Connectedness between DeFi, cryptocurrency, stock, and safe-haven assets

This paper examines return spillovers within and between different DeFi, cryptocurrency, stock, and safe-haven assets. For the period January 2019 to March 2022, we find that DeFi and cryptocurrency asset markets exhibit strong within-market and between-market return spillovers, that stock and safe-haven markets show weak connectedness, and that safe-haven assets are minor receivers and transmitters of between-market spillover effects. The connectedness between markets is time-varying and reveals structural changes in early 2020. Furthermore, we document that financial conditions shape the dynamics of return spillover effects between marketsWe would like to thank two anonymous reviewers for constructive and insightful comments. Juan C. Reboredo acknowledges financial support provided by the Agencia Estatal de Investigación (Ministerio de Ciencia, Innovación y Universidades) under research project with reference PID2021–124336OB-I00 co-funded by the European Regional Development Fund (ERDF/FEDER)S

Impacts of COVID-19 on dynamic return and volatility spillovers between rare earth metals and renewable energy stock markets

We examine the time-frequency co-movements and return and volatility spillovers between the rare earths and six major renewable energy stocks. We employ the wavelet analysis and the spillover index methodology from January 1, 2018 to May 15, 2020. We report that the COVID-19-triggered significant increase in co-movements and spillovers in returns and volatility between the rare earths and renewable energy returns and volatility. The rare earths act as net recipient of both return and volatility spillovers, while the clean energy stocks are net transmitters of return and volatility spillovers before and during the COVID-19 crisis. The solar and wind stocks are net transmitters/receivers of spillovers before/during the pandemic. The remaining markets shift from net spillover receivers to transmitters or vice versa; evidencing the effects of the pandemic. Our results show that cross-market hedge strategies may have their efficiency impaired during the periods of crises implying a necessity of portfolio rebalancing.info:eu-repo/semantics/publishedVersio

Volatility spillovers and frequency dependence between oil price shocks and green stock markets

This study uses wavelet coherence and frequency connectedness techniques to examine the time-frequency dependence and risk connectivity between oil shocks and green stocks. The results show that on mid-term and long-term scales, the dependence relationships between the oil and green stock markets are tighter while lead-lag patterns are mixed and time-varying. Total risk spillovers between the oil and green stock markets are mostly conveyed over time. Risk spillovers from the oil market are substantially larger in the green stock market. Furthermore, global crises such as the Great Recession, the oil price collapse, and the COVID-19 pandemic have substantially amplified the magnitude of risk spillovers. Overall, the green stock market has not yet developed enough potential for a larger independence from the conventional energy market. Hence, for participants in the energy and financial markets who have different time horizons for asset allocation and risk management and for committed investors in particular, the examination of time-frequency dependence and risk spillovers can be quite beneficial.info:eu-repo/semantics/publishedVersio

How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process

a b s t r a c t a r t i c l e i n f o Since its formation, OPEC through its conference decisions has been a major player in the world oil markets. The purpose of this paper is to examine the impacts of OPEC's different news announcements on the conditional expectations and volatility of crude oil markets in the presence of long memory and structural changes. To do so, we first discern OPEC's oil production behavior in response to its "cut", "maintain", and "increase" decisions. Then by applying the ARMA-GARCH class models to the two global benchmarks WTI and Brent over the period May 1987 through December 2012, we find strong evidence of long memory. The empirical evidence also shows that OPEC's announcements especially the "cut" and the "maintain" decisions have a significant effect on both returns and volatility of the crude oil markets, particularly that of the WTI. Moreover, we explore the possibility of structural breaks in the crude oil prices and detect five (six) breakpoints for the WTI (Brent) oil markets. The presence of structural breaks reduces the persistence of volatility. Accounting for OPEC's scheduled news announcements in the presence of structural changes reduces the degree of volatility persistence and enhances the understanding of this volatility in the oil markets. These results have several implications for policy makers, oil traders and other participants in the crude oil markets

Value of brain natriuretic peptide in the perioperative follow-up of children with valvular disease

Objective: To characterize N-terminal pro-brain natriuretic peptide (N-proBNP) and troponin I (TnI) profile following mitral and/or aortic valve surgery and to evaluate correlations with echocardiography measures and outcome criteria. Design and setting: Prospective cross-controlled study in auniversity children's hospital. Patients: Twenty children with acquired valvular disease requiring valvular surgery. Interventions: We prospectively studied clinical, biochemical, and echocardiographic characteristics at baseline and 6, 12, 24 h and 3-4 weeks postoperatively. Results: TnI peaked 6 h after surgery and remained elevated during the first 24 h. N-proBNP was significantly lower 3-4 weeks after surgery than during the perioperative period. Overall, N-proBNP was correlated with the Pediatric Heart Failure Index, left ventricle shortening fraction, left atrium to aorta ratio, left ventricle mass index, end-systolic wall stress, and with outcome measures such as inotropic score, duration of inotropic support, and ICU length of stay. Preoperative N-proBNP was significantly more elevated in patients with complicated outcome than in patients with uneventful postoperative course. Conclusions: In pediatric valvular patients, perioperative N-proBNP is apromising risk stratification predicting factor. It is correlated with evolutive echocardiographic measures, need for inotropic support, and ICU length of sta

