Contagion Effects Research Articles

The implications of non‐synchronous trading in G‐7 financial markets

AbstractWe investigate the effects of non‐synchronous trading on volatility spillover for the G‐7 equity markets during the Eurozone sovereign debt crisis (ESDC) and the Covid‐19 pandemic crisis. For data synchronisation we utilise ΜΑ(1) adjusted return series to estimate the Baba‐Engle‐Kraft‐Kroner (BEKK) and the dynamic conditional correlation (DCC) models. We also consider the use of realised kernels as explanatory variables in the variance equation. In this set up, the contagion effects during crises periods are more perceptible, as the spikes are easier to interpret. We also check the robustness of our main results by applying, wavelet coherence analysis to G‐7 major equity indices with realised kernels, as well as local Gaussian correlations (LGC). Our findings suggest the empirical significance of the synchronisation effects for the US and the other G‐7 equity markets. We also conclude that realised kernels is an effective tool for mitigating non‐synchronous effects. These results underline the significance of quantifying the synchronisation effects in equity markets as well as international portfolio diversification strategies.

Social Alignment Contagion in Online Social Networks

Researchers have already observed social contagion effects in both in-person and online interactions. However, such studies have primarily focused on users’ beliefs, mental states, and interests. In this article, we expand the state of the art by exploring the impact of social contagion on social alignment, i.e., whether the decision to socially align oneself with the general opinion of the users on the social network is contagious to one’s connections on the network or not. The novelty of our work in this article includes: 1) unlike earlier work, this article is among the first to explore the contagiousness of the concept of social alignment on social networks; 2) our work adopts an instrumental variable approach to determine reliable causal relations between observed social contagion effects on the social network; and 3) our work expands beyond the mere presence of contagion in social alignment and also explores the role of population heterogeneity on social alignment contagion. Based on the systematic collection and analysis of data from two large social network platforms, namely, Twitter and Foursquare, we find that a user’s decision to socially align or distance from social topics and sentiments influences the social alignment decisions of their connections on the social network. We further find that such social alignment decisions are significantly impacted by population heterogeneity.

Volatility Spill-Over and Financial Contagion Effect of Conventional Stock on Islamic Equity in Nigeria: Evidence from Covid-19

This study empirically investigated volatility spill-over and financial contagion effect between conventional stocks and shariah compliant equities before and during covid-19 pandemic in Nigeria. Banking and insurance sectoral stocks indices were selected to represent conventional equities while Nigerian stock exchange lotus islamic index represent islamic stocks. Daily closing stock price data from 02-01-2018 to 26-02-2020 for pre-covid and 27-02-2020 to 31-12-2021 for pre-covid and during covid were considered. DCC-GARCH model (Dynamic conditional correlation- Generalized Autoregressive Conditional Heteroskedasticity Model) was deployed to examine the spill-over effect while t-test was applied to check the consistency of the DCC coefficient before and during the pandemic. The result of the multivariate GARCH show that both banking and insurance stocks have long run volatility spillover effect on lotus islamic index, the result also revealed no significant increase in conditional correlation during covid-19 pandemic which indicate absence of financial contagion from the conventional to islamic stocks. The results provide important information to researchers, investors, and policymakers

The implication of cryptocurrency volatility on five largest African financial system stability

This study examined the interconnectedness and volatility correlation between cryptocurrency and traditional financial markets in the five largest African countries, addressing concerns about potential spillover effects, especially the high volatility and lack of regulation in the cryptocurrency market. The study employed both diagonal BEKK-GARCH and DCC-GARCH to analyze the existence of spillover effects and correlation between both markets. A daily time series dataset from January 1, 2017, to December 31, 2021, was employed to analyze the contagion effect. Our findings reveal a significant spillover effect from cryptocurrency to the African traditional financial market; however, the percentage spillover effect is still low but growing. Specifically, evidence is insufficient to suggest a spillover effect from cryptocurrency to Egypt and Morocco’s financial markets, at least in the short run. Evidence in South Africa, Nigeria, and Kenya indicates a moderate but growing spillover effect from cryptocurrency to the financial market. Similarly, we found no evidence of a spillover effect from the African financial market to the cryptocurrency market. The conditional correlation result from the DCC-GARCH revealed a positive low to moderate correlation between cryptocurrency volatility and the African financial market. Specifically, the DCC-GARCH revealed a greater integration in both markets, especially in the long run. The findings have policy implications for financial regulators concerning the dynamics of both markets and for investors interested in portfolio diversification within the two markets.

