Suchergebnisse

Purpose - The crude oil market has experienced an unprecedented overreaction in the first half of the pandemic year 2020. This study aims to show the performance of the global crude oil market amid Covid-19 and spillover relations with other asset classes. Design/methodology/approach - The authors employ various pandemic outbreak indicators to show the overreaction of the crude oil market due to Covid-19 infection. The analysis also presents market connectedness and spillover relations between the crude oil market and other asset classes. Findings - One of the essential findings the authors report is that the crude oil market remains more responsive to pandemic fake news. The shock of the global pandemic panic index and pandemic sentiment index appears to be more promising. It has also been noticed that the energy trader's sentiment (OVX and OIV) was measured at a too high level within the Covid-19 outbreak. Volatility spillover analysis shows that crude oil and other market are closely connected, and the total connectedness index directs on average 35% contribution from spillover. During the initial growth of the infection, other macroeconomic and political events remained to favor the market. The second phase amidst the pandemic outbreak harms the global crude oil market. The authors find that infectious diseases increase investor panic and anxiety. Practical implications - The crude oil investors' sentiment index OVX indicates fear and panic due to infectious diseases and lack of hedge funds to protect energy investments. The unparalleled overreaction of the investors gauged in OVX indicates market participants have paid an excessive put option (protection) premium over the contagious outbreak of the infectious disease. Originality/value - The empirical model and result reported amid Covid-19 are novel in terms of employing a news-based index of the pandemic, which are based on the content analysis and text search using natural processing language with the aid of computer algorithms.

Economic policy drives investment, production, employment, and other macroeconomic indicators of the economy. The study examines the equity, commodity, interest rates, and currency markets, taking into consideration the US economic policy uncertainty (EPU) index. The present work determines the association among policy uncertainty and volatility index, expressed in terms of generalized autoregressive conditional heteroscedasticity and period of empirical work spanning from 2000 to 2018. The results suggest that equity markets' volatility tends to be very high based on a high degree of policy uncertainty. The findings on the commodity market indicate that crude oil and gold prices remain more volatile during the presidential election and financial crisis. One of the essential results shows that the 2000s boom, early credit crunch, Lehman's collapse and recession, and fiscal policy battles have significantly affected the equity, currency, and commodity markets. The interest rates and currency markets have responded considerably to Feds' and EPU index. The empirical outcome provides evidence that implied volatility index is a forward looking expectation of future stock market volatility, and it uncovers that policy uncertainty affects investor sentiment. The present work holds some practical implications for the government to formulate policies to regulate the US market.

This paper investigates most important implied volatility indices of Eurozone, Asia-Pacifi c, Africa, Canada and USA on the event of Brexit election of UK. Since the international economic events signal new information to market participants, the Brexit event has gauged in the 12 global markets' volatility indices such as VFTSE, VIX, VDAX, VSMI, VSTOXX, VXJ, VHSI, VKOSPI, NVIX, VASX, VXIC and SAVI. A high fear of index about 20-36% has been noticed on the day of Brexit decision. Abnormal returns and cumulative abnormal returns on volatility index are found to be positive, while majority of global equity markets have reported negative stock returns on this event. To investigate the 'fear-and-greed' of investors on this historical event, a window of 11 -day has been considered. The findings suggest that investors' degree of over-reaction on Brexit decision was very disappointing and fueled concerns on the future investment and portfolio choices. The key volatility indices were on the rise prior to the decision, while the market noticed astray and breached its normal range on the day of Brexit referendum. The findings suggest that market participants have diverted their funds into other safer investment outlets due to Brexit effects.

Purpose
– The purpose of this paper is to analyze the asymmetric contemporaneous relationship between implied volatility index (India VIX) and Equity Index (S
&
P CNX Nifty Index). In addition, the study also analyzes the seasonality of implied volatility index in the form of day-of-the-week effects and option expiration cycle.


Design/methodology/approach
– This study employs simple OLS estimation to analyze the contemporaneous relationship among the volatility index and stock index. In order to obtain robust results, the analysis has been presented for the calendar years and sub-periods. Moreover, the international evidenced presented for other Asian markets (Japan and China).


