on AI. Interestingly, negative and positive shocks on AI impact differently on the performance of energy corporations across different sectors and market conditions. Besides, we found that the dependence became stronger during the first wave of the COVID-19 pandemic. Our findings hold profound implications for portfolio managers and investors, who may be interested in holding the assets of AI and those of energy corporations.

Global commodity and equity markets spillovers to Africa during the COVID-19 pandemic

This paper examines the connectedness among 12 African equity markets and the global commodity, developed equity markets, paying particular attention to their evolution during the COVID-19 pandemic's peak period. We find that whilst African equity markets connect weakly to these markets, the levels of connectedness among these markets improved significantly during the pandemic. In addition, the energy market dominates the transmission of shocks in the system with commodity markets. Regarding the system with equity markets, the French and South African equity markets transmit the highest spillover in the full sample and during the pandemic's peak period, respectively.

American hedge funds industry, market timing and COVID-19 crisis

This paper addresses two key issues relating to the interactions among the North American hedge funds industry, the equity and treasury bond markets during the COVID-19 pandemic. First, we examine the market-timing ability of North America hedge fund managers using eight strategies as well as the composite hedge fund index. Secondly, we analyze both the short- and long-term effects of both the North American equity and bond markets on the performance of the regional hedge funds industry while accounting for the effects of COVID-19 pandemic. Our results show no significant evidence of market return-timing ability of hedge fund managers across all the funds strategies during the pandemic. However, we document a strong evidence of the effects of the pandemic on the performance of fund managers, except for the Managed Futures and the Relative Value funds strategies. Secondly, we demonstrate that the COVID-19 pandemic may have significantly altered the long-term effects of the North American equity market on the performance of the hedge fund industry while the effects of the bond market is only significant in the short-term. We outlined some crucial implications of these findings for the decision-making process of hedge fund managers, investors as well as market makers during a health crisis-induced financial market turbulence.

Downside and upside risk spillovers between green finance and energy markets

This paper aims to build an incentive to mobilize the financial resources needed to accelerate the transition to a climate resilient economy. To this end, we examine the dependence structure using copulas theory and then the risk transmissions between green financial products and the energy commodity market index. This methodology provides opportunities to investors in green finance to protect their portfolios against downside or upside risk by taking long or long position. In our empirical study for the period July 2014 to September 2020, marginal equities show a long memory in the volatility process captured by FIGARCH model, justifying by the various crisis, the last of which is the ongoing COVID-19 pandemic. Using VaRs and CoVaRs measures, we find that green instruments (mainly the green bonds) are significantly affected by substantial price spillovers from energy commodity market during critical periods. Many obstacles to set up investments’ opportunities are discussed.

Negative oil price shocks transmission: the comparative effects of the GFC, shale oil boom, and Covid-19 downturn on French gasoline prices

This article analyzes the transmission mechanisms between oil prices and fuel prices in France over the period 2005-2020. The econometric procedure focuses on three singular years marked by significant negative oil prices shocks: 2008 (the global financial crisis), 2014 (the sharp drop in prices due to the boom of US shale oil), 2020 (Covid-19 economic downturn). To analyze the linkages between oil and fuel prices, we use the ARDL bounds testing approach of cointegration with weekly data between January 7, 2005 and October 30, 2020. We find that over the entire period, fuel distributors report increases in oil prices more than decreases. We find that this asymmetry is highest in 2008. Our paper provides some policy recommendations based on our findings.

Exploring the relationship between cryptocurrencies and hedge funds during COVID-19 crisis.

In this paper, we investigated the relationship between cryptocurrency market and hedge funds in two different ways. First, we focus on the dependence between Cryptocurrency hedge funds and conventional hedge funds strategies using VAR and VECM models, while analyzing the impact of COVID-19 on the hedge funds' values. Secondly, we choose between ARDL and ARDL-ECM models to study the effects of cryptocurrency price changes on Crypto- Currency hedge funds' values during COVID-19 crisis. Our empirical findings demonstrate that there is substantial interactions between Crypto-Currency and conventional hedge funds. The COVID-19 pandemic has significant negative impact on the performance of the following hedge funds: Event Driven, Relative Value and Distressed Debt fund strategies, this has reflected in a significant drop in their values during this critical period. However, we demonstrate that COVID-19 pandemic did not affect the relationship between crypto-currency hedge funds and both bitcoin and Ethereum. These findings hold profound implications for hedge funds managers, cryptocurrency market main players and policy makers. Our study is crucial in forecasting the performance of these markets especially during global pandemics.

Green markets integration in different time scales: A regional analysis

This paper examines the interactions among regional green energy equity markets and their dependence and connectedness with both uncertainties and price fluctuations in the global financial and crude oil markets. Using wavelets and spillovers based on a Time-Varying Parameter VAR model with stochastic volatility, we investigate the lead-lag relationships, co-movement and time-varying integration among these markets across different time domains. First, we found low covariance but positive and strong correlations among regional green energy equities across all time scales. Correlations are mainly negative and weak between regional green energy returns and uncertainties, except for Asia that exhibits positive correlation with oil price shocks in the long term. In terms of fluctuations in prices, results are similar regarding the covariance and correlations with global equity market prices but different for crude oil prices, where all regional green equity markets exhibit positive covariance and correlation with oil price changes especially in the medium term. Second, strong dependence exist among regional green energy equity markets in the medium and long term, especially between the U.S. and European markets. Similarly, dependence among green energy equities and global equity and oil markets both in terms of uncertainties and price fluctuations is weak in the short-run but strengthens towards the long-term except during the COVID-19 period when short-term integration rose sharply. Lastly, the global equity market is the leading source of risks while the Asian green equity market is the main net-receiver of shocks, especially in terms of price fluctuations in the global equity and crude oil markets. We document some crucial practical implications of these results both for investors and policy makers.