Spillover Dynamics Between ESG Returns and Ethical Fixed-Income Securities Amid Geopolitical and Market Volatility

Introducing more speculators into the market for a given commodity leads to improved risk sharing but can also change the informational content of prices. This inflicts an externality on those traders already in the market, whose ability to make inferences based on current prices will be aff ected. In some cases, the externality is negative: the entry of new s peculators lowers the informativeness of the price to existing trader s. The net result can be one of price destabilization and welfare red uction. This is true even when all agents are rational, risk-averse c ompetitors who make the best possible use of their available informat ion. Copyright 1987 by University of Chicago Press.

This examination endeavors to divulge the effects of the COVID-19 first and second waves on daily sectoral indices and volatility spillover in Indian markets. The empirical outcomes of the analysis reveal that the outbreaks of the first and second waves had a heterogeneous impact on the average value of eleven major sectoral indices. It also produces sufficient evidence of the assorted impacts of the first and second waves on volatility. The empirical outcome also confirms that the COVID-19 first wave led to greater uncertainty and intensification of volatility in the financial market as compared to the second wave. Finally, our research shows that the auto, banking, and Fast-moving consumer good (FMCG) sectors in India experienced higher volatility during the first wave of COVID-19, as these sectors contributed to the volatility in other sectors. However, consumer durables, metals, and oil and gas appear to have had the greatest impact on sectoral indices during the first wave, as they are a net recipient of volatility in the Indian financial market. On the other hand, on the basis of relevant outcomes, it can be surmised that the media, FMCG, and banking sectors demonstrated a high level of dominance on the other indices during the second wave of COVID-19 in India. However, consumer durables, pharmaceuticals, real estate, and information technology sectoral indices appeared mostly affected during the first and second waves of COVID-19, as they are net receivers of volatility in the Indian financial market.

This study examines probable dynamic spillover transmissions between the Nigerian stock and money markets using the multivariate volatility framework that simultaneously accounts for both returns and shock spillovers. Based on relevant pre-tests, the VARMA-CCC-GARCH framework is selected and consequently employed to model the spillovers. The study finds significant cross-market return and shock spillovers between the two markets. Thus, a shock to one market is more likely to spill over to the other market. It is also observed that shocks have persistent effects on stock market volatility but transitory effects on money market volatility. In other words, shocks to the money market die out over time while shocks to stock market tend to persist over time. In addition, including lagged own shocks and lagged own conditional variance when forecasting the future volatility of both return series may enhance their forecast performance. An alternative approach proposed by Diebold and Yilmaz (2012) is also employed for robustness and the results are consistent with those obtained from the VARMA-CCC-GARCH model.

Purpose This study aims to investigate the dynamic spillover effects of banking indices returns across G7 and BRICS economies, focusing on the period of crisis events such as the COVID-19 pandemic and the Ukraine–Russia war. This paper provides significant policy implications for investors and portfolio managers. Design/methodology/approach This study uses a quantile connectivity approach to analyze spillover effects in banking index returns across G7 and BRICS countries, focusing on extreme market conditions. Using monthly banking indices and a time-varying parameter VAR (TVP-VAR) model, the study captures dynamic volatility spillovers among 12 stock markets, offering flexibility to analyze time-varying relationships. It explores the interconnectedness of G7 and BRICS banking indices, calculating correlations and tracing spillovers using the Diebold and Yilmaz (2012, 2014) framework. The analysis highlights how structural shocks within the network impact volatility, providing insights into spillover dynamics under different market conditions. Findings The analysis reveals a high degree of connectivity between G7 and BRICS banking systems, with total connectedness exceeding 80% during extreme market conditions, especially during crises such as the COVID-19 pandemic and the Ukraine–Russia war. G7 indices, particularly those of the USA and Germany, emerge as net transmitters of risk spillovers, while Japan, although part of the G7, acts as an exception with weaker spillover transmission. In contrast, BRICS banking indices, including those of Russia, India, China and South Africa, are found to be net receivers of spillovers, underscoring their vulnerability to global financial risks. In addition, the study shows that total connectedness is symmetric, with significant fluctuations based on event-driven volatility, particularly during crisis periods. Banking systems in France, the UK, Italy and Germany act as strong diversifiers, while Japan serves as a hedge asset due to its close connectivity to other banking systems, especially the USA. Brazil’s banking index is identified as a weak diversifier and safe haven, with limited protective capacity during crises. Overall, the study emphasizes the importance of understanding global spillover dynamics, offering valuable insights for managing risk and market volatility, especially in times of crisis. Originality/value This study stands out for its use of a quantile connectivity approach to analyze dynamic spillover effects in G7 and BRICS banking indices, focusing on extreme market conditions during crises like COVID-19 and the Ukraine–Russia war. Using a TVP-VAR model allows capturing time-varying relationships and directional spillovers, revealing G7 indices as net risk transmitters (except Japan) and BRICS indices as net receivers. The findings emphasize the vulnerability of emerging markets, the diversification potential of G7 banking systems and the symmetric, event-driven nature of total connectedness. These insights provide valuable implications for risk management and policymaking in volatile global markets.

