Testing For Contagion Research Articles

Application of tests for contagion in point processes to measles, Chlamydia, Lyme disease, and suicide

A recently proposed likelihood-ratio test for identifying causal triggering in point process data is applied to a variety of case counts of diseases of varying infectiousness. The test, suggested by McGovern et al. (2023), involves comparing the likelihood of a fitted Hawkes model to that of a fitted Poisson cluster model, and was shown using simulations to be powerful at discriminating between a process with causal triggering and a process where the clustering is merely due to spatial-temporal inhomogeneity. Here, the test is applied to data on measles, Chlamydia, and Lyme disease in the United States, to see if the test can discern between diseases that are highly contagious, moderately contagious, and not directly contagious from human to human. Measles is a highly contagious disease that spreads rapidly through populations, so it can potentially be modeled accurately using a Hawkes model. Chlamydia is a sexually transmitted disease that is not as highly contagious as measles since the level of contact needed for exposure is much higher than for measles. Lyme disease is non-contagious from human to human but cases tend to be highly clustered, as the disease is primarily spread through ticks, and this exposure is much more likely to happen during warmer weather. Further, the test is applied to data on adolescent suicides in the United States, in order to investigate the hypothesis that such suicides are an epidemic spread by social contagion. The results show that the test is able to measure the degree of contagion of a disease, and the results suggest that there is indeed a small but statistically significant element of contagion to youth suicides.

Network analysis of policy contagion in the supply chain of hydrogen fuel cell vehicles in China

The implementation of hydrogen fuel cell vehicle (HFCV) policies represents a crucial strategy in addressing global warming within the transportation sector. This study assesses the impact of these policies on HFCV-related stock returns from 2019 to 2023, utilizing static and dynamic contagion tests to construct a contagion network. The results indicate several key findings: (1) both fuel cell (FC)- and hydrogen-oriented policies exhibit significant contagion effects across the HFCV supply chain, particularly between FC/hydrogen sectors and their upstream, midstream, and downstream counterparts, with stronger contagion pre-2021 and a modest decline post-2022; (2) in 2020, FC-oriented policies dominated contagion dynamics, with a notable shift towards hydrogen-oriented policies after 2021; (3) prior to 2021, contagion rates reached as high as 80%, largely driven by higher-order co-moments rather than linear correlations, but declined to below 25% after 2021; (4) upstream sectors within the HFCV supply chain are more sensitive to policy contagion compared to midstream and downstream sectors; and (5) among the 10 policies analyzed, the 2021–2023 New Energy Vehicle Industry Development Plan had the most substantial impact, both driving and receiving policy shocks within the HFCV network. These findings offer critical insights into the energy-economic interactions shaping the HFCV market, providing valuable guidance for policymakers and industry stakeholders aiming to promote sustainable transport strategies.

How does the supply chain market respond to policy shocks? Evidence from solar photovoltaic sectors in China

Solar photovoltaic (PV) power policy implementation represents a pivotal strategy in addressing the challenges posed by global warming and climate change. This research endeavors to assess the effects of such policies on stock returns within the solar PV industry chain spanning the years 2013–2023. Employing contagion tests alongside the network analysis, our study delves into the intricate dynamics of policy impact. Our findings underscore the notably stronger influence exerted by opinion-based policies on policy contagion within industry chain sectors, eclipsing that of notification-based policies. Moreover, policies directed towards downstream sectors demonstrate a more pronounced effect on the mid- and downstream segments, relative to their impact on upstream components. Among the nine policies scrutinized, the 2017 notice pertaining to feed-in tariffs emerges as the most influential, driving and receiving policy shocks within the solar PV network system, while the 2022 notice aimed at coordinating the development of the PV industry supply chain exhibits comparatively weaker pervasive impact.

