An empirical investigation of the determinants of asset return comovements

Understanding financial asset return correlation is a key facet in asset allocation and investor’s portfolio optimization strategy. For the last decades, several studies have investigated this relationship between stock and bond returns. But, fewer studies have dealt with multi-asset return dynamics. While initial literature attempted to understand the fundamental pattern of comovements, later studies model the economic state variables influencing such time-varying comovements of primarily stock and bond returns. Research widely acknowledges that return distributions of financial assets are non-normal. When the joint distributions of the asset returns follow a non-elliptical structure, linear correlation fails to provide sufficient information of their dependence structure. In particular two issues arise from this existing empirical evidence. The first is to propose a more reliable alternative density specification for a higher-dimensional case. The second is to formulate a measure of the variables’ dependence structure which is more instructive than linear correlation. In this work I use a time-varying conditional multivariate elliptical and non-elliptical copula to examine the return comovements of three different asset classes: financial assets, commodities and real estate in the US market. I establish the following stylized facts about asset return comovements. First, the static measures of asset return comovements overestimate the asset return comovements in the economic expansion phase, while underestimating it in the periods of economic contraction. Second, Student t-copulas outperform both elliptical and non-elliptical copula models, thus confirming the ii dominance of Student t-distribution. Third, findings show a significant increase in asset return comovements post August 2007 subprime crisis ... [cont.].SOM Prize winne

Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market

We study the economic and non-economic sources of stock return comovements of the emerging Indian equity market and the developed equity markets of the US, UK, Germany, France, Canada and Japan. Our findings show that the probability of extreme comovements in the economic contraction regime is relatively higher than in the economic expansion regime. We show that international interest rates, inflation uncertainty and dividend yields are the main drivers of the asymmetric return comovements. Findings reported in the paper imply that the impact of interest rates and inflation on return comovements could be used for anticipating financial contagion and/or spillover effects. This is particularly critical since during extreme market conditions, the tail return comovements can potentially reveal critical information for active portfolio management

Analysis of the opinions of individuals on the COVID-19 vaccination on social media

The COVID-19 pandemic continues to threaten public health globally. To develop effective interventions and campaigns to raise vaccination rates, policy makers need to understand people's attitudes towards vaccination. We examine the perspectives of people in India, the United States, Canada, and the United Kingdom on the administration of different COVID-19 vaccines. We analyse how public opinion and emotional tendencies regarding the COVID-19 vaccines relate to popular issues on social media. We employ machine learning algorithms to forecast thoughts based on the social media posts. The prevailing emotional tendency indicates that individuals have faith in immunisation. However, there is a likelihood that significant statements or events on a national, international, or political scale influence public perception of vaccinations. We show how public health officials can track public attitudes and opinions towards vaccine-related information in a geo-aware manner, respond to the sceptics, and increase the level of vaccine trust in a particular region or community

Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market

We provide robust evidence of the impact on spot market liquidity and the pricing efficiency of FBM-FKLI index futures following the introduction of lower tick sizes for the stocks listed in the Bursa Malaysia. Our findings show a significant increase in unexpected trading volume and the speed of mean reversion of the futures mispricing. We find that the increase in the unexpected trading volume of the underlying stocks helps in reducing inter-market price discrepancies. The findings offer new evidence that lowering of tick sizes improves pricing efficiency in the Malaysian futures market

The possible association of female pattern hair loss and alteration in serum cholecalciferol level

© 2020 The Authors. Published by Acta Scientific. This is an open access article available under a Creative Commons licence. The published version can be accessed at the following link on the publisher’s website: https://actascientific.com/ASWH/ASWH-02-0167.phpBackground: Vitamin D has a central role in neuronal, reproductive, autoimmune, infectious, and heart diseases. Female Pattern Hair Loss (FPHL) is described as a non-scarring, progressive thinning of the hair resulting from a decreasing ratio of terminal hairs to thinner vellus hairs. Aim: To explore the possibility of vitamin D deficiency contribution to hair loss in women in the local population in West Midlands England. Method: Records of women from different age groups who were treated in the dermatology outpatient clinic for any skin conditions and had their vitamin D status assessed as part of their usual care. In this study we also examine the impact of vitamin D levels and age on hair loss. Results: The studies reviewed medical records of 48 patients diagnosed with dermatological conditions. Low levels of vitamin D significantly affects the loss of hair (p = 0.046). The odds ratio estimated is 3.545. Our results show that the impact of low vitamin D level is significantly prevalent for the age groups 35 - 45 and moderately impacted age group 55 - 65 years. Conclusion: Vitamin D has a significant role in hair-loss process, and possibly early correction may have a role in prevention and treatment in women aged 35 - 45 year of age.