Independent Accountant’s Review Report

Previous articleNext article FreeBibliographical NoteIndependent Accountant’s Review ReportPDFPDF PLUSFull Text Add to favoritesDownload CitationTrack CitationsPermissionsReprints Share onFacebookTwitterLinked InRedditEmailQR Code SectionsMoreTo the CouncilBibliographical Society of America, Inc.We have reviewed the accompanying financial statements of Bibliographical Society of America, Inc. which comprise the statement of financial position as of December 31, 2020 and the related statements of activities, functional expenses and cash flows for the year then ended and the related notes to the financial statements. A review includes primarily applying analytical procedures to management’s financial data and making inquiries of company management. A review is substantially less in scope than an audit, the objective of which is the expression of an opinion regarding the financial statements as a whole. Accordingly, we do not express such an opinion.Management’s Responsibility for the Financial StatementsManagement is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error.Accountant’s ResponsibilityOur responsibility is to conduct the review engagement in accordance with Statements on Standards for Accounting and Review Services promulgated by the Accounting and Review Services Committee of the AICPA. Those standards require us to perform procedures to obtain limited assurance as a basis for reporting whether we are aware of any material modifications that should be made to the financial statements for them to be in accordance with accounting principles generally accepted in the United States of America. We believe that the results of our procedures provide a reasonable basis for our conclusion.Accountant’s ConclusionBased on our review, we are not aware of any material modifications that should be made to the accompanying 2020 financial statements in order for them to be in accordance with accounting principles generally accepted in the United States of America.Report on 2019 Financial StatementsThe 2019 financial statements were audited by us and we expressed an unmodified opinion on them in our report dated March 30, 2020. We have not performed any auditing procedures on the financial statements since that date.April 6, 2021 Bibliographical Society of America, Inc statement of financial position (see independent accountant’s review report)Assets December 31 20202019Current assets(Reviewed)(Audited) Cash$31,462$40,675 Investments, at fair value3,724,4853,516,792 Accounts receivable4,3262,535 Prepaid expenses6,82733,022 Total assets$ 3,767,100$ 3,593,024Liabilities and Net AssetsCurrent liabilities Accounts payable and accrued expenses$ 16,469$ 7,358 Unearned revenue14,11017,627 Total liabilities30,57924,985Net assets Net assets (deficit) without donor restrictions Undesignated(294,751)(221,312) Board-designated35,60733,177 Total net assets (deficit) without donor restrictions(259,144)(188,135) Net assets with donor restrictions Purpose/time restrictions3,622,5023,383,011 Perpetual in nature373,163373,163 Total net assets with donor restrictions3,995,6653,756,174 Total net assets3,736,5213,568,039 Total liabilities and net assets$ 3,767,100$ 3,593,024View Table ImageSee notes to financial statements. statement of activities for the year ended december 31, 2020 (with summarized totals for the year ended december 31, 2019) (see independent accountant’s review report) 20202019 Without Donor With DonorRestrictions RestrictionsTotalTotal Support and revenue(Reviewed)(Reviewed)(Reviewed)(Audited) Membership dues$ 40,950$ —$ 40,950$ 38,838 Interest—881,542 Dividends, net33637,90738,24350,591 Operating contributions70,941—70,94125,837 Foundation income28,000—28,00011,500 Government grant16,295—16,295— Administrative fee12,223(12,223)—— Annual meeting4,921—4,9213,260 Publications income14,434—14,43414,900 Other921—921— Net assets released from restrictions33,452(33,452)——Total support and revenue222,473(7,760)214,713146,468Expenses Program services BSA office65,323—65,32378,450 PBSA office20,935—20,93521,000 Conventions, meetings and dues40,850 40,85029,710 Professional services2,878—2,8787,776 Grants, prizes and other48,524—48,52449,800 Insurance6,314—6,3142,724 Total program services184,824—184,824189,460 Supporting activities Management and general85,846—85,84668,592 Fundraising25,007—25,00723,891Total expenses295,677—295,677281,943(Deficiency) before other additions and (deduction)(73,204)(7,760)(80,964)(135,475)Other additions and (deduction) Realized gain (loss) on sale of investments(721)(81,209)(81,930)150,002 Change in unrealized value of investments2,916328,460331,376361,207Increase (decrease) in net assets(71,009)239,491168,482375,734Net assets, (deficit) beginning of year(188,135)3,756,1743,568,0393,192,305Net assets (deficit), end of year$ (259,144)$ 3,995,665$ 3,736,521$ 3,568,039View Table ImageSee notes to financial statements. statement of activities for the year ended december 31, 2019 (see independent accountant’s review report) Without DonorWith Donor RestrictionsRestrictionsTotalSupport and revenue(Audited)(Audited)(Audited) Membership dues$ 38,838$ —$ 38,838 Interest141,5281,542 Dividends, net46550,12650,591 Operating contributions37,337—37,337 Royalties3,150—3,150 