Oil price shocks and stock market returns: New evidence from the United States and China

This study examines the time-varying correlations between oil prices shocks of different types (supply-side, aggregate demand and oil-market specific demand as per Kilian (2009) who highlighted that "Not all oil shocks are alike") and stock market returns, using a Scalar-BEKK model. For this study we consider the aggregate stock market indices from two countries, China and the US, reflecting the most important developing and developed financial markets in the world. In addition to the whole market, we also consider correlations from key selected industrial sectors, namely Metals & Mining, Oil & Gas, Retail, Technology and Banking. The sample period runs from 1995 until 2013. We highlight several key points: (i) correlations between oil price shocks and stock returns are clearly and systematically time-varying; (ii) oil shocks of different types show substantial variation in their impact upon stock market returns; (iii) these effects differ widely across industrial sectors; and finally (iv) China is seemingly more resilient to oil price shocks than the US

An analysis between implied and realised volatility in the Greek Derivatives Market

In this article, we examine the relationship between implied and realised volatility in the Greek derivative market. We examine the differences between realised volatility and implied volatility of call and put options for at-the-money index options with a two-month expiration period. The findings provide evidence that implied volatility is not an efficient estimate of realised volatility. Implied volatility creates overpricing, for both call and put options, in the Greek market. This is an indication of inefficiency for the market. In addition, we find evidence that realised volatility ‘Granger causes’ implied volatility for call options, and implied volatility of call options ‘Granger causes’, the implied volatility of put option

Business cycle synchronisation in EU: a time-varying approach

The paper investigates the time -varying correlation between the EU12 -wide business cycle and the initial EU12 member -countries based on scalar -BEKK and multivariate Riskmetrics model frameworks for the period 1980-2009. The paper provides evidence that changes in the business cycle synchronisation correspond to institutional changes that have taken place at a European level.Business cycle synchronisation has moved in a direction positive for the operation of a single currency suggesting that the common monetary policy is less costly in terms of lost flexibility at the national level. Thus,any questions regarding the optimality and sustainability of the common currency area in Europe should not be attributed to the lack of cyclical synchronisation

Sentiment, Mood and Outbound Tourism Demand.

We investigate spillover effects from sentiment and mood shocks on US outbound tourism demand from 1996 until 2013. We use the Index of Consumer Sentiment and Economic Policy Uncertainty Index as proxies for sentiment and the S&P500 as a proxy for mood. We find a moderate to high interrelationship among sentiment, mood and outbound tourism demand. More importantly, sentiment and mood indicators are net transmitters of spillover shocks to outbound tourism demand. The magnitude of spillover effects sourced by sentiment and mood is time-varying and depends on certain socio-economic and environmental events. Our results have important implications for policymakers and travel agents in their efforts to predict tourism arrivals from key origin countries and to plan their tourism strategy

Tourism demand and economic growth in Spain: New insights based on the yield curve

We examine for the first time the dynamic relationship between tourism growth and expected macroeconomic conditions of the destination country, employing a DCCGARCH model. Our focus is on the Spanish economy and we collect monthly tourist arrival data from five key origin countries, as well as, from around the world between 1998-2017. We capture expected macroeconomic conditions using the Spanish term structure of interest rates. Our findings suggest that the tourism-expected macroeconomic conditions relationship is time-varying without any country-specific differences in the behaviour of the correlations. Importantly, we report that positive correlations coincide with a regime shift in the Spanish economy; whereas negative correlations are evident when expected economic conditions are stable. We further show that the aforementioned relationship is influenced by key geopolitical and economic events (the 2001 terrorist attacks, the Global Financial Crisis and the ECB’s quantitative easing programme). We finally report policy implications deriving from our findings

Oil volatility, oil and gas firms and portfolio diversification

This paper investigates the volatility spillovers and co-movements among oil prices and stock prices of major oil and gas corporations over the period between 18th June 2001 and 1st February 2016. To do so, we use the spillover index approach by Diebold and Yilmaz (2009, 2012, 2014, 2015) and the dynamic correlation coefficient model of Engle (2002) so as to identify the transmission mechanisms of volatility shocks and the contagion of volatility among oil prices and stock prices of oil and gas companies, respectively. Given that volatility transmission across oil and major oil and gas corporations is important for portfolio diversification and risk management, we also examine optimal weights and hedge ratios among the aforementioned series. Our results point to the existence of significant volatility spillover effects among oil and oil and gas companies’ stock volatility. However, the spillover is usually unidirectional from oil and gas companies’ stock volatility to oil volatility, with BP, CHEVRON, EXXON, SHELL and TOTAL being the major net transmitters of volatility to oil markets. Conditional correlations are positive and time-varying, with those between each of the aforementioned companies and oil being the highest. Finally, the diversification benefits and hedging effectiveness based on our results are discussed

Genome-wide expression changes induced by bisphenol A, F and S in human stem cell derived hepatocyte-like cells

Acknowledgments BLV and DCH were funded by an award from the Chief Scientist Office (TCS 16/37). This work has received funding from the European Union’s Horizon 2020 research and innovation programme under grant agreement no. 681002 (EU-ToxRisk) and from TransQST (no. 116030).Peer reviewedPublisher PD

Dynamics of the transcriptional landscape during human fetal testis and ovary development

