Causality of geopolitical risk on food prices: Considering the Russo–Ukrainian conflict

http://www.cell.com/article/S2405844022005035/pdf

Dynamic connectedness and spillovers between Islamic and conventional stock markets: time- and frequency-domain approach in COVID-19 era

Does the Russia-Ukraine War Lead to Currency Asymmetries? A US Dollar Tale

The world has witnessed the adverse impact of the COVID-19 pandemic. Accordingly, it is expected that information transmission between equities and digital assets has been altered due to the hostile impact of the pandemic outbreak on financial markets. As a result, the ensuing perverse risk among markets is presumed to rise during severe uncertainties occasioned by the COVID-19 pandemic. The impetus of this study is to examine the degree of asymmetry and nonlinear directional causality between global equities and cryptocurrencies in the frequency domain. Hence, we employ both the variational mode decomposition (VMD) and the Renyi effective transfer entropy techniques. Analyses of the study are presented for three sample periods;these are the full sample period, the pre-COVID-19 period, and the COVID-19 pandemic period. We gauge a mixture of asymmetric and nonlinear bidirectional and unidirectional causality between global equities and cryptocurrencies for the sample periods. However, the COVID-19 pandemic period appears to be driving the estimates for the full sample period, which indicates a negative flow. Thus, the direction and significance of the information flow between the markets for the full sample correspond to the one observed during the COVID-19 pandemic period. We, consequently, establish a significant directional, dynamical, and scale-dependent information flow between global equities and cryptocurrencies. Notwithstanding, throughout the study samples, we mainly find a negative significant information flow from global equities to cryptocurrencies. We detect that most cryptocurrencies exhibit similar behaviour of information flow to global equities for each of the sample periods. The outcome provides pertinent signals to investors with diverse investment horizons who would want to diversify, hedge, or employ cryptocurrencies as a safe haven for global equities during uncertainties, specifically the COVID-19 pandemic. © 2021 Emmanuel Asafo-Adjei et al.

/pdf/information-flow-between-global-equities-and-407sllfgmu.pdf

Information Flow between Global Equities and Cryptocurrencies: A VMD-Based Entropy Evaluating Shocks from COVID-19 Pandemic

Connectedness between geopolitical risk, financial instability indices and precious metals markets: Novel findings from Russia Ukraine conflict perspective

Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression

This study investigated the impact of the novel coronavirus disease 2019 (COVID-19) outbreak on prices of maize, sorghum, imported rice and local rice in sub-Saharan Africa (SSA). We estimated dynamic panel data models with controls for macroeconomic setting using general method of moments estimation. The study found that the COVID-19 outbreak led to increases in food prices of the sampled countries. Restrictions on movements or lockdowns in the wake of COVID-19 was associated with an increase in the price of maize only. We also found that exchange rate, inflation and crude oil prices exerted a detrimental effect on food prices. We recommend that governments of SSA countries invest in infrastructure that improves efficiencies in the food supply chain during pandemics. Providing adequate support to industries in the value chain will also improve food availability and food price stability post-COVID-19.

https://onlinelibrary.wiley.com/doi/pdf/10.1111/1467-8268.12525

COVID-19 and food prices in sub-Saharan Africa.

We revisit the flight-to-quality (FTQ) and flight-from-quality (FFQ) occurrences vis-à-vis the stock-bond nexus across differing investment time scales in the COVID-19 era, using a novel technique hinged on a denoised frequency-domain transfer entropy. Our findings divulge that flights, both FTQ and FFQ, could be attained during stress periods. Generally, in the intermediate term of the COVID-19 pandemic, both Islamic and conventional bonds could act as safe havens, diversifiers, and hedges for international equities, and the same could be observed for international equities. We reiterate empirically that flights may improve the financial system’s stability and robustness by allowing diversity to be effective when it is most required. The findings have financial and portfolio implications for investors considering how to deploy their investments in the COVID-19 era. Our findings may impact policymakers’ responses to changes in various asset classes, allowing them to better monitor financial markets and adjust macroeconomic policies.

/pdf/flights-to-and-from-quality-with-islamic-and-conventional-3pgeqedm.pdf

Flights-to-and-from-Quality with Islamic and Conventional Bonds in the COVID-19 Pandemic Era: ICEEMDAN-Based Transfer Entropy

The COVID-19 pandemic has affected all sectors of the economy resulting in unprecedented challenges for market participants, policymakers, and practitioners. This study envisages this issue from the perspective of real estate investment trusts (REITs), which is a relatively less analysed segment. We examine the impact of the COVID-19 pandemic on REIT returns for 12 top REIT regimes spread across America, Asia, and Europe under the bullish, bearish, and normal market conditions over the COVID-19 period (specifically from February 02, 2020, to January 24, 2022). We employ the quantile-on-quantile regression and causality-in-quantiles approach. We document a strong (weak) predictive power of COVID-19 cases on REIT returns within the lower (upper) conditioned quantiles. Our findings are of importance to market participants, practitioners, and regulators across REIT regimes. 

https://doi.org/10.1016/j.jeca.2022.e00257

Ahmed Bossman

Papers

Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression

COVID-19 and food prices in sub-Saharan Africa.

Dynamic connectedness and spillovers between Islamic and conventional stock markets: time- and frequency-domain approach in COVID-19 era

Flights-to-and-from-Quality with Islamic and Conventional Bonds in the COVID-19 Pandemic Era: ICEEMDAN-Based Transfer Entropy

Modelling the asymmetric effect of COVID-19 on REIT returns: A quantile-on-quantile regression analysis