Contagion Measures Research Articles

Possible relations between emotional contagion and social buffering

Emotional contagion can be defined as the transfer of an emotional state from the demonstrator of that state towards an observer. Social buffering is a process by which the demonstrator has a reduced stress response due to the presence of one or more other individuals. While both processes are well studied separately, it is unknown whether and how both processes are related. Therefore, the aim of this study was to investigate the relation between emotional contagion and social buffering in pigs. Hereto correlations were performed between measures of emotional contagion (i.e., the difference in behaviour of observer pigs between a situation with and without demonstrator pigs present) and measures of social buffering (i.e., the difference in behaviour of demonstrator pigs in a negative situation with and without observer pigs present). The results did not point towards a clear and consistent relation as only few and contrasting correlations between measures of emotional contagion and social buffering were found, and after correcting for chance no significant correlations remained. To conclude, more research is needed on the relation between emotional contagion and social buffering to shed light on how and when emotions will spread through and/or are buffered in a group of animals.

Systemic Contagion

This article unifies existing systemic risk measures to present a novel intersecting notion of systemic contagion which captures institutional risk transmission amplified by a distressed financial system. The article constructs a test statistic for systemic contagion which demonstrates its systemic capacity in testing contagion under a series of numerical experiments. Using the new test the article constructs a forward-looking directed network to empirically measure the scale of systemic contagion between leading U.S. financial institutions. The proposed systemic contagion measure stands out as it provides timely warning signals of market crashes including that driven by the recent health-induced financial crisis.

Measurement and Control of Risk Contagion in Portfolio Optimization Processes

Measurement and Control of Risk Contagion in Portfolio Optimization Processes

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.

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.

Facial Reactivity to Emotional Stimuli is Related to Empathic Concern, Empathic Distress, and Depressive Symptoms in Social Work Students.

Helping professionals are exposed daily to the emotional burden of their vulnerable clients and are at risk of unconscious emotional contagion that may lead to stress and emotional distress. Being aware of their own susceptibility to emotional contagion, however, can improve their well-being. This study aimed to propose an objective measure of emotional contagion, complementary to the Emotional Contagion Scale, and to evaluate its construct and predictive validity. To do so, we turned to FACET, an automatic facial coding software using the Facial Action Coding System, to measure participants' facial expressions as they watched movie clips eliciting specific emotional responses. Results show that both tools to measure emotional contagion (objective and self-reported) are complementary, but they do not measure the same psychosocial constructs. Also, the new objective measure of emotional contagion seems to predict emotional empathy and the risk of developing depressive symptoms among this study's participants.

PRODUÇÕES DE VULNERABILIDADES NO CENÁRIO DA PANDEMIA E NECROPOLÍTICA: interconexões e reflexões

Coping with covid-19 has changed relationships in the various living environments, impacting, mainly, less economically and socially wealthy families. The purpose of this article was to discuss the productions of vulnerabilities in the scenario of the covid-19 pandemic, and the possible relationships with necropolitics instrumentalized by governmentality. This is a reflective theoretical study, based on the reference of necropolitics, by Achille Mbembe; and biopower, by Michel Foucault. Data were collected from Scientific Electronic Library Online – SciELO; the Virtual Health Library in Latin America and the Caribbean – LILACS and the Virtual Health Library – BVS; Web of Science and Pubmed. The results show that, in the pandemic scenario, the productions of vulnerabilities are mediated by the biopsychosocial impacts caused by the coronavirus, however, coping policies such as social isolation imposed as a restrictive measure of contagion capillarized its effects. It is concluded that the impacts of the Covid 19 pandemic surround the most vulnerable groups, not only due to the symptomatic effects caused by the virus, but also due to the machinic arrangements of neoliberalism and all its rhizomatic fabric that produces vulnerabilities. Thus, although the challenges are printed, attention is drawn to the importance of involving the population in the construction of public policies with a view to monitoring processes and preventing necropolitics instrumentalized by governmentality from becoming a trend.

Risk contagion in financial markets: A systematic review using bibliometric methods

AbstractWe explore evolving research trends and hotspots in financial contagion through keywords co‐occurrence and co‐citation network analyses. 2,071 articles have been collected from Web of Science Core Collection database from 2005 to 2021 and been analyzed by using bibliometric methods. The results indicate a tremendous growth in research on financial contagion, especially following the Global Finance Crisis. The current research mainly focuses on understanding the causes and consequences of past financial crises and recessions, examining the network effects of banks and other important financial institutions on risk contagion, developing new systematic approaches to modelling financial contagion, and providing empirical evidences for financial contagion among various asset classes and across different countries and regions. We find that there is still no consensus regarding the causes and measures of financial contagion, however, new promising perspectives have emerged to expand research in this area. We also propose several future directions for studies on financial contagion based on the research gap identified in this review.