"Breaking the silence" suicide Prevention media campaign in Oregon: Evaluation of impact on help-seeking and suicide mortality.

Research has established that suicide-related media can impact suicide rates both positively and negatively, supporting efforts to engage the media in the service of suicide prevention. The goal of the current study is to evaluate the impact of a suicide prevention media campaign implemented April 7-14, 2019 in Oregon. Several indices of help-seeking behavior and suicide risk were employed: suicide-related Google Health API searches, National Suicide Prevention Lifeline (Lifeline) (currently known as the 988 Suicide and Crisis Lifeline) call volume, and state suicide mortality data from April 7, 2016-May 6, 2019. Eight states with similar 2016-2018 average suicide rates were compared with Oregon. Bayesian structural time-series modeling in R was used to test intervention effects. During the 30 days following the start of the campaign, there was a significant increase in Lifeline calls from Oregon area codes (2488 observed vs. 2283 expected calls, p = 0.03). There were no significant changes in suicide mortality or suicide-related Google searches in Oregon. The campaign appeared to increase help-seeking behavior in the form of Lifeline calls, without any indication of an iatrogenic suicide contagion effect. However, the campaign's potential to reduce suicide mortality was unmet.

Microprudential Indicators of Financial System Stability: An AHP Approach

In general there are two indicators of financial system stability, namely microprudential and macroprudential. Among macroprudential indicators are economic growth, balance of payments, inflation rate, interest and exchange rates, crisis contagion effect, and many others. Different from the previous researches concerning financial system stability measurement, this research will use the financial and banking practitioners' perspective regarding the leading indicator in measuring financial system stability so that we can presumably determine the real leading financial stability indicator for the current situation using Analytic Hierarchy Process (AHP) method. This study will look at the indicator of financial system stability from a microprudential perspective in Indonesia. The results show that based on the results of interviews with experts/banking practitioners, the 3 (three) most important aspects are Capital & Asset (0.187), Profitability (0.186) and Asset Quality (0.177). Important indicators of financial system stability from the next microprudential aspect are Liquidity (0.176), Market-based Indicators (0.139) and finally Risk Sensitivity (0.136). The Macroprudential Policy and microprudentials issued by Bank Indonesia as the central bank that has full authority, play an important role in maintaining Financial System Stability (SSK) in Indonesia.

Analysing the impacts of unscheduled news events on stock market contagion during the epidemic

AbstractThis paper investigates the impact of unscheduled news announcements on market contagion during the COVID‐19 pandemic. Using coexceedance of stock returns as a metric for market contagion effect, we assess the contribution of news releases from the United States and China on the financial contagion of a representative group of global equity markets through a quantile analysis framework. The empirical results are mixed: news events originating in the United States have a greater impact on market contagion compared with those originating in China, especially at lower quantiles. Stock markets respond asymmetrically to good news versus bad news, and the latter lead to a sharper common fall among the markets than the boost to the market caused by good news. We also find evidence that conditional variance and investor sentiment play some role in the spread of financial market crises, despite differences in extent and direction.

Contagion effects of permissionless, worthless cryptocurrency tokens: Evidence from the collapse of FTX

This paper investigates the price discovery relationships between FTT Token, issued by the cryptocurrency exchange FTX, and a set of assets and liabilities held by FTX amid a period of catastrophic financial decline by applying novel information flow measurement techniques. Results indicate that during key phases associated with the collapse of FTX, FTT Token had an informational lead over multiple assets, including cryptocurrencies such as Ethereum. Furthermore, we identify significant interactions between the FTT Token and both Robinhood shares and the token Serum, raising concerns about the direct influence of permissionless, technically valueless tokens on other assets and the potential challenges to market stability and investor protection. Our findings underscore the need for stronger policy-making, regulatory, and ethical considerations in cryptocurrency markets.