Administrative fee15,155(15,155)— Annual meeting3,260—3,260 PBSA journal income11,750—11,750 Net assets released from restrictions27,000(27,000)—Total support and revenue136,9699,499146,468Expenses Program services BSA office78,450—78,450 PBSA office21,000—21,000 Conventions, meetings and dues29,710—29,710 Professional services7,776—7,776 Grants, prizes and other49,800—49,800 Insurance2,724—2,724 Total program services189,460—189,460 Supporting activities Management and general68,592—68,592 Fundraising23,891—23,891Total expenses281,943—281,943Excess (deficiency) before other additions(144,974)9,499(135,475)Other additions Realized gain on sale of investments1,380148,622150,002 Change in unrealized value of investments3,323357,884361,207Increase (decrease) in net assets(140,271)516,005375,734Net assets (deficit), beginning of year(47,864)3,240,1693,192,305Net assets (deficit), end of year$ (188,135)$ 3,756,174$ 3,568,039View Table ImageSee notes to financial statements. statement of functional expenses (see independent accountant’s review report) For the Year Ended December 31 2020 2019 Supporting Activities Supporting Activities Program ServicesManagement and GeneralFundraisingTotalProgram ServicesManagement and GeneralFundraisingTotal (Reviewed)(Reviewed)(Reviewed)(Reviewed)(Audited)(Audited)(Audited)(Audited)BSA office Payroll and related$ 53,505$ 26,142$ 8,714$ 88,361$ 57,903$ 19,873$ 7,188$ 84,964 Management fee————65222481957 Other11,8185,9091,97019,69719,8956,8282,47029,193PBSA office Editor journal17,935——17,93518,000——18,000 Other3,000——3,0003,000——3,000Conventions, meetings and dues40,85010,212—51,06229,7107,427—37,137Professional services2,87842,005—44,8837,77633,559—41,335Grants, prizes and other48,524——48,52449,800——49,800Insurance6,3141,578—7,8922,724681—3,405Fundraising——14,32314,323——14,15214,152 Total expenses$ 184,824$ 85,846$ 25,007$ 295,677$ 189,460$ 68,592$ 23,891$ 281,943View Table ImageSee notes to financial statements. statement of cash flows (see independent accountant’s review report) For the Year Ended December 31 20202019 (Reviewed)(Audited)Cash flows from operating activities Increase in net assets $ 168,482$ 375,734Adjustments to reconcile increase in net assets to net cash (used in) operating activities Realized (gain) loss on sale of investments81,930(150,002) Change in unrealized value of investments(331,376)(361,207) Donated stock(1,491)— Proceeds from sale of donated stock1,581— (Increase) decrease in current assets Accounts receivable(1,791)(2,535) Prepaid expenses26,195(33,022) Increase (decrease) in current liabilities Accounts payable and accrued expenses9,1111,516 Unearned revenue(3,517)17,257 Net cash (used in) operating activities(50,876)(152,259)Cash flows from investing activities Proceeds from sales and maturities of investments558,5941,506,988 Purchases of investments(516,931)(1,326,005) Net cash provided by investing activities41,663177,870 Net increase (decrease) in cash(9,213)25,611Cash, beginning of year40,67515,064Cash, end of year$ 31,462$ 40,675View Table ImageSee notes to financial statements.notes to financial statements december 31, 2020 (see independent accountant’s review report)note 1– nature of organizationThe Bibliographical Society of America, Inc. (the “Society”) was organized in 1904 and incorporated in 1927 (amended in 1941) in Washington D.C. The Society is an international, interdisciplinary scholarly organization that fosters the study of books and other textual artifacts in traditional and emerging formats. The Society pursues this mission by housing public programs, funding scholarly research, conferring awards, issuing publications, and collaborating with related organizations. The Society is committed to adopting policies and procedures that support and promote equity and inclusion in all of our programs, and to providing equal access to our events and electronics resources to people with disabilities and other access needs.note 2– summary of significant accounting policiesNet assetsNet assets without donor restrictions consist of amounts that can be spent at the discretion of the Society. Net assets with donor restrictions consist of contributions and investment income and on their endowment fund that are restricted by the donor for a specific purpose or relate to future periods.Net assets with temporary donor restrictions represent resources that are subject to donor-imposed stipulations that may or will be met either by actions of the Society and/or the passage of time. As the restrictions are satisfied, net assets with temporary restrictions are reclassified to net assets without restrictions and reported in the accompanying statement of activities as net assets released from restrictions.Net assets with perpetual donor restrictions represent resources that are subject to donor-imposed stipulations that neither expire by passage of time nor can be fulfilled or removed by actions of the Society.Net assets with temporary donor restrictions and net assets without donor restrictions designated by the Council are summarized as follows: (see note 10)Net assets with donor restrictions that are temporarily restricted:• The Harper and Cole Funds are available for printing and publications.