Dynamic global linkages of the BRICS stock markets with the U.S. and Europe under external crisis shocks: Implications for portfolio risk forecasting

Crisis shocks often lead to changes in the interdependence across stock markets, and thus risk assessment and management. This paper investigates the extent to which the global financial crisis of 2008-2009, which was triggered by the US subprime crisis in 2007, and the European debt crisis started at the end of 2009, affect the interdependence of the leading emerging markets of the BRICS countries with those of the United States and Europe. Our empirical analysis makes use of the FIAPARCH model combined with the Dynamic Equicorrelation (DECO-FIAPARCH), which allows for the estimation of market linkage for a large group of countries as a whole, while controlling for asymmetric volatility and long memory. The results reveal the presence of important changes in the time-varying linkages of the BRICS stock markets with the US and European ones. In particular, the average linkages have significantly been higher between 2007 and the first half of 2012 than the remaining part of the sample, and there is also evidence of structural change around the Lehman Brothers collapse. We also show the effects of these stylized facts on portfolio risk assessment and forecasting

Dynamic global linkages of the BRICS stock markets with the U.S. and Europe under external crisis shocks: Implications for portfolio risk forecasting

Crisis shocks often lead to changes in the interdependence across stock markets, and thus risk assessment and management. This paper investigates the extent to which the global financial crisis of 2008-2009, which was triggered by the US subprime crisis in 2007, and the European debt crisis started at the end of 2009, affect the interdependence of the leading emerging markets of the BRICS countries with those of the United States and Europe. Our empirical analysis makes use of the FIAPARCH model combined with the Dynamic Equicorrelation (DECO-FIAPARCH), which allows for the estimation of market linkage for a large group of countries as a whole, while controlling for asymmetric volatility and long memory. The results reveal the presence of important changes in the time-varying linkages of the BRICS stock markets with the US and European ones. In particular, the average linkages have significantly been higher between 2007 and the first half of 2012 than the remaining part of the sample, and there is also evidence of structural change around the Lehman Brothers collapse. We also show the effects of these stylized facts on portfolio risk assessment and forecasting

Interdependence and contagion among industry-level U.S credit markets: An application of wavelet and VMD based copula approaches

This study examines the interdependence and contagion among U.S industry-level credit markets. We use daily data of 11 industries from 17 December 2007 to 31 December 2014 for the time-frequency, namely, wavelet squared coherence analysis. The empirical analysis reveals that Basic Materials (Utilities) industry credit market has the highest (lowest) interdependence with other industries. Basic Materials credit market passes cyclical effect to all other industries. The little “shift-contagion” as defined by Forbes and Rigobon (2002) is examined using elliptical and Archimedean copulas on the short-run decomposed series obtained through Variational Mode Decomposition (VMD). The contagion effects between U.S industry-level credit markets mainly occurred during the global financial crisis of 2007-08

Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets

This study examines portfolio management and risk spillovers between four major precious metals (gold, silver, palladium and platinum) and 20 important U.S. exchange markets. To this end, we employ the multivariate DECO-GARCH model and the spillover index developed by Diebold and Yilmaz (2014, 2016) to examine the spillovers between those metal prices and the exchange rates and design portfolios and hedging strategies using different risk measures. The results show evidence of weak average conditional equicorrelations among the considered markets over time, excluding the turbulent 2008–2010 period. Furthermore, the precious metals (excluding platinum) and the currencies (with the exception of the Australian, Brazilian, Denmark, Euro, Mexican, Norwegian, New Zealand and Swedish currencies) are net receivers of shocks. Finally, the four precious metals provide strong risk and downside risk reductions, underscoring the usefulness of including precious metals in a traditional foreign exchange-dominated portfolio.The fourth author (Alanoud Ali S A Al-Maadid) acknowledges the financial support by Qatar University internal research grant [QUCP-CBE-2018-1]. The last author (Sang Hoon Kang) acknowledges the financial support by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2017S1A5B8057488)

Risk spillovers and diversification between oil and non-ferrous metals during bear and bull market states

This paper examines the dependence structure, risk spillovers and conditional diversification benefits (CDBs) between oil and six non-ferrous metals futures markets (aluminum, copper, lead, nickel, tin, and zinc), using a variety of copula functions and Conditional Value at Risk (CoVaR) measure. The results show significant lower tail dependence and upper tail independence between oil and non-ferrous metals markets. The lower temporal dependence is positive and heterogeneous between oil and non-ferrous markets and intensified during the onset of the global financial crisis (GFC) for copper, lead, and tin markets. The upside and downside spillovers from oil to non-ferrous markets and vice versa is significant and increased during times of GFC, oil price crash, and COVID-19 outbreak. The highest spillover effects are observed for the aluminum market, which is very vulnerable to oil price instabilities. Moreover, the spillover effects are asymmetric for all markets. Finally, we find that the CDB for aluminum and nickel are quite similar, and for lead, tin and zinc are also closed the same. The CDB is higher for nickel regardless of the portfolio composition and the probability level. The diversification gains decrease during stress market periods. Our findings have important implications in terms of funds allocation and portfolio design