RESUMO
The COVID-19 pandemic presented a dynamic black-swan event to which governments implemented support programmes to reduce sectoral probability of default. This research analyses investor response to such assistance, designed to mitigate the effects of the pandemic upon international aviation and tourism. Investor confidence in such support schemes is estimated through short-term abnormal returns. Results indicate significant differential behaviour, with fiscal policy found to be a dominant and largely effective mechanism generating median abnormal returns of 2.17 %. Specific assistance programmes relating to COVID-19 loan facilities, and the provision of pandemic relief packages significantly alleviated short-term investor concerns with median abnormal returns estimated between 2.87 % and 3.89 % respectively. Our empirical results offer investors and policymakers an additional layer of information.
RESUMO
We examine the interactions between cryptocurrency price volatility and liquidity during the outbreak of the COVID-19 pandemic. Evidence suggests that these developing digital products have played a new role as a potential safe-haven during periods of substantial financial market panic. Results suggest that cryptocurrency market liquidity increased significantly after the WHO identification of a worldwide pandemic. Significant and substantial interactions between cryptocurrency price and liquidity effects are identified. These results add further support to the argument that substantial flows of investment entered cryptocurrency markets in search of an investment safe-haven during this exceptional black-swan event.
RESUMO
In this paper, we investigate both constant and time-varying hedge ratios in terms of the effectiveness of CSI300 index futures during the COVID-19 crisis. Using naïve, OLS and EC/ROLS strategies to estimate constant hedge ratios, results indicate that the CSI300 spot index presents decreased effectiveness using the naïve hedging strategy; however, increased effectiveness of OLS and EC hedge ratios are identified. Differential behaviour is identified when considering five newly introduced COVID-19 concept-based stock indices. Time-varying hedge ratios indicate the weakened effectiveness, ranging between 20% and 40% variance reduction. Evidence suggests that the capability of the CSI300 index futures to hedge against the risks of the COVID-19 is impaired, regardless of whether constant or time-varying hedge ratios are used. Such results provide important implications to both local and foreign investors in the Chinese stock market.
RESUMO
How have health and social mortality risks changed over time? Evidence from pre-1945 cohorts is sparse, mostly from the United States, and evidence is mixed on long-term changes in the risk of being overweight. We develop a dataset of men entering the NZ army in the two world wars, with objectively measured height and weight, and socioeconomic status in early adulthood. Our sample includes significant numbers of indigenous Maori, providing estimates of weight and mortality risk in an indigenous population. We follow men from war's end until death, with data on more than 12,000 men from each war. Overweight and obesity were important risk factors for mortality, and associated with shorter life expectancy. However, the reduction in life expectancy associated with being overweight declined from 5 to 3 years between the two cohorts, consistent with the hypothesis that being overweight became less risky during the twentieth century.
RESUMO
In the midst of the 2020 global COVID-19 pandemic and subsequent financial market collapse, corporate entities have to navigate a number of truly unforeseen contagion risks. However, one such group included those who shared their corporate identity with aspects of the rapidly evolving coronavirus. Our results indicate the existence of sharp, dynamic and new correlations between companies related to the term 'corona', outside of pre-existing interrelationships. We provide a number of observations as to why this situation occurred.
RESUMO
Controlling for the polarity and subjectivity of social media data based on the development of the COVID-19 outbreak, we analyse the relationships between the largest cryptocurrencies and such time-varying realisation as to the scale of the economic shock centralised within the rapidly-escalating pandemic. We find evidence of significant growth in both returns and volumes traded, indicating that large cryptocurrencies acted as a store of value during this period of exceptional financial market stress. Further, cryptocurrency returns are found to be significantly influenced by negative sentiment relating to COVID-19. While not only providing diversification benefits for investors, results suggest that these digital assets acted as a safe-haven similar to that of precious metals during historiccrises.
RESUMO
The circumstances surrounding the outbreak of the COVID-19 pandemic have generated substantial international political strain as governments attempt to mitigate the widespread associated social and economic repercussions. One theory has focused on the potential for Chinese informational asymmetry. Using Chinese financial market data, we attempt to establish the scale and direction of information flows during multiple distinct phases of the development of the pandemic. Two specific results are identified. Firstly, the majority of domestically-traded Chinese stocks present evidence of significant information flows at a far earlier stage than internationally-traded comparatives, suggesting that domestic investors recognised the dangers associated with COVID-19 far in advance of the rest of the world. One potential explanation surrounds the view that the severity of domestically-reported Chinese news was not appropriately recognised by international investors. Secondly, while evidence of safe-haven and flight-to-safety behaviour is evident throughout traditional energy and precious metal markets, cryptocurrencies became informationally-synchronised with Chinese equity markets, indicating their use as an investor safe-haven. This is a particularly concerning outcome for international policy-maker and regulatory authorities due to the fragility of these developing markets.
RESUMO
Recent papers that have explored spot and futures markets for Bitcoin have concluded that price discovery takes place either in the spot, or the futures market. Here, we consider the robustness of previous price discovery conclusions by investigating causal relationships, cointegration and price discovery between spot and futures markets for Bitcoin, using appropriate daily data and time-varying mechanisms. We apply the time-varying Granger causality test of Shi, Phillips, and Hurn [2018]; time-varying cointegration tests of Park and Hahn [1999], and time-varying information share methodologies, concluding that futures prices Granger cause spot prices and that futures prices dominate the price discovery process.
RESUMO
The British colonization of New Zealand after 1840 was marked by an unusual concern compared to other settler colonies for incorporating the indigenous population Maori population into the new society. But despite a continuing political rhetoric of protection and sovereignty Maori have historically had lower living standards and, since the 1920s, higher rates of incarceration than European-descended New Zealanders (Pakeha). In this paper we examine differences between Maori and Pakeha over 130 years using prison records. Aggregate data from the Ministry of Justice show long-term change and differences in incarceration rates. Using a dataset of all extant registers of men entering New Zealand prisons we show change over time in convictions and in height. The adult statures of Maori and Pakeha were similar for men born before 1900 but marked differences emerged among cohorts born during the twentieth century. By World War II the gap in adult stature widened to around 3 cm, before narrowing for men born after World War II. Periods of divergence in stature are paralleled by divergence in fertility and indicators of family size, suggesting the possibility that increasing fertility stressed the economic situation of Maori families. The prison evidence suggests that inequalities in 'net nutrition' between Maori and Pakeha are long-standing but not unchanging, indeed they increased for cohorts born into the early 20th century. A subset of the data describing adolescents confirms that among those born after 1945 the ethnic differential was already visible by the age of 16 years.
