Equity market contagion during global financial and Eurozone crises: Evidence from a dynamic correlation analysis

The devastation resulting from the recent global financial and Eurozone crises is immense. Most researchers commonly believe that the global financial crisis originated in the United States, and spread immediately to global financial hubs where it eventually became the Eurozone crisis. Several studies have been conducted on financial market contagion during both global and Eurozone crises; however, the issue of whether equity market contagion spreads from the United States to the world equity markets during these crises has not been addressed yet. Through using US dollar-denominated MSCI daily indices from fifty-five equity markets for the period 2003–2013, we have found evidence of contagion in developed and emerging markets during the global and Eurozone crises. We show that contagion spread from the United States to the world markets during both crises. Our regression results identify that the bank risk transfer between the United States and other countries is the key transmission channel for cross-country correlations. This study has an important policy implication for portfolio diversification between the United States and other countries during these crises

Effects of Heavy Metals and Arbuscular Mycorrhiza on the Leaf Proteome of a Selected Poplar Clone: A Time Course Analysis

Arbuscular mycorrhizal (AM) fungi establish a mutualistic symbiosis with the roots of most plant species. While receiving photosynthates, they improve the mineral nutrition of the plant and can also increase its tolerance towards some pollutants, like heavy metals. Although the fungal symbionts exclusively colonize the plant roots, some plant responses can be systemic. Therefore, in this work a clone of Populus alba L., previously selected for its tolerance to copper and zinc, was used to investigate the effects of the symbiosis with the AM fungus Glomus intraradices on the leaf protein expression. Poplar leaf samples were collected from plants maintained in a glasshouse on polluted (copper and zinc contaminated) or unpolluted soil, after four, six and sixteen months of growth. For each harvest, about 450 proteins were reproducibly separated on 2DE maps. At the first harvest the most relevant effect on protein modulation was exerted by the AM fungi, at the second one by the metals, and at the last one by both treatments. This work demonstrates how importantly the time of sampling affects the proteome responses in perennial plants. In addition, it underlines the ability of a proteomic approach, targeted on protein identification, to depict changes in a specific pattern of protein expression, while being still far from elucidating the biological function of each protein

Integer-valued moving average modelling of the number of transactions in stocks

The Integer-valued Moving Average Model (INMA) is advanced to model the number of transactions in intra-day data of stocks. The conditional mean and variance properties are discussed and model extensions to include explanatory variables are offered. Least squares and generalized method of moment estimators are presented. In a small Monte Carlo study a feasible least squares estimator comes out as the best choice. Empirically we find support for the use of long-lag moving average models in a Swedish stock series. There is evidence of asymmetric effects of news about prices on the number of transactions.

Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data—Under Conditional Heteroskedasticity Framework

This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that the QML estimator performs as well as CLS and FGLS in terms of eliminating serial correlations, but the estimator can be sensitive to start value. Hence, two-stage QML has been suggested. In empirical estimation on two stock transaction data for Ericsson and AstraZeneca, the 2SQML turns out relatively more efficient than CLS and FGLS. The empirical results suggest that both of the series have long memory properties that imply that the impact of macroeconomic news or rumors in one point of time has a persistence impact on future transactions

Impact of geopolitical risk on the information technology, communication services and consumer staples sectors of the S&P 500 Index

We investigate the effect of geopolitical risk on the returns of firms in the Information Technology, Communication Services, and Consumer Staples sectors within the S&P 500 index. We use the event study methodology and perform more than 17,000 regressions to provide empirical evidence at sector level that geopolitical risk leads to different responses across these three sectors. The response of the Information Technology sector is negative for all event windows under study, except the one spanning 10 days prior to the geopolitical event and 10 days after. The Communication Services sector has positive returns as a result of geopolitical events for all event windows, except the one from the geopolitical event date and 5 days after. The Consumer Staples sector shows a negative impact on geopolitical risk for all event windows except the one from the geopolitical event date and 5 days after, demonstrating a negative correlation to the Communication Services sector

Impact of Geopolitical Risk on the Information Technology, Communication Services and Consumer Staples Sectors of the S&P 500 Index

We investigate the effect of geopolitical risk on the returns of firms in the Information Technology, Communication Services, and Consumer Staples sectors within the S&P 500 index. We use the event study methodology and perform more than 17,000 regressions to provide empirical evidence at sector level that geopolitical risk leads to different responses across these three sectors. The response of the Information Technology sector is negative for all event windows under study, except the one spanning 10 days prior to the geopolitical event and 10 days after. The Communication Services sector has positive returns as a result of geopolitical events for all event windows, except the one from the geopolitical event date and 5 days after. The Consumer Staples sector shows a negative impact on geopolitical risk for all event windows except the one from the geopolitical event date and 5 days after, demonstrating a negative correlation to the Communication Services sector