Sector-level equity returns predictability with machine learning and market contagion measure

Sector-level equity returns predictability with machine learning and market contagion measure

Who are the vectors of contagion? Evidence from emerging markets

We test whether foreign investors are the vectors of contagion to emerging markets, as various theoretical models imply. We also explore the role of local institutions and individuals during and after contagion days. To do this, we propose a novel measure of contagion and estimate its dynamic relationship with the net purchases of each of the three groups of investors, from 2007 to 2016, in seven emerging markets. We find that foreign investors bring contagion by actively selling and impacting local prices on days of large declines in the US stock market and the days following. Local institutions are also net sellers on the day of contagion, while individuals act as the main liquidity providers, but institutions become net buyers soon after.

Sector Level Equity Returns Predictability with Machine Learning and Market Contagion Measure

Sector Level Equity Returns Predictability with Machine Learning and Market Contagion Measure

Contagion and tail risk in complex financial networks

New contagion measures based on theories of copula, heavy-tailed distributions and networks are introduced. The measures are applied to study international stock markets contagion during the Global Financial Crisis 2008. Having declined post-crisis, the contagion risk remains above its pre-crisis level for both advanced and emerging economies. A sub-network analysis of contagion shows that the shock propagated mainly from core to periphery during the crisis. We propose an instrumental variable regression approach to deal with a potential endogeneity problem in the analysis of the contagion measures as determinants of tail risk. Endogeneity might arise as both contagion measures and tail indices are themselves estimated. The obtained results are statistically significant and suggest that more contagion-central countries tend to be less prone to tail risk.

A multicountry measure of comovement and contagion in international markets: definition and applications

This paper introduces a new measure of comovement and contagion of crises between countries, applies it to 16 world crises, including the current COVID-19 pandemic, and provides insights regarding the occurrence of contagion during these crises. Our measure demonstrates several important advantages over the extant measures of contagion. Traditional measures of contagion, such as increase in correlation, could be limited in scope since they are bivariate, whereas contagion is often a regional or global market phenomenon. The multiple comparisons that the binary correlations require in such cases could yield inconclusive or contradictory results and fail to capture the broad effects of the crisis on the regions. Moreover, during crises, a country’s stock market volatility often increases, a phenomenon that could lead to a spurious indication of increased correlation with other countries (contagion). Corrections for this bias have been suggested, but they could adversely affect the power of the contagion tests and fail to detect genuine contagion. Using simulations, we show the robustness of our measure to changes in volatility and demonstrate its power to affirm instances of genuine contagion. Support for the power of our measure relative to an extant leading measure of contagion is also provided by analysis of the cases of the 1994 Mexican peso crisis, the 1997 East Asian crisis, and Black Monday, the 1987 US stock market crash.

Longitudinal Distress among Brazilian University Workers during Pandemics.

The present study aimed to examine changes in mental distress in Brazilian university workers during the pandemic. All workers (n ≃ 1850) of an institution were invited to respond to a survey that took place in three stages, with collections in May (n = 407), June/July (n = 258), and August (n = 207) 2020, and included questions on demographic, health, general and psychological support, and psychometric assessment of mental distress (Clinical Outcome Routine Evaluation- CORE-OM) combined with an open question about major concerns. The results of the Multilevel Modeling analysis pointed to the absence of significant differences across the repeated measures of distress. The only variable associated with increased psychological distress over time was a lower level of support for household chores. Qualitative analysis of the reported major concerns was carried out with a sub-sample who showed reliable deterioration in CORE-OM across time (n = 17). The diversity of concerns reported by this group reinforced that work–life imbalance contributes to mental distress of university workers during the pandemic. Low response rate, although not unexpected due to the circumstances, limits the generalization of findings. The present data suggest that in addition to issues related to contagion and specific restricted measures to contain the spread of the disease, the personal reorganization of life required to maintain activities at home and work can be an important contributor to pandemic-related psychological distress.

Is the recent surge in violence in American cities due to contagion?

Firearm violence rates have increased in U.S. cities in 2020 and into 2021. We investigate contagious and non-contagious space-time clustering in shooting events in four U.S. cities (Chicago, Los Angeles, New York and Philadelphia) from 2016 to 2020. We estimate the dynamic reproduction number (Rt) of shootings, a measure of contagion, using a Hawkes point process. We also measure concentration over time using a spatial Gini index. We find that the contagious spread of violence increased in 2020 in several, but not all, of the cities we considered. In all four cities, non-contagious (Poisson) events comprised the majority of shootings across time (including 2020). We also find that the spatial location and concentration of shooting hot spots remained stable across all years. We discuss the implications of our findings and directions for future research.