Probability equivalent level for CoVaR and VaR

For a given risk, the well-known classical definition of Value-at-Risk (VaR) does not take into account possible interactions with other observable risks. For this reason, conditional VaRs that capture contagion effects and tail dependence among risks, such as the Co-Value-at-Risk (CoVaR), have been defined and studied in recent literature. In this paper we study conditions that guarantee, in the bivariate setting, the ordering between VaR and CoVaR, allowing to understand which, among the two measures, is more or less conservative than the other. By doing this, we introduce the notion of Probability Equivalent Level of CoVaR-VaR (PELCoV), which is the VaR value of the observable variable for which VaR and CoVaR coincide, and we study some of its properties such as uniqueness and boundedness. In particular, we show that its properties are entirely explained by the copula that describes the dependence between risks, and we provide a list of copulas for which PELCoV is explicitly available, and for which it is or not bounded. A practical applicative example is also presented.

The ability of energy commodities to hedge the dynamic risk of epidemic black swans

The outbreak of COVID-19 increased global financial risks and economic shocks. Although epidemic risk is on the decline, the likeliness of a similar black swan event occurring in the future cannot be ruled out. In this study, we constructed epidemic search indices using the Google Search Volume Index (SVI) to examine whether investor sentiment regarding the COVID-19 pandemic affected stocks, gold, silver, copper, crude oil, and natural gas. The results reveal that, over the entire epidemic period, energy assets (crude oil and natural gas) were the most “resistant” to epidemic panic, making them suitable for hedging the risk associated with epidemic panic risk. We employed a time-varying parameter structural vector autoregression model with stochastic volatility (TVP-SVAR-SV) to analyze the time-varying contagion effects of epidemic search indices on various asset prices at different points in time. The findings indicate that in the early stages of the COVID-19 pandemic when epidemic panic risk was highest, natural gas prices exhibited the most risk-averse characteristics. Only during the middle to later stages of the epidemic did natural gas prices begin to be positively affected by epidemic panic sentiment. However, during this period, the epidemic search indices show a stable declining trend, indicating a reduction in risk. We observe that natural gas prices only reflected panic sentiment during periods of stability. The results of this study suggest that energy commodities, especially natural gas, are suitable for hedging against unforeseen high epidemic risks. When epidemic risk decreases, profits can be realized and reinvested in assets with a higher contagion effect due to epidemic risks, further benefiting from the rebound in the prices of these assets. In addition to explaining why energy commodities are particularly suitable for mitigating epidemic-related black swan events, we provide a detailed investment strategy for hedging future epidemic risk and further elaborate on how investors should dynamically adjust their portfolios according to the severity of the epidemic and whether it is under control.

Reverse contagion: role of empathy, narrative appeal, and intensity of previous misbehavior

PurposeThis study aims to explore consumer motivations to mitigate the contagion effect in access-based consumption after instances of prior customer misbehavior. Reverse contagion, demonstrated through customer citizenship behavior, entails using both firm-provided and personal resources to cocreate value, even in the presence of norm violations by others. The research delves into the influence of empathy, narrative appeal and past misbehavior severity on customer behavior, specifically in the context of reverse contagion.Design/methodology/approachTwo scenario-based studies and a field study were used within the context of scooter-sharing to assess the conceptual model. Study 1 (n = 156) and Study 2 (n = 97) were conducted through surveys. Study 3 (n = 54) was a field study.FindingsThe results emphasize the crucial role of empathy in breaking the cycle of misbehavior contagion. Specifically, the findings suggest that narrative appeals have the potential foster greater empathy, encouraging customers to counteract the contagion. However, the intensity of prior misbehavior lessens the efficacy of narrative appeals in triggering reverse contagion, thereby moderating the mediating effect of empathy.Originality/valueThis study investigates reverse contagion stemming from customer misbehavior in accessed-based consumption. It delves into the impact of empathy, narrative appeal and previous misbehavior on the dynamics of value codestruction and cocreation. This comprehensive examination of these factors within a unified framework represents a new contribution to the literature. The results illuminate this intricate phenomenon, offering valuable insights for managers to address adverse customer behavior and harness the positive aspects of reverse contagion.