Acknowledgements We thank all members of the SEQanswers forums for helpful advice; Steven Salzberg and Cole Trapnell for continuous support with the ‘Tuxedo’ suite; and the UCSC Genome team members. Sequencing was performed by the GenomEast platform, a member of the ‘France Génomique’ consortium (ANR-10-INBS-0009). We thank Ms Linda Robertson, Ms Margaret Fraser, Ms Samantha Flannigan (University of Aberdeen) and the staff at Grampian NHS Pregnancy Counselling Service and all the staff of the Department of Obstetrics and Gynecology of the Rennes Sud Hospital for their expert assistance and help, and the participating women, without whom this study would not have been possible. The authors are grateful for Ms Gersende Lacombe and Mr Laurent Deleurme from the Biosit CytomeTri cytometry core facility of Rennes 1 University. Funding French National Institute of Health and Medical Research (Inserm); University of Rennes 1; French School of Public Health (EHESP); Swiss National Science Foundation [SNF n° CRS115_171007 to B.J.]; the French National Research Agency [ANR n° 16-CE14-0017-02 and n°18-CE14-0038-02 to F.C]; Medical Research Council [MR/L010011/1 to PAF]; European Community’s Seventh Framework Programme (FP7/2007–2013) [under grant agreement no 212885 to PAF]; European Union’s Horizon 2020 Research and Innovation Programme [under grant agreement no 825100 to P.A.F. and S.M.G.].Peer reviewedPostprin

Linking the Value Assessment of Oil and Gas Firms to Ambidexterity Theory Using a Mixture of Normal Distributions

Oil and gas exploration and production firms have return profiles that are not easily explained by current financial theory – the variation in their market returns is non-Gaussian. In this paper, the nature and underlying reason for these significant deviations from expected behavior are considered. Understanding these differences in financial market behavior is important for a wide range of reasons, including: assessing investments, investor relations, decisions to raise capital, assessment of firm and management performance. We show that using a “thicker tailed” mixture of two normal distributions offers a significantly more accurate model than the traditionally Gaussian approach in describing the behavior of the value of oil and gas firms. This mixture of normal distribution is also more effective in bridging the gap between management theory and practice without the need to introduce complex time-sensitive GARCH and/or jump diffusion dynamics. The mixture distribution is consistent with ambidexterity theory that suggests firms operate in two distinct states driven by the primary focus of the firm: an exploration state with high uncertainty and, an exploitation (or production) state with lower uncertainty. The findings have direct implications on improving the accuracy of real option pricing techniques and futures analysis of risk management. Traditional options pricing models assume that commercial returns from these assets are described by a normal random walk. However, a normal random walk model discounts the possibility of large changes to the marketplace from events such as the discovery of important reserves or the introduction of new technology. The mixture distribution proves to be well suited to inherently describe the unusually large risks and opportunities associated with oil and gas production and exploration. A significance testing study of 554 oil and gas exploration and production firms empirically supports using a mixture distribution grounded in ambidexterity theory to describe the value fluctuations for these firms

Abnormal mitochondrial respiration in skeletal muscle in patients with peripheral arterial disease

AbstractObjectiveDiscrete morphologic, enzymatic and functional changes in skeletal muscle mitochondria have been demonstrated in patients with peripheral arterial disease (PAD). We examined mitochondrial respiration in the gastrocnemius muscle of nine patients (10 legs) with advanced PAD and in nine control patients (nine legs) without evidence of PAD.MethodsMitochondrial respiratory rates were determined with a Clark electrode in an oxygraph cell containing saponin-skinned muscle bundles. Muscle samples were obtained from the anteromedial aspect of the gastrocnemius muscle, at a level 10 cm distal to the tibial tuberosity. Mitochondria respiratory rate, calculated as nanoatoms of oxygen consumed per minute per milligram of noncollagen protein, were measured at baseline (V0), after addition of substrates (malate and glutamate; (VSUB), after addition of adenosine diphosphate (ADP) (VADP), and finally, after adenine nucleotide translocase inhibition with atractyloside (VAT). The acceptor control ratio, a sensitive indicator of overall mitochondrial function, was calculated as the ratio of the respiratory rate after the addition of ADP to the respiratory rate after adenine nucleotide translocase inhibition with atractyloside (VADP/ VAT).ResultsRespiratory rate in muscle mitochondria from patients with PAD were not significantly different from control values at baseline (0.31 ± 0.06 vs 0.55 ± 0.12; P = .09), but Vsub was significantly lower in patients with PAD compared with control subjects (0.43 ± 0.07 vs 0.89 ± 0.20; P < .05), as was VADP (0.69 ± 0.13 vs 1.24 ± 0.20; P < .05). Respiratory rates after atractyloside inhibition in patients with PAD were no different from those in control patients (0.47 ± 0.07 vs 0.45 ± P = .08). Compared with control values, mitochondria from patients with PAD had a significantly lower acceptor control ratio (1.41 ± 0.10 vs 2.90 ± 0.20; P < .001).ConclusionMitochondrial respiratory activity is abnormal in lower extremity skeletal muscle in patients with PAD. When considered in concert with the ultrastructural and enzymatic abnormalities previously documented in mitochondria of chronically ischemic muscle, these data support the concept of defective mitochondrial function as a pathophysiologic component of PAD