Emotional Contagion: A Brief Overview and Future Directions.

Social interactions can trigger emotional contagion between individuals resulting in behavioral synchrony. Emotional contagion can be a very effective and attractive strategy in communication and advertising, and understanding the mechanisms underlying emotional contagion can help marketers to improve their commercial approaches or develop better ones. The purpose of this study is to review and classify the various methodologies and theoretical approaches on emotional contagion, identify the best practices in this domain, and identify ways of gaging and measuring emotional contagion. The study is based on a mini literature review. We identify different mechanisms and approaches to emotional contagion described in the literature. Emotional contagion can be triggered by facial expressions, indirect human interactions, and/or by observing other people's behavior in direct and indirect interactions. Furthermore, emotional contagion can be triggered physiologically or neurologically by synchronizing with the emotional state of others during human interactions. Regarding the assessment and measurement of emotional contagion, we argue that methods based on neuroscience tools are much more accurate and effective than methods based on traditional research approaches. The study identifies guidelines for research on commercial communication through emotional contagion that can be especially interesting for academia and marketing practitioners. The findings are important for field marketers interested in developing new individualized approaches in their commercial strategies and marketing in general. In addition, the study can become the basis of research that further refines and compares the efficacy of the various techniques and tools involved.

Stochastic orders and multivariate measures of risk contagion

Co-risk measures and risk contributions measures are used in portfolio risk analysis to assess and quantify the risk of contagion, given that one or more assets in the portfolio are in distress. In this paper, given two random vectors X and Y that represent two portfolios of n assets (n≥2) and exhibit some kind of positive dependence, we give sufficient conditions based on stochastic orders to compare the risk of contagion of the portfolios. The measures of risk contagion that we consider are the conditional value at risk (CoVaR), the conditional expected shortfall (CoES) and the recently introduced marginal mean excess (MME).

The pricing of bad contagion in cryptocurrencies: A four-factor pricing model

We examine as if the incorporation of the contagion risk, which is found significant in cryptocurrencies, can make the resulting four-factor pricing model offers an improved explanatory power. We estimate contagion measure for the large left-tail events in the idiosyncratic disturbances of cryptocurrencies and then incorporate it into the three-factor pricing model. Using data of 1,967 cryptocurrencies from January 1, 2015 to September 26, 2019, we show that the four-factor pricing model outperforms both the cryptocurrency-CAPM and three-factor models. Our findings are useful to researchers of cryptocurrency anomalies and those applying quantitative strategies in the cryptocurrency market.

O uso generalizado de máscaras faciais durante a pandemia de COVID-19: uma revisão de literatura

Com a pandemia da COVID-19, houve a inclusão de medidas preventivas de contágio, trazendo várias mudanças radicais no cotidiano da população. Este trabalho teve como objetivo apresentar o que se sabe quanto ao uso generalizado de máscaras faciais durante a pandemia como um método preventivo à COVID-19. Uma revisão da literatura científica foi realizada, trazendo em discussão controvérsias sobre o uso de máscaras faciais, buscando elucidar a respeito de sua eficiência e do porquê de continuar o seu uso. É evidente que ao início da pandemia a população estava com uma sensação de medo aumentada, o que resultou numa maior colaboração com as medidas preventivas, como o uso de máscaras, higienização das mãos, distanciamento social, entre outras; a colaboração e crença popular com essas medidas mostrou-se relacionada com o divulgado pelos governantes e por demais entidades de impacto popular, como a mídia. Acredita-se que o uso de máscaras faciais é capaz de diminuir a transmissão da COVID-19, mesmo não sendo um método totalmente eficaz, uma vez que depende diretamente da alta adesão popular, do material de confecção e da prática de demais atitudes preventivas para atingir sua maior eficácia.

COVID-19: Navigating Inclusive Recovery towards the New Normal

There are two forms of contagion associated with COVID-19—one related to the virus, and the other to the economic slowdown it has triggered. This paper outlines a framework to better understand the different phases of COVID-19 crisis response, spanning relief, recovery and the possible “new normal”; and it elaborates on the balancing act between economic and health policies. Drawing on a review of international and Philippine policy responses across these different stages, this paper contributes to the crisis response literature by developing a proposal to use the Philippine healthcare sector as a lynchpin of more inclusive and stable economic recovery. Better healthcare and crisis response systems could effectively contain the virus, while also minimizing the economic costs. Emerging evidence suggests that countries with adequate and more inclusive healthcare and social protection systems did not need to resort to draconian crisis contagion measures. What is needed are robust investments that build stronger inclusiveness and coverage by a country’s health system, and enable this to rapidly re-align and ramp up absorptive capacities during a crisis should the need arise.