Crises and Contagion in Equity Portfolios

We examine the international impact of recent financial crises on contagion dynamics within international equity portfolios. First, we highlight the importance of macroeconomics for portfolio weighting for each region, and then we examine contagion via a structural regime-switching model and a contagion test. We also examine sources of contagion using regime variables, crisis events, and macroeconomic variables. In particular, we study the Argentine debt crisis, the US financial crisis, and the EU sovereign debt crisis. The macroeconomic variables include changes in market capitalization, trade integration, GDP growth, inflation rate, and interest rate. We also employ two classifications, one relating to the portfolio weighting scheme and another one that considers implied global and regional betas. The empirical findings reveal the existence of financial contagion for all the crises that we investigate. Both methods produce similar results. Stronger contagion is evident for global rather than regional betas. Europe is the region with the highest level of contagion and the one mostly affected by the crises. As far as macroeconomic variables are concerned, they are very important in two ways. They statistically significantly explain contagion, while they also reveal contagion under various portfolio weighting schemes. Both methods suggest that the Argentinian crisis mainly contributes to contagion. The research implications suggest that asset allocation and portfolio management should consider both the global and the regional aspects of contagion as differences can occur.

Correlation meets causality: A holistic measure of financial contagion

This study introduces a new measure of financial contagion. We argue that a rapid increase in correlations between two series is necessary but not sufficient for contagion to occur, and develop a contagion test that combines dynamic conditional correlations with time-varying Granger causality. We empirically illustrate our new approach using systemic risk data covering the period 1996–2023. We show that there are periods when correlations increase rapidly without causality, as well as periods when causality is present but correlations do not increase. The proposed test enables data-driven detection of contagion episodes and provides a clear distinction between interconnectedness and contagion.

Higher-order contagion effects in Russian fuel export markets: Evidence from COVID-19 pandemic and Russia-Ukraine war

This study investigates the transmission of financial contagion from energy markets, specifically focusing on Brent oil and natural gas, to the stock indices of 13 countries highly dependent on Russian fuel exports. The analysis encompasses two major crises: the COVID-19 pandemic and the 2022 Russia-Ukraine conflict. By employing six distinct second- and higher-order co-moment contagion tests, our findings reveal notable dynamics: 1) Both the COVID-19 pandemic and the Russia-Ukraine conflict exhibit significant evidence of contagion. 2) During the pandemic, Brent oil plays a more prominent role in transmitting contagion across different stock markets. In contrast, natural gas serves as the primary transmitter for Russian-Ukraine war. 3) Among the three regions analyzed, Asian countries demonstrate resilience against contagion in both crises, while European countries experience a substantial impact from the contagion. 4) Higher-order co-moment channels are more dominant in driving contagion than second-order co-moments. These empirical findings emphasize the importance of considering higher-order co-moments in elucidating the dynamics of financial contagion. They provide valuable insights for policymakers and decision-makers, aiding in the formulation of effective strategies and policies.

Assessing Contagion Risks of Carbon Reduction Policies on the Stock Returns: Evidence from China’s Energy Markets

ABSTRACT This study investigates the impacts of China’s carbon mitigation policies spanning from 2011 to 2023 on the stock returns of seven distinct nonrenewable and renewable energy markets. We apply contagion tests, examining variations in linear, asymmetric, and external dependence to identify the transmission of policy shocks from the coal market to energy markets. Among the analyzed carbon reduction policies, both cap-and-trade schemes and coal capacity cut policies present stronger evidence of policy contagion between the coal and energy markets compared to national development plans. Additionally, nonrenewable energy markets demonstrate more pronounced evidence of policy contagion than renewable energy markets during the implementation of carbon reduction plans.

How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?

This paper studies the cross-market linkages between six international stock markets and the two major cryptocurrency markets during the Covid-19 pandemic and the Russian invasion of Ukraine. By employing the local (partial) Gaussian correlation approach, we find that during the Covid-19 pandemic period, both cryptocurrency markets possess limited diversification and safe haven properties, which further diminish during the war. Bootstrap tests for contagion suggest that during the Covid-19 pandemic, the East Asian markets lead the transmission of contagion towards the two cryptocurrency markets. During the Russian invasion, the US stock market emerges as the principal transmitter of contagion. Uncovering the role of pandemic (Infectious Disease EMV Index) and geopolitical risk (GPR index) induced uncertainties, we find that under conditions of high uncertainty and falling prices, the dependency between the US and UK stock markets with both cryptocurrency markets increases considerably. The latter is more profound during the Russian–Ukrainian conflict. Our findings are useful for investors in their search for understanding the differences in asymmetric connectedness between markets during extreme events.