The Role of Audit Committee Interlocks in the Dissemination and Contagion of Accrual-Based and Real Earnings Management

We examine the effect of audit committee interlocks on the dissemination and contagion of accrual-based earnings management (AEM) and real earnings management (REM) for the pre- and post-SOX periods. We use “dissemination” to denote information association and “contagion” to designate causal information transmission. We first document that interlocked firms exhibit AEM dissemination (but not REM dissemination) for the pre-SOX period and REM dissemination (but not AEM dissemination) for the post-SOX period. To alleviate the concern that our results might be driven purely by the enactment of SOX, we perform a placebo-controlled falsification test, which shows that neither AEM nor REM dissemination exists in the absence of audit committee interlocks. To address the endogeneity concern that two similar firms with parallel accounting practices appoint the same director, we use an interlock initiation analysis and establish an AEM contagion effect for the pre-SOX period but no REM contagion effect for the post-SOX period. We also construct an AEM-REM substitution index. When information-sending firms substitute REM for AEM, information-receiving firms similarly switch. Collectively, while ease of detection and an increased level of scrutiny are listed as reasons for the shift from AEM to REM after the enactment of SOX, we contribute to the literature by showing that audit committee interlocks could be a viable mechanism in converting these motivations into actions and are a plausible factor in facilitating this transition from AEM to REM.

Research on the Formation Mechanism, Contagion Effect and Regulatory Strategy of Digital Asset Price Bubble Risk in the Information Age

Abstract As an emerging financial instrument, the risk of asset price bubbles is becoming more and more prominent and has a far-reaching impact on the global financial market. Based on the ADF model and PSY algorithm, the study constructs an asset price bubble identification model, explores the formation mechanism of asset price bubbles in the financial market, the contagion effect of asset price bubbles in the inter-market, and ultimately puts forward suggestions for targeted regulatory strategies. In the numerical simulation of the formation mechanism of asset price bubbles, both Bubble 1 and Bubble 2 experience 10 periods, and the peaks of the two bubbles appear at t=14 and t=34.5, respectively. The rate of rise of asset prices is slower than the rate of decline, and the impact on the financial market is greater when the financial asset bubble bursts. There is a two-way bidirectional contagion effect between the three markets of stock, bond, and property. Therefore, regulation of asset price bubbles should focus on improving the stock market trading system, publicizing and educating, and restricting real estate loans.

Распространение финансового заражения в странах Европы под воздействием глобальных шоков

This article examines the impact of global shocks of various nature on the development of the European economy within the framework of the theory and methodology of financial contagion. The content of the concept of “financial contagion” is revealed. The variety of methods of its detection is considered. It is shown that the methodology of financial contagion is useful in the study of financial crises. Based on data on local crises, the crisis burden indicator for the European region is calculated for the period from 1960 to 2019. In Europe, compared with other regions, this indicator takes on the lowest values, so the European economy is more resilient to crises. At the same time, the analysis of some empirical studies shows numerous episodes of financial contagion in the European zone. The results of original investigation which is based on large scale array of empirical data on stock indices and international trade are presented in the article. An advanced dynamic financial contagion test is used for analysis in this study. For situations caused by four global shocks contagion estimates are calculated which show different susceptibility levels of European countries to these shocks. On the other hand, the results of the analysis suggest that the COVID‑19 pandemic has the strongest impact on European countries because the calculated values of test statistics more often and significantly exceed the threshold level during this period (compared with other shocks such as the global financial crisis, BREXIT and the energy crisis). The main channel of contagion is the stock market, not trading. In addition, it can be noted that large European economies are not immune to financial contagion. They are as much its recipients as the weaker countries of the region. At the same time, they play the role of a damper, i. e. they do not transmit financial contagion within the European zone. Finally, the study identifies some directions of financial contagion counteractions in European countries that are linked to its transmission channels. Examples of the transformation of European economic policy caused by the impact of global shocks, contagion effects and stressful situations are given.

Emotional Exhaustion and Emotional Contagion: Navigating Turnover Intention of Healthcare Personnel.

