Volatility and skewness spillover between stock index and stock index futures markets during the crash period: New evidence from China

This paper examines volatility and skewness spillover between the Chinese stock index and index futures markets during a market crash in 2015. The volatility spillover from futures to spot is significant and stronger than the other way around. Moreover, the transmission of downside risk is bilateral with the futures market taking the lead. It is revealed that measures announced during the market crash to curb the speculative futures trading enhance the spillover of both volatility and skewness from futures to spot markets. This finding sheds light on validity of such measures to restore market efficiency during a stock market crash

Does blockchain patent-development influence Bitcoin risk?

The paper presents a novel analysis specifically investigating as to whether stocks associated with leading blockchain patent-developments influence the price volatility of Bitcoin across multiple time frequencies. It is important to further develop our understanding of the inter-dynamics between this relatively youthful financial product and pricing sensitivities associated with corporate technological advancement. Several interesting results are presented. First, Bitcoin is identified as a volatility receiver instead of a transmitter across all of the time frequencies considered during periods of patent development. Secondly, Microsoft, Mastercard, Intel and Visa contribute the largest volatility spillovers to the Bitcoin market due to patent development. Finally, for most of the companies considered, the calculated spillover effects towards Bitcoin markets are found to increase from the short-term to the long-term. These results suggest the existence of an avenue through which large corporations can influence cryptocurrency prices through their announcements of future technological intentions. The inherent risks incorporated with blockchain and cryptocurrency patent-development should be studied in detail, with particular warnings presented to those companies with no evidence of prior exposure and market knowledge

The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry

The circumstances surrounding the outbreak of the COVID-19 pandemic have generated substantial international political strain as governments attempt to mitigate the widespread associated social and economic repercussions. One theory has focused on the potential for Chinese informational asymmetry. Using Chinese financial market data, we attempt to establish the scale and direction of information flows during multiple distinct phases of the development of the pandemic. Two specific results are identified. Firstly, the majority of domestically-traded Chinese stocks present evidence of significant information flows at a far earlier stage than internationally-traded comparatives, suggesting that domestic investors recognised the dangers associated with COVID-19 far in advance of the rest of the world. One potential explanation surrounds the view that the severity of domestically-reported Chinese news was not appropriately recognised by international investors. Secondly, while evidence of safe-haven and flight-to-safety behaviour is evident throughout traditional energy and precious metal markets, cryptocurrencies became informationally-synchronised with Chinese equity markets, indicating their use as an investor safe-haven. This is a particularly concerning outcome for international policymaker and regulatory authorities due to the fragility of these developing markets

The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets

In this paper, we investigate both constant and time-varying hedge ratios in terms of the effectiveness of CSI300 index futures during the COVID-19 crisis. Using naïve, OLS and EC/ROLS strategies to estimate constant hedge ratios, results indicate that the CSI300 spot index presents decreased effectiveness using the naïve hedging strategy; however, increased effectiveness of OLS and EC hedge ratios are identified. Differential behaviour is identified when considering five newly introduced COVID-19 concept-based stock indices. Time-varying hedge ratios indicate the weakened effectiveness, ranging between 20% and 40% variance reduction. Evidence suggests that the capability of the CSI300 index futures to hedge against the risks of the COVID-19 is impaired, regardless of whether constant or time-varying hedge ratios are used. Such results provide important implications to both local and foreign investors in the Chinese stock market

Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre

Utilising Chinese-developed data based on long-standing influenza indices, and the more recently developed coronavirus and face mask indices, we set out to test for the presence of volatility spillovers from Chinese financial markets upon a broad number of traditional financial assets during the outbreak of the COVID-19 pandemic. Such indices are used to specifically measure the performance of Chinese companies who are inherently involved in the R&D and production of materials and products used to mitigate and counteract the effects of influenza and coronavirus, therefore, such indices present a unique barometer of broad population-based sentiment relating to COVID-19 in comparison to traditional Chinese influenza. Within days of the formal announcement of the COVID-19 outbreak, results indicate exceptionally pronounced and persistent impacts of the coronavirus pandemic upon Chinese financial markets, compared to that of the traditional and longstanding influenza index. Further, in a novel finding to date, COVID-19 is found to have had a substantial effect on directional spillovers upon the Bitcoin market. Cryptocurrency-based confidence appears to have been instigated through government-developed education schemes, which are identified as one possible explanation for our results, which are found to remain robust across both data-frequency and methodological variation