• The W.L. Mitchell Prize Fund is to be spent on funding a prize on bibliographical or documentary work on British periodicals or newspapers of the 18th century.• The Justin G. Schiller Prize Fund is to be used to support a prize of bibliographical work on Pre-20th - Century Children’s Books.• PBSA Endowment Fund is to be used to support the general operations of the Society and to strengthen and preserve the ongoing publication of the papers of the Bibliographical Society of America, Inc., as appropriated by the Council.• The Katharine F. Pantzer Fund is to be used for fellowships for descriptive bibliography.• The Stationers’ Register Online Project Fund is to be used to fund an online database of the Stationers’ Company.Net assets without donor restrictions designated by Council:• The New Scholars Fund provides a forum for early-career scholars to present examples of their research.Cash equivalentsThe Society deems all highly liquid investments with original maturities of 90 days or less to be cash equivalents. Except for what is included in the Society’s investment portfolio, the Society has no cash equivalents as of December 31, 2020 and December 31, 2019.InvestmentsThe fair value of the Society’s investments has been determined by using publicly reported market values. Donated investments are recorded at the fair value on the date of receipt. Realized gains and losses on the sale of investments are determined on the “first-in, first-out” basis. Realized and unrealized gains/losses and interest and dividends earned on the net assets with donor restrictions are reported as revenue of the temporarily restricted class of net assets with donor restrictions. All other realized and unrealized gains/losses and interest and dividends earned are recorded as revenue without donor restrictions.Allowance for doubtful accountsThe Society deems all accounts receivable to be collectible, and, accordingly, does not have an allowance for doubtful accounts. Such estimate is based on management’s estimate is based on management’s experience, the aging of receivables, subsequent receipts and current economic conditions.Book sales and publicationsSales of books published with funds from the Harper Fund are recorded as revenue of the Harper Fund until the cost of these books has been recovered. If a published book does not recover its costs within five years after publication, the remaining costs are written off against the temporarily restricted class of net assets with donor restrictions of the Harper Fund and removed from the book inventory total.The Society entered into a consignment agreement with a book dealer whereby the book dealer will sell certain books on behalf of the Society. Copies of the books delivered to the book dealer remain property of the Society until sold by the book dealer. The book dealer is responsible for the insurance coverage on the books and any loss or damage that may occur. The agreement may be terminated by either of the parties on 180 days written notice as outlined in the agreement.During October 2014, the Society entered into an agreement with a university for the publication of the Society’s journal. Beginning in 2015, the Society receives 10% of all gross revenue from the journal with a minimum of $8,000, with the minimum increasing annually to $12,000 in 2019.Membership duesMembership dues are recorded as revenue in the applicable membership period. Lifetime dues are recorded as revenue in the year they are paid.Net assets released from restrictionsThe Society reports interest and dividend revenue earned on net assets with perpetual donor restrictions as revenue with temporary donor restrictions as they are received with donor stipulations that limit the use of the revenue. In addition, when the purpose of the restrictions is accomplished, net assets with temporary donor restrictions are reclassified to net assets without donor restrictions and reported in the statement of activities as net assets released from restrictions.Administrative feeTo cover various general and administrative charges, the Society charges a 20% fee based on the interest and dividend revenue of the of net assets with temporary donor restrictions and records it as revenue of the operating fund.Allocation of expensesThe costs of program services and supporting activities have been summarized on a functional basis in the accompanying statement of activities. The statement of functional expenses presents the natural classification detail of expenses by function. Accordingly, certain costs have been allocated among the program services and supporting activities benefited. Natural expenses attributable to more than one functional expense category are allocated using cost allocation techniques primarily consisting of salary and wages, and time and effort reporting.Concentrations of credit riskThe Society’s financial instruments that are potentially exposed to concentrations of credit risk consist primarily of cash, investments and receivables. The Society places its cash and money market funds with what it believes to be quality financial institutions. Investments are exposed to various risks such as interest rate, market volatility, liquidity and credit. Due to the level of uncertainty related to changes in interest rates, market volatility, liquidity and credit risks, it is reasonably possible