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.

Are emerging Islamic equity markets immune from contagion effects during the COVID-19 pandemic crisis? Evidence from the higher-order comoment-based contagion tests

In this paper, we investigate the possible contagion effects of the COVID-19 pandemic on twenty-four emerging Islamic equity markets. To test for contagion, we use statistical tests based on changes in correlation and higher-order comoments. We also split the full sample into three sub-periods while identifying two phases of the COVID-19 crisis. Our main empirical findings indicate significant evidence of contagion during the two COVID-19 phases, especially through the coskewness, cokurtosis, and covolatility channels. Interestingly, we find that most emerging Islamic equity markets are not immune from the contagious effects of the COVID-19 pandemic. Furthermore, we draw on six behavioural indicators and construct a new index entitled ‘Feverish sentiment’ to examine the causal relationships between investor sentiment and emerging Islamic equity index returns during the COVID-19 pandemic. Using both traditional and frequency-domain Granger causality tests, we find significant causal linkages between investor sentiment and some emerging Islamic equity markets in low, medium, and high frequencies. In particular, the results highlight an increase in the predictive power of investor sentiment during the second phase of the COVID-19 pandemic.

A contagion test with unspecified heteroscedastic errors

The tests of contagion in Fry-McKibbin et al. (2010) filter returns by a vector autoregressive model, assume residuals are independent, fit a parametric distribution family to residuals, and test for the change of contagion measures, which ignore the effect of filtering the time series model and the stylized fact of heteroscedasticity in daily returns. This paper studies a contagion test based on correlation by allowing heteroscedastic errors with a deterministic jump from the pre-crisis to the crisis periods. Because the developed test does not infer heteroscedasticity, it is robust against heteroscedasticity but its asymptotic variance under the null hypothesis of no contagion becomes complicated, which relies on a block method for estimating the asymptotic variance. A simulation study confirms the good finite sample performance of the new contagion test. Finally, we apply the test to three datasets to test for contagion.

Sex-dependent and long-lasting effects of adolescent sleep deprivation on social behaviors in adult mice

Increasing evidence indicates that sleep deprivation (SD) can exert multiple negative effects on neuronal circuits, resulting in memory impairment, depression, and anxiety, among other consequences. The long-term effects of SD during early life on behavioral phenotypes in adulthood are still poorly understood. In this study, we investigated the long-lasting effects of SD in adolescence on social behaviors, including empathic ability and social dominance, and the role of the gut microbiota in these processes, using a series of behavioral paradigms in mice combined with 16S rRNA gene pyrosequencing. Behavioral assay results showed that SD in adolescence significantly reduced the frequency of licking, the total time spent licking, and the time spent sniffing during the emotional contagion test in male mice, effects that were not observed in female mice. These findings indicated that SD in adolescence exerts long-term, negative effects on empathic ability in mice and that this effect is sex-dependent. In contrast, SD in adolescence had no significant effect on locomotor activities, social dominance but decreased social interaction in male mice in adulthood. Meanwhile, 16S rRNA gene pyrosequencing results showed that gut microbial richness and diversity were significantly altered in adult male mice subjected to SD in adolescence. Our data provide direct evidence that SD in youth can induce alterations in empathic ability in adult male mice, which may be associated with changes in the gut microbiota. These findings highlight the long-lasting effects of sleep loss in adolescence on social behaviors in adulthood and the role played by the brain–gut axis.