The UPTAKE study: implications for the future of COVID-19 vaccination trial recruitment in UK and beyond

© 2021 The Authors. Published by BMC (Springer Nature). This is an open access article available under a Creative Commons licence. The published version can be accessed at the following link on the publisher’s website: https://doi.org/10.1186/s13063-021-05250-4Background Developing a safe and effective vaccine will be the principal way of controlling the COVID-19 pandemic. However, current COVID-19 vaccination trials are not adequately representing a diverse participant population in terms of age, ethnicity and comorbidities. Achieving the representative recruitment targets that are adequately powered to the study remains one of the greatest challenges in clinical trial management. To ensure accuracy and generalisability of the safety and efficacy conclusions generated by clinical trials, it is crucial to recruit patient cohorts as representative as possible of the future target population. Missing these targets can lead to reduced validity of the study results and can often slow down drug development leading to costly delays. Objective This study explores the key factors related to perceptions and participation in vaccination trials. Methods This study involved an anonymous cross-sectional online survey circulated across the UK. Statistical analysis was done in six phases. Multi-nominal logistic models examined demographic and geographic factors that may impact vaccine uptake. Results The survey had 4884 participants of which 9.44% were Black Asian Minority Ethnic (BAME). Overall, 2020 (41.4%) respondents were interested in participating in vaccine trials; 27.6% of the respondents were not interested and 31.1% were unsure. The most interested groups were male (OR = 1.29), graduates (OR = 1.28), the 40–49 and 50–59 age groups (OR = 1.88 and OR = 1.46 respectively) and those with no health issues (OR = 1.06). The least interested groups were BAME (OR = 0.43), those from villages and small towns (OR = 0.66 and 0.54 respectively) and those aged 70 and above (OR = 1.11). Conclusions In order to have a vaccination that is generalisable to the entire population, greater work needs to be done in engaging a diverse cohort of participants. Public health campaigns need to be targeted in improving trial recruitment rates for the elderly, BAME community and the less educated rural population.Published onlin

The uptake study: a cross-sectional survey examining the insights and beliefs of the UK population on COVID-19 vaccine uptake and hesitancy

© 2021 The Authors. Published by BMJ. This is an open access article available under a Creative Commons licence. The published version can be accessed at the following link on the publisher’s website: http://dx.doi.org/10.1136/bmjopen-2021-048856Objective: A key challenge towards a successful COVID-19 vaccine uptake is vaccine hesitancy. We examine and provide novel insights on the key drivers and barriers towards COVID-19 vaccine uptake. Design: This study involved an anonymous cross-sectional online survey circulated across the UK in September 2020. The survey was designed to include several sections to collect demographic data and responses on: i) extent of agreement regarding various statements about COVID-19 and vaccinations; ii) previous vaccination habits (e.g. if they had previously declined vaccination); and iii) interest in participation in vaccine trials. Multi-nominal logistic models examined demographic factors that may impact vaccine uptake. We used principle component analysis and text mining to explore perception related to vaccine uptake. Setting: The survey was circulated through various media, including: posts on social media networks (Facebook, Twitter, LinkedIn and Instagram), national radio, news articles, Clinical Research Network (CRN) website and newsletter, and through 150 West Midlands general practices via a text messaging service. Participants: There was a total of 4884 respondents of which 9.44% were BAME (Black Asian Minority Ethnic) group. The majority were females (n=3416, 69·9%) and of White ethnicity (n=4127, 84·5%). Results: Regarding respondents, overall 3873 (79·3%) were interested in taking approved COVID-19 vaccines while 677 (13·9%) were unsure, and 334 (6·8%) would not take a vaccine. Participants aged over 70 years (Odds Ratio (OR)=4·63) and the BAME community (OR=5·48) were more likely to take an approved vaccine. Smokers (OR=0·45) and respondents with no known illness (OR=0·70) were less likely to accept approved vaccines. The study identified 16 key reasons for not accepting approved vaccines, the most common (60%) being the possibility of the COVID-19 vaccine having side effects. Conclusions: This study provides an insight into focusing on specific populations to reduce vaccine hesitancy. This proves crucial in managing the COVID-19 pandemic

COVID-19 seroprevalence after the first UK wave of the pandemic and its association with the physical and mental wellbeing of secondary care healthcare workers

Objectives To determine the seroprevalence of severe acute respiratory syndrome-coronavirus-2 (SARS-CoV-2) antibody status amongst healthcare workers (HCWs) working through the first wave of the Coronavirus (COVID-19) pandemic in 2020. To examine the association of seroprevalence and self-reported COVID-19 symptoms with occupation, sex, and ethnicity; and how these factors were associated with physical and mental wellbeing. Design Single-centre cohort study. Setting Large public hospital in the United Kingdom. Intervention All HCWs who had been tested for anti-SARS-CoV-2 immunoglobulin (Ig) G nucleocapsid antibody in summer 2020 were asked to complete an electronic survey focusing on their physical and mental health in Winter 2020–21. This survey was comprised of the Short Form 12v2, Physical Component Summary (PCS), Mental Component Summary (MCS), and Generalised Anxiety Disorder 7-item (GAD-7) questionnaires. Results 7604/9781 (77.7%) HCWs were antibody tested, of which 1082 completed the full survey. Antibody testing was conducted between 17/06/20–30/07/20, during which time our seroprevalence rate was 28% (299/1082). Of those self-reporting COVID-19 symptoms, 51% (201/395) were antibody positive. Antibody-positive participants had lower PCS scores (p = 0.016), indicating poorer physical health. Lower PCS scores were also found in those deemed high risk for COVID-19 by their GP (p = 0.001), and those aged >44 years (p = 0.009). Antibody-negative participants had lower MCS scores (p = 0.044), indicating poorer mental health. Those who self-reported COVID-19 symptoms had lower PCS scores (p