that changes in these risks could materially affect the fair value of the investments reported in the statement of financial position as of December 31, 2020. Management monitors the collectability of the receivables. The Society routinely assesses with its investment advisors the financial strength of its holdings in its investment portfolio to minimize the concentrations of credit risk. Management believes that no significant concentrations of credit risk exist with respect to the Society’s cash, investments and receivables.Use of estimatesThe preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the amounts reported in the financial statements. Actual results could differ from these estimates.Risks and uncertaintiesOn March 13, 2020, a national emergency was declared due to extraordinary circumstances resulting from the novel coronavirus 2019 (COVID-19) pandemic. As a direct result of this executive order and in response to previously and subsequently issued State and Local Government guidelines, the Society’s programming activities and operations were limited and subject to restrictions set forth by State and Local Government. Management believes that the COVID-19 pandemic may have an impact on its financial condition, results of operations and outlook for year ending December 31, 2021. The extent to which the COVID-19 pandemic may impact business activity and the Society’s operations will depend on future developments, which are uncertain and cannot be predicted. Management is closely monitoring developments as made available to assess the impact, if any, on the Society.Subsequent eventsThe Society has evaluated events and transactions for potential recognition or disclosure through April 6, 2021, which is the date the financial statements were available to be issued.note 3– financial assets and liquidity resourcesAs of December 31, 2020 and December 31, 2019, financial assets and liquidity resources available for general expenditure, that is, within one year of the statement of financial position date, comprise the following: 20202019Financial assets Cash$ 31,462$ 40,675Investments, at fair value3,724,4853,516,792Accounts receivable4,3262,535Less: Board-designations net assets(35,607)(33,177) Net assets with perpetual donor restrictions(373,163)(373,163) Total$ 3,351,503$ 3,153,662View Table ImageThe Society’s endowment funds consist of donor-restricted endowments and funds designated by the board as endowments. Income from donor-restricted endowments is restricted for specific purposes, except for the amounts available for general use. Donor-restricted endowment funds are not available for general expenditure.Endowment draws are Board approved annually. In addition, as of December 31, 2020 and December 31, 2019, the Society had an additional $35,607 and $33,177, respectively, in funds functioning as a board-designated endowment, which could be available for general expenditure with Board approval.note 4– tax statusThe Society is exempt from federal income taxes under Section 501(c)(3) of the Internal Revenue Code (the “Code”). In addition, the Society has been determined by the Internal Revenue Service to be a publicly supported organization, and not a private foundation under the meaning of Section 509(a)(1) of the Code. The Society qualifies for maximum charitable contribution deductions for donors.note 5– commitmentsOffice spaceThe Society rents its office space under a shared office space environment and has signed a month-to-month agreement. The agreement requires monthly payments of $500.PBSAThe society has an agreement with a not-for-profit corporation for editorial services in connection with the publication of The Papers of the Bibliographical Society of America. The agreement is for an annual fee of and it on December 31, is a summary of the investments as of December 31, 2020 and December 31, 20202019 market funds Total$ gain at December 31, 2020 and December 31, $ $ in unrealized value of investments $ $ Table ImageThe Society portfolio primarily of a allocation of assets a of income For assets at fair value on a as of December 31, 2020 and December 31, 2019, accounting standards require disclosure the fair value for class of The Society’s investments have been in the level of are in for 2020, the Society for and received under the Program which is a program under the and are if the are spent in accordance with the of the December 2020, the Society received of the in its and has to the as in the 2020 statement of Society has a for its The may make salary The Society’s contributions in connection with the and for 2020 and 2019, net assets with donor in endowment funds are amounts to be in by the donor which consist of the as of December 31, 2020 and December 31, Fund $ $ $ Cole Mitchell Prize Fund G. Schiller Prize Fund Endowment Fund Total $ $ Table Society’s endowment of various funds for a of The endowment includes donor-restricted endowment funds and funds designated by the As by accounting principles generally accepted in the United States of America net assets with endowment funds designated by the Council to as are and reported based on the or of donor-imposed Society the New State when to donor-restricted The Society the fair value of the original as of the date of the donor-restricted