Findings
– The empirical evidences reveal a strong persistence of asymmetry among the India VIX and Nifty stock index, at the same time the magnitude of asymmetry is not identical. The results show that the changes in India VIX occur bigger for the negative return shocks than the positive returns shocks. The similar kinds of results are recorded for the Japan and China volatility index. Particularly, the analysis also supports that India VIX holds seasonality, on the market opening VIX observed to be at its high level, and on the subsequent days it remains low. The results on the options expiration unfold the facts that India VIX remains more normal on the day of expiration.


Practical implications
– The asymmetric relation and seasonal patterns are quite useful to the volatility traders to price the financial assets when market trades in the high- and low-volatility periods.


Originality/value
– There is a lack of studies of this kind in the context of emerging markets like India; hence, this is an attempt in this direction. The study provides an insight to the NSE to launch some derivative products (i.e. F
&
Os) on India VIX that can generate more liquidity in the market for the volatility traders.

This study examines the impact of scheduled macroeconomic announcements on the option's implied volatility index in the emerging market. The macroeconomic indicators considered are RBI monetary policy statements, the consumer price index, wholesale price index, index of industrial production, the employment rate and gross domestic product (GDP growth rate). The study reveals that during non-announcement periods the implied volatility index (India VIX) increases significantly. Once results are announced, uncertainty is resolved and the India VIX returns to normal levels. It confirms that the India VIX declines significantly following scheduled GDP news, but rises significantly on the announcement of monthly inflation rates (WPI). Indeed, the joint effect of the announcements relating to monetary policy, the industrial output, employment rate and GDP is found to be statistically significant (and negative). JEL Classification: E52, E58, G12, G14

PurposeMarket volatility is subject to good or bad news and even responses to fake news and policy changes. In this piece of work, the authors consider the effects of the recent COVID-19 pandemic event on the global equity market, commodities and FX market, measured in terms of the investors' fear index.Design/methodology/approachIn this empirical work, the authors employ time series-based regression models followed by augmented dummy regressions and growth of the COVID-19.FindingsCOVID-19-induced investors' fear appears to be higher in the equity segment for the first time since the market crash of 1987 and the global financial crisis of 2008–2009. Furthermore, this disease outbreak shock has been more pronounced in terms of crude oil prices. Besides, a market participant in the commodity and FX market has paid a disproportionate premium to protect such pandemic development. Findings show that Options act as the best hedge against an uncertainty like COVID-19 and that option-based implied volatility is the best measure of investors' fear and market volatility.Practical implicationsThis study has practical implications for the financial markets, e.g. (1) Contagious disease outbreak news matters for the equity, commodity, and foreign exchange markets – empirical outcome validates the theory of market efficiency valid for the Options. (2) Option's implied volatility is the best indicator of investor fear measured for the unprecedented economic news. Further implication holds for the policymakers and society, e.g. (1) The unavailability of short-selling could be one plausible reason for increased uncertainty and volatility; hence, policymakers should look upon this issue at the exchange level. (2) Any market needs multiple lines of risk management, effective price discovery and attractive liquidity.Originality/valueThe study is novel in terms of presenting market behavior amid COVID-19 across global equity markets and commodities and FX markets.

While India is set to become the world's most populous country by 2050, it is also the home to the world's largest number of unbanked individuals. This paper aims to investigate the profitability issue with a focus on public banks. Using a new methodology based on comparisons tests and panel analysis that test unobserved heterogeneities between banks. We show that public banks are not low performers, nor can private banks be considered high performers Finally, we show that the proportion of non-performing assets (NPAs) is a real concern and requires urgent attention of government and regulators for Indian banks to serve profitability their home market. Banks that make more profits on non-interest income are not necessarily less profitable than others. Further, outcomes favour the ideas that if public banks are able to clean-up their non-performing assets as well as follow a sound prudential regulation, their profits could strongly grow. Future reforms must consider the public bank's key role in the growth of the India's economic outlook, especially when it comes to projects of social importance and national priority. The study is based on 105 banks with cross-sections from 2003–2016; however, India's government has initiated reforms in the banking segment, which has led to a significant decrease in government stake and the number of banks.