This article studies the capacity of biofuels to reduce motor fuel price fluctuations. For this purpose, we study dependence between crude oil and biodiesel blend prices in Spain. Copula models are used for this purpose. Results suggest that the practice of blending biodiesel with diesel can protect consumers against extreme crude oil price increases.

Biodiesel as a motor fuel price stabilization mechanism

Abstract This paper examines volatility and skewness spillover between Chinese stock index and index futures markets during the market crash in 2015. The results reveal that the volatility spillover from futures to spot is significant and stronger than the other way around and the transmission of downside risk is bilateral with the futures market taking the lead. Moreover, the measures announced during the market crash to curb the speculative futures trading appears to enhance the spillover of both volatility and skewness from futures to spot markets. This paper thus sheds some light on the validity of such measures to restore market efficiency during a stock market crash.

Volatility and skewness spillover between stock index and stock index futures markets during the crash period: New evidence from China

https://doi.org/10.1016/j.najef.2022.101688

The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic

Abstract This article investigates comovement and contagions in the commodities markets. We examine the comovement by analyzing the unconditional correlation coefficients. We document that commodities tend to partially integrate. We perform contagion tests by identifying coexceedances and estimating multinomial logit to explain the joint occurrence of those coexceedances. We document that commodities price changes tend to affect the probability of both positive and negative coexceedances. Overall, we conclude that there are comovement and contagions among commodities. However, the degrees of comovement and contagion are different among commodities and between positive and negative extreme returns. The contagion among commodities is asymmetric.

https://www.tandfonline.com/doi/pdf/10.1080/23322039.2022.2064079?needAccess=true

Comovement and contagion in commodity markets

Frequency Connectedness and Spillovers among Oil and Islamic Sector Stock Markets: Portfolio Hedging Implications

Cross hedging with stock index futures

Financial contagion in the futures markets amidst global geo-economic events

The COVID-19 pandemic has impacted many aspects of the economy, including commercial banking. This research aims to analyze the health of Malaysia's commercial banks before and during the COVID-19 pandemic. To accomplish this, the authors employed the CAMEL framework, widely recognized as one of the best tools for evaluating a bank's health. The study aims to comprehend the pandemic's impact on the financial health of banks during the pandemic. Secondary data was gathered from the financial statements of eight local commercial banks from 2017 to 2021. Results from this study suggest that the performance of commercial banks in Malaysia was generally stable and well-capitalized, with low non-performing loans and strong profitability before and during COVID-19. This study offers a new understanding of the effect of the pandemic on banking operations in Malaysia, a country whose financial system depends mainly on banks.

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The utilization of CAMEL framework in analyzing the financial soundness of commercial banks in Malaysia: Pre and in the time of Covid 19

Little research has been done to determine whether the pandemic’s impact is strong enough to innovate all of the ASEAN-5 stock indices. The traditional studies of financial epidemiology in regional equities mainly focus on the major global stock markets. This paper utilizes the conventional t-test and the advanced computational power of the Wavelet Power Energy Spectrum (WPES) to investigate the magnitude of the significance of the COVID-19 impacts on the ASEAN-5 stock indices. Our t-test confirms that the pandemic has caused significant changes to the overall stock index activities. Further, the WPES analysis yielded notable results based on the spectrogram plots. First, based on the spectral analysis, during pandemic, the ASEAN-5 stock indices experienced episodes of innovation in terms of market activities. It was also observed that the regional stock indices experienced phases of volatility persistence, volatility clustering and long memory of up to four months. We conclude that, due to the impact of the pandemic, trend-following investors can’t dominate the market as they react quickly and efficiently to new information. It is suggested that asset allocation strategists particularly should regularly review and conduct climate tests on their baskets to ensure their positions are durable and resistant to shocks. The results of this study offer significant insights for both institutional and retail investors, particularly in strategizing investment baskets during uncertainties.

Evidence of COVID-19’s financial epidemiology on the ASEAN-5 stock indices

ABSTRACT This paper examines the impact of COVID-19 on five of the world's most liquid futures markets. The results of our wavelet coherence analysis for spot futures reveal two important findings. First, spot futures coherence movements during the pandemic period are influential at both low and high frequency scales. Second, the spectrogram shows mixed causality directions at all scales of observation in the period before and during the pandemic. In terms of hedging effectiveness, OLS and VECM show improvements in hedging effectiveness. Nevertheless, multiscale analysis with wavelet methods shows that hedging effectiveness depends on the hedge period due to the instability of the spot-futures association during the pandemic period. Our results refute the conventional wisdom among finance scholars that a stronger link between spot and futures markets during the crisis improves hedging effectiveness. We would emphasise that investment baskets and hedge pairs should be reviewed frequently to optimise results.

Ahmad Danial Zainudin

Papers

Cross hedging with stock index futures

Financial contagion in the futures markets amidst global geo-economic events

The utilization of CAMEL framework in analyzing the financial soundness of commercial banks in Malaysia: Pre and in the time of Covid 19

Evidence of COVID-19’s financial epidemiology on the ASEAN-5 stock indices

Pandemic impact on the co-movement and hedging effectiveness of the global futures markets