endowment funds donor stipulations to the As a result of this the Society as restricted net assets the original value of donated to the endowment, the original value of subsequent to the endowment, and to the endowment made in accordance with the of the applicable donor at the time the is to the The remaining of the donor-restricted endowment fund that is not as net assets with perpetual donor restrictions is as net assets with temporary donor restrictions until amounts are appropriated for expenditure by the Society in a with the of by Society the in making a to or donor-restricted endowment The and of the The of the Society and the donor-restricted endowment economic The possible of and The from income and the of resources of the and The investment policies of the and Society on its portfolio of investment funds to provide support for the various of the organization, and the Society to that support and into the Accordingly, the objective of this portfolio is to support a of of the value of the portfolio to the assets from and preserve the of the assets time. As the Society a to its investment portfolio, the Society does not to on income or dividend income to the can be from or from The Society the market in the and that any of will not be in all Society that the portfolio to its objective will be equity income in the portfolio be used to provide more current and and to the of the Society’s risk in of risk as as portfolio volatility, the Society to have a allocation of equity and income time. this is the Society’s the Society that the allocation in any may in the discretion of the investment in accordance with the (see the of the as in the the investment a allocation that will assets among the Table income investments should be of quality and private sales of and potential are generally to be the Society’s risk and to be with respect to financial management such may be used with the of the Committee of the Society that will from time to time the as the investment allocation in market Society has cash from this portfolio of Society a level of risk in this portfolio, with that of a portfolio of publicly and income instruments which are subject to economic and by the investment with this statement of risk is to that the Council of the Society it of in the of the Society’s financial are no restrictions with respect to or specific investments except as provided in the Society’s investment The Society that the equity of the portfolio will from to and the income of the portfolio will from to The Society has set no within the equity class the to within this class to be with the of risk. For the equity and the income the Society that at the of the will be Society generally its funds to be in and liquid public As a it has a for funds that and market the allocation will from time to time and the Society requires that the investment for the portfolio and for investment be order to to the investment investment with the the investment review the for to the In addition, if are significant such as market or a or from the the investment will be to review the allocation at that time. The allocation of the portfolio be reviewed by the investment with the Committee at annually and, in addition, at any time at the of the investment or the with time to the fair value of assets with donor-restricted endowment funds may the level that the donor requires the Society to as a fund of perpetual In accordance with accounting principles generally accepted in the United States of America, of this nature are reported in net assets without donor restrictions. were no endowment fund as of December 31, 2020 and December 31, Endowment Net by of Fund as of December 31, Without DonorWith Donor endowment —$ 3,995,665$ endowment Total$ 3,995,665$ Table in Endowment Net for the Year Ended December 31, Without DonorWith Donor net assets beginning of year$ 3,756,174$ Net and investment and for assets released from net assets, end of year$ 3,995,665$ Table Endowment Net by of Fund as of December 31, Without DonorWith Donor endowment —$ 3,756,174$ endowment Total$ 3,756,174$ Table in Endowment Net for the Year Ended December 31, Without DonorWith Donor net assets beginning of year$ Net and investment for assets released from net assets, end of year$ 3,756,174$ Table Society of America, net assets with temporary donor restrictions and net assets without donor restrictions designated by the is a summary of the activity of the net assets with temporary donor restrictions and the net assets without donor restrictions designated by the Council for the year ended December 31, of Net assets Without Donor by The Harper Mitchell Prize G. Schiller Prize Endowment F. Pantzer Register Online Net With Donor New Scholars support and revenue —$ —$ —$ —$ $ Dividends, Administrative public support and assets released from restrictions and appropriated for editorial and net assets released from Increase (decrease) before other additions additions Realized gain (loss) on sale of Change in unrealized value of (decrease) in net assets, beginning of assets, end of year$ $ $ —$ $ Table Previous articleNext article by The Papers of the Bibliographical Society of America 2021 for the Bibliographical Society of America on this 2021 Bibliographical Society of America. All reports no this