Any port in a storm: cryptocurrency safe-havens during the COVID-19 pandemic

Controlling for the polarity and subjectivity of social media data based on the development of the COVID-19 outbreak, we analyse the relationships between the largest cryptocurrencies and such time-varying realisation as to the scale of the economic shock centralised within the rapidly escalating pandemic. We find evidence of significant growth in both returns and volumes traded, indicating that large cryptocurrencies acted as a store of value during this period of exceptional financial market stress. Further, cryptocurrency returns are found to be significantly influenced by negative sentiment relating to COVID-19. While not only providing diversification benefits for investors, results suggest that these digital assets acted as a safe-haven similar to that of precious metals during historic crises

Exploring the dynamic behaviour of commodity market tail risk connectedness during the negative WTI pricing event

Using a TVP-VAR analytical framework, this study explores the change and persistence of the dynamic connectedness of international energy and carbon credit markets. The overall destabilising effects generated by recent political and epidemiological events, and the subsequent consequences of shocks such as the negative WTI pricing event, have the potential to be disruptive to the continued growth and development of several regional oil markets. Results are presented via a comprehensive analysis of the dynamics of extreme risk spillovers for particular commodity pairs. In particular, WTI and Brent crude oil are found to have transmitted significant tail uncertainty shocks to other energy markets. However, Shanghai crude oil and carbon credit markets typically function as shock absorbers. The remaining energy-related commodities primarily function as tail uncertainty receivers. Further, by incorporating EGARCH-based robustness procedures, tests for significant market connectedness within international energy markets adds further validity to the results. Specifically, results relating to the substantial rebalancing of information to Shanghai crude oil futures and EUA carbon futures merit special consideration, as dynamic interactions strengthen evidence supporting their continued maturation into significant international markets. These findings are particularly interesting to policymakers and market participants who use such products to hedge against and diversify regional oil market fluctuations

Financial market information flows when counteracting rogue states: The indirect effects of targeted sanction packages

This study investigates how financial sanctions packages targeting Russia influenced traditional information flow dynamics with other international financial markets and products. While providing empirical evidence regarding the use of payment systems and finance as weapons of war, it is crucial to understand if the market's response to international sanctions diminished as expectations shifted over time. Results, supported by robustness testing procedures, indicate important dynamic information flows relating to specific sanctions after the onset of the Russia-Ukraine war. In particular, those sanctions relating to the exclusion of Russia from the SWIFT payment system and those targeting banks and private wealth resulted in significant contagion effects sourced from all Russian markets examined. Such influence, however, is found to moderate and dilute as investors reconstruct their expectations and valuations. While targeted sanctions appear to impose intended market isolation, it is also associated with significant contagion effects. Although such secondary effects dissipate, they should be seen as important when implementing further targeted sanction packages

Identification of a Functional Genetic Variant at 16q12.1 for Breast Cancer Risk: Results from the Asia Breast Cancer Consortium

Genetic factors play an important role in the etiology of breast cancer. We carried out a multi-stage genome-wide association (GWA) study in over 28,000 cases and controls recruited from 12 studies conducted in Asian and European American women to identify genetic susceptibility loci for breast cancer. After analyzing 684,457 SNPs in 2,073 cases and 2,084 controls in Chinese women, we evaluated 53 SNPs for fast-track replication in an independent set of 4,425 cases and 1,915 controls of Chinese origin. Four replicated SNPs were further investigated in an independent set of 6,173 cases and 6,340 controls from seven other studies conducted in Asian women. SNP rs4784227 was consistently associated with breast cancer risk across all studies with adjusted odds ratios (95% confidence intervals) of 1.25 (1.20−1.31) per allele (P = 3.2×10−25) in the pooled analysis of samples from all Asian samples. This SNP was also associated with breast cancer risk among European Americans (per allele OR  = 1.19, 95% CI  = 1.09−1.31, P = 1.3×10−4, 2,797 cases and 2,662 controls). SNP rs4784227 is located at 16q12.1, a region identified previously for breast cancer risk among Europeans. The association of this SNP with breast cancer risk remained highly statistically significant in Asians after adjusting for previously-reported SNPs in this region. In vitro experiments using both luciferase reporter and electrophoretic mobility shift assays demonstrated functional significance of this SNP. These results provide strong evidence implicating rs4784227 as a functional causal variant for breast cancer in the locus 16q12.1 and demonstrate the utility of conducting genetic association studies in populations with different genetic architectures