Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises

Which Jobs are Unlucky against the Biologic and the Economic Risks Caused by the Covid-19 Pandemic?

Context

Beyond the biological impact of the pandemic in working life, socioeconomic consequences is also important for workers. This study aimed to investigate both biologic and economic impacts of the pandemic.

Methods

In this cross-sectional study, a structured questionnaire were applied by telephone to 233 workers who were diagnosed with coronavirus disease-2019 (Covid-19) at hospital. A pretest was applied before the data collection. The outcomes of the study were work-related Covid-19 transmission (WRCT) and pandemic-related economic worsening (PREW). Descriptive statistics is presented. Chi-square test is used in comparison of proportions.

Results

Of the 233 workers, 52% were male (n = 120) and the mean age was 37.7 (±9.2) years. WRCT was observed in 73% of health care workers. PREW was 6.7 times higher in private sector (95% confidence interval = 3.1-14.5), especially in self-employed and small business owners. Drivers and sales workers were the unluckiest. Because they were affected in terms of both the WRCT and PREW.

Conclusions

Within the framework of occupational health, the economic destructive effects of the Covid-19 pandemic as well as the biological impacts should be considered with a holistic perspective. Protective policies should be developed especially for economically fragile groups against the pandemic such as self-employed, small business owners, and private sector workers.

Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis

Research on the exchange rate volatility and dynamic conditional correlation of African currencies/financial markets interdependence appears to be limited. In this paper, we employ GARCH models to characterize the exchange rate volatility of eight major African currencies. The variation of interdependence with respect to time is described using the DCC-GARCH model. From the results of the DCC, remarkable variations in correlations through time across these countries are observed with the correlations varying from low to moderate, suggesting that African economies are generally governed by certain economic factors and are vastly regulated. These regulations, including exchange rate misalignment led to sluggish and negative growth in most of the African countries. For instance, persistent misalignment can cause high levels of inflation, for example, undervaluation. Overvaluation can lead to trade imbalances and they can in turn create macroeconomic instability and balance of payment problems. Given these results, we suggest that policy makers should revamp and adopt state resilience so as to reduce the negative effect of exchange rate misalignment on economic growth.

Time-frequency domain analysis of investor fear and expectations in stock markets of BRIC economies

The purpose of this study is to provide insight into the lead-lag relationships between the BRIC stock index and its constituents. In addition, we assess the comovements between the US volatility index (VIX) as a measure of investor uncertainty and fear and stock returns of BRIC economies. Therefore, the bi-wavelet and wavelet multiple correlations approaches are utilised. Findings from the bi-wavelet technique indicate that there are high interdependencies between the BRIC index and its constituents throughout the time-frequency domain. In addition, comovements between the BRIC index and its constituents was positive and significant. Notwithstanding, we find the BRIC index to be the first variable to respond to shocks when all the study variables were considered in the wavelet multiple cross-correlations. Similarly, the stock market of Brazil is the next to respond to shocks. On the other hand, the stock market of Russia lags in the long-term when the BRIC index was excluded from the wavelet multiple cross-correlations. We also find a uni-directional causality between the VIX and the BRIC stocks in the medium-, and long-terms. Specifically, the US VIX significantly drives the BRIC stocks and considered to be negative. Findings from the study imply that global investors can select any of the stock markets in BRIC to allocate their investments due to their strong interdependencies which may facilitate trade and investments. However, portfolio diversification, safe haven or hedge benefits within this region may be minimal due to their high integration with the BRIC index which demonstrates positive significant comovements. The findings present relevant inferences for portfolio diversification, policy decisions, and risk management schemes. It is recommended that investors hedge against volatilities in the BRIC stock markets using the US VIX.