Independent Auditor’s Report

Purpose As financial markets for environmentally friendly investment grow in both scope and size, analyzing the relationship between green financial markets and African stocks becomes an important issue. Therefore, this paper examines the role of infectious disease-based uncertainty on the dynamic spillovers between African stock markets and clean energy stocks. Design/methodology/approach The authors employ the dynamic spillover in time and frequency domains and the nonparametric causality-in-quantiles approach over the period of November 30, 2010, to August 18, 2021. Findings These findings are discernible in this study's analysis. First, the authors find evidence of strong connectedness between the African stock markets and the clean energy market, and long-lived but weak in the short and medium investment horizons. Second, the BDS test shows that nonlinearity is crucial when examining the role of infectious disease-based equity market volatility in affecting the interactions between clean energy stocks and African stock markets. Third, the causal analysis provides evidence in support of a nonlinear causal relationship between uncertainties due to infectious diseases and the connection between both markets, mostly at lower and median quantiles. Originality/value Considering the global and recent use of clean energy equities and the stock markets for hedging and speculative purposes, one may argue that rising uncertainties may significantly influence risk transmissions across these markets. This study, therefore, is the first to examine the role of pandemic uncertainty on the connection between clean stocks and the African stock markets.

In this chapter, we examine the spillover and connectedness between the trade policy uncertainty (TPU) of the US, China, Japan, and the Republic of Korea (henceforth, Korea) under global geopolitical risk (GPR), infectious disease equity market volatility (EMVID), and GPR from North Korea (GPRNK) using a relatively novel time-varying parameter vector autoregression (TVP-VAR) approach. Additionally, the method of moments quantile regression is utilised to estimate the asymmetric effect of GPR, GPRNK, and EMVID on TPU. Our findings suggest that there is a high total and directional spillover amongst underlying variables during Sino-US trade friction that further elevated during the coronavirus disease (COVID-19) pandemic period. The US is a net receiver of spillover from the TPU of all economies, while the Chinese TPU receives spillover from EMVID. The results further confirm that both the TPU of China (TPUCN) and the TPU of the US (TPUUS) are vulnerable to EMVID, but the effect is stronger for Chinese TPU in the higher quantiles. Although Japanese TPU is less vulnerable to GPR and EMVID, it is significantly exposed to GPRNK. Korean trade shows resiliency and immunity to pandemic-induced volatility and GPRNK.