This study aimed to examine the role of personal emotions and emotional contagion within organizations on the behavior and attitudes of healthcare personnel. This study is expected to provide a theoretical foundation for reducing resignation behaviors and improving healthcare quality. This study adopted a quantitative research method with a cross-sectional survey through an online questionnaire. The bootstrap method with 5000 iterations was used to validate the role of variables within a 95% confidence interval. SPSS 26.0 and Model 5 in Process 3.4 for SPSS were used for the data analysis. This research involved 459 healthcare personnel, whose levels of role overload (3.821±0.925), emotional exhaustion (3.436±1.189), and turnover emotional contagion (3.110±1.099) were notably high. Role overload was positively related to turnover intention, with emotional exhaustion as a mediator. Notably, turnover emotional contagion exerted a positive moderating effect. This study emphasizes the adverse effects of emotional exhaustion and turnover emotional contagion in the Chinese context, offering practical recommendations for medical organizational managers to navigate turnover intention among healthcare personnel. This study suggests paying attention to the emotional state of healthcare personnel and providing adequate support resources. Managers should routinely assess and track turnover emotional contagion within the organization, fostering a positive emotional atmosphere.

Empirical Validation of an Agent-Based Model of Emotion Contagion

In recent years, many agent-based models of human groups have implemented a mechanism of emotion contagion, yet empirical validation is lagging behind. The aim of the present paper is to validate an agent-based model of emotion contagion at the level of group emotion, by comparing simulations against the emotional development of real people in small groups. To study the effect of emotion contagion, the participants interacted via a video call, where they were virtually placed in different social environments while they played a quiz. This allowed the exchange of emotion among all, some or none of the participants. The patterns of emotional development in the empirical results supported our hypotheses based on literature of emotion contagion and social norms. Further, the simulations with the complete model resembled many of these patterns. When emotion contagion was disabled in the model, the resemblance decreased. These results give a first indication that emotion contagion occurs in groups that meet via video calls, and can in-part be predicted by the proposed model of emotion contagion. Yet, further study with a larger and more diverse empirical sample is needed, as well as comparisons across contagion mechanisms, to draw stronger conclusions and ultimately justify societal application.

The Reputational Contagion Effects of Ransomware Attacks

The Reputational Contagion Effects of Ransomware Attacks

The Role of External and Internal Human Capital in Shaping Contagion Effects in AI-Related Human Capital

The Role of External and Internal Human Capital in Shaping Contagion Effects in AI-Related Human Capital

The Contagion Effect of Artificial Intelligence across Innovative Industries: From Blockchain and Metaverse to Cleantech and Beyond

The Contagion Effect of Artificial Intelligence across Innovative Industries: From Blockchain and Metaverse to Cleantech and Beyond

Interdependence and contagion effects in agricultural commodities markets: A bibliometric analysis, implications, and insights for sustainable development

Research background: The global interdependence of financial markets due to globalization has resulted in standardized trading conditions for agricultural commodities, reducing the advantages of portfolio diversification. Recent events between 2020 and 2023 underscore the growing importance of real-time information for investors to make informed decisions in this interconnected financial landscape. Purpose of the article: This article aims to conduct a bibliometric review of the literature about market interdependence. We investigate the contagion effect on agricultural commodities and identify commodities and methods used in the most cited publications from 1997 to 2022. Methods: A bibliometric analysis was developed, for this, the SCOPUS database was used, sorting with Rayyan, Excel, and finally, the Bibliometrix/R-project to extract bibliometric information from the database. Findings & value added: The analysis highlights the prominent role of certain countries in contributing to scientific research on this topic, with China and the United States being leaders, collectively producing 24.57% of all publications in the examined periods. The research underscores the global concern for sustainable development, emphasizing the scientific growth linked to this topic and its intersection with energy sources. Unlike other bibliometric studies, this research consolidates relevant methodologies employed in analyzing interdependence and contagion effects in agricultural commodities over the past decades. Additionally, it identifies the most studied commodities in these works. As the world grapples with the challenges of market interdependence, particularly in the wake of recent events between 2020 and 2023, this study underscores the importance of real-time information for informed decision-making. The study suggests a shift towards cleaner and renewable energy sources in the coming years, anticipating increased investments in research and development.