Does COVID-19 impact the dependence between oil and stock markets? Evidence from RCEP countries

This paper studies the dependence between crude oil and RCEP stock markets before and after COVID-19 by using local Gaussian correlations, contagion tests, and time-frequency domain causality tests. Empirical results show that the lower tail dependence considerably enhanced except in China, while the higher tail dependence significantly increased in Australia, New Zealand, Japan, and Thailand. Contagion is detected from the WTI oil to New Zealand and Thailand stocks. The crude oil market has a short-term (0–32 day frequency) effect on RCEP stock markets, whereas the RCEP stock markets have a relatively stronger, long-term (64–128 day frequency) impact on crude oil markets. RCEP public panic disrupted the oil and stock markets during the Delta and Omicron spread. These findings may help the RCEP governments, institutions, and investors boost energy cooperation, capital flow, and cross-border investments under different market states and investment horizons.

Does climate impact the relationship between the energy price and the stock market? The Colombian case

Climate change imposes increased stress on the relationship between energy and financial markets. Countries with energy matrices that depend on water sources influenced by climatic phenomena must identify and control their impact on energy prices and financial markets. This research analyses if the El Niño Southern Oscillation phenomenon affects the relationship between electricity prices and financial markets. To that end, we apply wavelet analysis for bivariate time series and contagion tests to examine the correlations and evaluate the presence of contagion. The cross-wavelet power spectrum coherence coefficients suggest two periods where energy prices and the stock market are closely related: The strong El Niño phase in 2015, which confirms our conjecture, and the first stages of the 2020 Covid Pandemic. For the el Niño phase, the energy price leads the stock market in scales from three to eight months, while for the pandemic period, the unexpected disruption produces changing patterns for the same scales. There is also a robust long-term coherence for longer scales beginning in 2012. Moreover, the contagion tests confirm the contagion between markets during extreme climate events. Thus, our alternative method to uncover market relationships beyond traditional econometric contagion approaches contributes to theoretical discussions.

Allogeneic platelet gel therapy for refractory abdominal wound healing: A preliminary study.

Refractory abdominal wounds are commonly complicated by surgical site infections, which prolong hospital stays and increase medical costs. There is little clinical data on the use of allogeneic platelet gel (PG) therapy for refractory infected wounds. This study aimed to evaluate the efficacy and safety of allogeneic PGs in the treatment of refractory abdominal wounds. A prospective single-center study was performed in a national abdominal trauma referral center between June 2019 and June 2021. A total of 11 patients with refractory abdominal wounds were treated with allogeneic PGs after the failure of standard medical treatments. The PGs were derived from platelets collected from healthy donors using apheresis, and each PG was tested for platelet count, transfusion-related diseases, aerobic and anaerobic bacteria, and growth factor concentration. Clinical efficacy was evaluated by assessing the wound surface and observing the condition of the wound, including wound area and percentage of granulation. The median age of the patients was 37 years (1st quartile, 3rd quartile (Q1, Q3): 31-55 years), median (Q1, Q3) hemoglobin level was 95 g/L (78-120 g/L) and median (Q1, Q3) serum albumin level was 39.9 g/L (34.9-42.7 g/L). The PG platelet count was 976.5 ±174.9×109/L. Results of transfusion-associated contagion tests for aerobic and anaerobic bacteria were negative. Growth factor contents (pg/mL) were: for transforming growth factor beta 1 (TGF-β1); 2542.39 ±430.60, for platelet-derived growth factor BB (PDGF-BB); 23230.03 ±4236.14 and FOR vascular endothelial growth factor (VEGF); 91.41 ±23.31. The rate of wound healing was 100%, and the median (Q1, Q3) healing time was 30 days (18-40 days). The follow-up period was 5-27 months, during which no recurrence of the wounds was found. The present study demonstrated that allogeneic PGs are a safe and effective treatment for refractory abdominal wounds.