This paper examines dynamic spillovers and connectedness between global covid-19 occurrences and the Global FX market. We specifically analyse the spillovers using six most traded currency pairs in the world utilizing daily data for the period December 31, 2019 to April 10, 2020. The paper employs the Diebold and Yilmaz (DY hereafter) (2009, 2012) approach to compute the spillover indexes. We also consider the rolling window analyses to capture the secular and cyclical movement in the financial markets over the period of consideration. Our findings indicate high degree of interdependence between the global covid-19 occurrences and returns volatility of the majorly traded currency pairs. Interestingly, both the returns and volatility spillover indexes exhibit both trend and bursts over the period of pandemic. Our results are robust to the different VAR lag structure. Policymakers are advised to monitor the effects of global COVID-19 announcement and assess the net effect of financial market volatility on the behaviour of the global FX markets in order address new and enhanced risks caused by the upsurge of the COVID-19 pandemic.

Dynamic spillovers in higher moments and jumps across ETFs and economic and financial uncertainty factors in the context of successive shocks

Time-varying linkages between energy and stock markets: Dynamic spillovers and driving factors

PurposeGuar Gum (GG) is used in Shale oil exploration. Excessive price increase in the Guar futures market had a spillover impact on Guar spot prices and affected Guar export from India as Shale oil producers started exploring alternate sources. In this paper, the role of excessive speculation in the futures market, and its adverse impact on the guar-based agri-business ecosystem have been empirically explored.Design/methodology/approachVolatility spillover dynamics between WTI crude oil and Guar futures have been explored using bivariate-Granger Causality, BEKK–GARCH models with Wavelet multi-resolution analysis. The wavelet-based models capture the multi-scale features of mean and volatility spillover to identify the effect of heterogenous investment behavior in the time and frequency domain.FindingsThe results provide evidence that excessive speculation in futures markets increases spot market volatility. The results also suggest that the excess presence of short-term investors can destabilize the futures market.Research limitations/implicationsThe purpose of the commodity futures market is to support price discovery and risk management. However, speculative practices can destabilize these purposes leading to the failure of the business ecosystem.Originality/valueThe novelty of this paper is twofold. First, it explores the economic linkages between the spot and futures market and tests whether the presence of heterogeneous traders affects the economic linkages. Second, it models the impact of short-term speculative investment on the destabilization of the spot market.

The high-quality development of the lithium battery industry chain is crucial for advancing national economic transformation and sustaining the growth of strategic emerging industries. This paper employs the TVP-VAR Frequency model to investigate the micro-driving mechanism of spillover effects in China’s lithium spot market from the perspective of industrial chain risk regulation. The findings reveal that (i) the spillover index of the lithium spot market exhibited a fluctuating upward trend throughout the sample period, with the short-term (1–5 days) spillover effect closely mirroring the overall spillover dynamics; (ii) from an industrial chain perspective, the midstream refining sector consistently acted as a net transmitter of risk, channeling volatility to both upstream and downstream sectors; and (iii) analysis of the risk roles of individual lithium products identifies China’s lithium carbonate (CLCA) as the principal driver of spillovers, with more pronounced risk contagion during periods of spot market price decline. Furthermore, significant causal relationships are observed between CLCA price volatility and financial market indicators, including the new energy stock index and credit spreads in the energy sector. Accordingly, this paper offers policy recommendations to strengthen risk regulation mechanisms within the lithium industry chain and enhance resilience in the lithium spot and futures markets.

We examine technology ETF and uncertainty index (VIX, GVZ, and OVZ) spillover dynamics and quantile frequency interconnectedness across market states. This study is the first to use quantile-frequency spillover, quadruple wavelet coherence, and wavelet quantile correlation methodologies to facilitate these analyses. The total connectedness index value is 70%, which is much higher in both the upper and lower quantiles. Under normal market conditions, short-term connectedness significantly exceeds long-term connectedness. Levels of ETF-uncertainty indicator connectedness increase under extreme market conditions; most technology ETFs are net spillover transmitters and uncertainty indices net spillover receivers, indicating the contagion risk of ETF investments. We show that while greater ETF-uncertainty index connectedness may benefit portfolio diversification, large fluctuations in technology EFTs can result in financial instability due to high market volatility. In the long term, the joint effects of uncertainty indices on ETFs are significant, with negative correlations between ETFs and uncertainties at different frequencies, supporting the potential role of uncertainty indices in hedging technology ETF portfolio risks. Dynamic portfolio rebalancing, scenario analysis, and stress testing may help to manage the effects of high connectedness.