Contagion, Confounding, and Causality: Confronting the Three C’s of Observational Political Networks Research

AbstractContagion across various types of connections is a central process in the study of many political phenomena (e.g., democratization, civil conflict, and voter turnout). Over the last decade, the methodological literature addressing the challenges in causally identifying contagion in networks has exploded. In one of the foundational works in this literature, Shalizi and Thomas (2011, Sociological Methods and Research 40, 211–239.) propose a permutation test for contagion in longitudinal network data that is not confounded by selection (e.g., homophily). We illustrate the properties of this test via simulation. We assess its statistical power under various conditions of the data, including the nature of the contagion, the structure of the network through which contagion occurs, and the number of time periods included in the data. We then apply this test to an example domain that is commonly considered in the context of observational research on contagion—the international spread of democracy. We find evidence of international contagion of democracy. We conclude with a discussion of the practical applicability of the Shalizi and Thomas test to the study of contagion in political networks.

Stock Market Interdependence, Contagion, the Financial Subprime Crisis and the European Sovereign Debt Crisis: Evidence from the Chinese’s Stock Market

This study analyses the contagion effects of the American, the British and the Greek stock markets on the Chinese stock market in the context of the 2007–2010 American and European financial crises. Two contagion tests have been performed using the Archimedean copula functions. The results of the first test suggest that the financial contagion existed between UK/China in the 2007 subprime financial crisis period and between U.S./China and U.K./China in the 2010 European sovereign debt crisis period. Finally, the second test shows that the contagion effects of the 2010 European sovereign debt crisis were clearly more intense than those caused by the 2007 subprime financial crisis just for the U.S./China pair. Investors' sentiment and behavior indirectly have impact on financial risk contagion in Chinese stock markets.

Evaluations of policy contagion for new energy vehicle industry in China

This paper investigates the impact of eight new energy vehicle (NEV) policies in China from 2016 to 2021 on the stock indices of its 10 major up-, mid-, and downstream sectors. Contagion tests based on changes in either individual linear/asymmetric or joint asymmetric dependence are applied to identify how policy shocks affect relevant sectors. These tests are also used to measure the extent to which policy is important in driving the policy shocks by measuring the sensitivity index of policy announcements and using network analysis. The empirical results show that China's NEV policies, including financial subsidies, tax exemption, dual credit schemes, and long-term development plan and management notice, have significant effects on its main industry chains and affiliated sectors through linear and joint asymmetric dependence channels. Of the eight policies, the long-term development plan and financial subsidies are found to be the most effective instruments in driving policy contagion more through asymmetric dependence than linear dependence channels, while tax incentives and management notices have the least effect. The up-, mid-, and downstream sectors of NEVs are more affected by NEV policy shocks than their affiliated sectors.

High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests

This study examined contagion involving the aggregate and regional housing markets of the United States (US) with other asset markets using multichannel tests during the 2007–2008 global financial crisis based on a unique high-frequency, i.e., daily data set. To arrive at bias free results several contagion tests: the Forbes and Rigobon (FR) correlation test for contagion, the Fry, Martin and Tang coskewness (CS) test for contagion, the Hsiao cokurtosis (CK) test for contagion and the Hsiao covolatility (CV) test for contagion were employed. At the country level, the linear (correlation) channel indicates that contagion is present from (to) average housing returns to (from) the S&P500, with the correlation contagion also running from average housing returns to REITs. Moreover, the coskewness, cokurtosis and covolatility channels are strongly active with contagion running only from average housing returns to the S&P500, bond returns and REITs. At the Metropolitan Statistical Area (MSA) level, our results indicate that the linear (correlation) channel of contagion is relatively inactive, but the coskewness, cokurtosis and covolatility channels are strongly active with contagion running mostly from housing returns to the S&P500. Our results have important implications for investor and policymakers, given the possibility of differential results based on tests and whether we rely on regional or aggregate data.

Comovement and contagion in commodity markets

This article investigates comovement and contagions in the commodities markets. We examine the comovement by analyzing the unconditional correlation coefficients. We document that commodities tend to partially integrate. We perform contagion tests by identifying coexceedances and estimating multinomial logit to explain the joint occurrence of those coexceedances. We document that commodities price changes tend to affect the probability of both positive and negative coexceedances. Overall, we conclude that there are comovement and contagions among commodities. However, the degrees of comovement and contagion are different among commodities and between positive and negative extreme returns. The contagion among commodities is asymmetric.