Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday

We examine the volatility spillovers among various industries during the COVID-19 pandemic period. We measure volatility spillovers by defining the volatility of each sector in the S&P 500 index and implement a static and rolling-window analysis following the Diebold and Yilmaz (2012) approach. We find that the pandemic enhanced volatility spillovers, which reveals the financial contagion effects on the US stock market. Second, there were sudden, large changes in the dynamic volatility spillovers on Black Monday (March 9, 2020), much of it due to the energy sector shock. These findings have important implications for portfolio managers and policymakers.     

Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic

This research empirically evaluates the potential diversification benefits of Gold during the COVID-19 pandemic period, when including it in equity-based asset allocation strategies. This study proposes minimum VaR portfolios, with monthly rebalance and different wavelet scales (short-run, mid-run and long-run), doing both an in-sample and out-of-sample analysis. We find much more unstable weights as the frequency of the decomposition becomes lower, and strong evidence of the outperformance of the mid-run decompositions over the rest of active management strategies and the passive management of buy and hold the variety of single equity indices. Thus, we may shed some light on the role of Gold as a safe haven when properly filtering aggregated data.     

Spillover shifts in the FX market: Implication for the behavior of a safe haven currency

This paper explores the behavior of safe haven currencies by analyzing shock transmission among major currencies. To capture state-dependent directional spillovers, we incorporate Markov regime-switching parameters into the spillover model and estimate them using a Bayesian MCMC algorithm. By considering weekly data from September 2000 to March 2020, we find that the Japanese yen and the Swiss franc, both of which yield relatively high excess returns in times of crisis, exhibit larger reductions of shock transmission and reception during periods of high-volatility than during periods of low-volatility. This implies that the safe haven currencies insulate themselves from shocks from other currencies by reducing interdependence across the FX market in crisis.     

Herding behavior in the cryptocurrency market during COVID-19 pandemic: The role of media coverage

This paper examines herding behavior in the cryptocurrency market during the COVID-19 pandemic using daily data and based on static and regime-switching models. Furthermore, we investigate whether herding behavior is affected by the coronavirus media coverage. Based on a sample of the top-43 cryptocurrencies in terms of market capitalization between 2013 and 2020, we find significant evidence of herding for the entire sample period only during high volatility state. Moreover, during the COVID-19 crisis, results suggest that investors in the cryptocurrency market follow the consensus. Finally, the impact of coronavirus media coverage is significant on herding among investors, explaining such behavior in the cryptocurrency market during the COVID-19 crisis. Our findings explain herding determinants that may help investors avoid such comportment, mainly during the crisis.     

Using trust-based philanthropy with community-based organizations during the COVID-19 pandemic

Community-based organizations (CBOs) fill a critical role in acting as public health partners and trusted resources for their communities, especially in an emergency. The CDC Foundation, an independent, nonprofit organization, used trust-based philanthropy to manage more than 110 COVID-19 grants focused on equitable vaccine information, outreach, and access. The CDC Foundation team uses a trust-based philanthropy paradigm by applying five out of six of the grantmaking practices: do the homework; simplify and streamline paperwork; be transparent and responsive; solicit and act on feedback; and offer support beyond the check. By applying trust-based philanthropy practices, the CDC Foundation is empowering CBOs through flexible grant management and more equitable power dynamics as grantee and grantor. This has been essential to CBOs in their efforts of tackling health inequities during the COVID-19 pandemic and improving community resilience. Lessons learned will inform future collaborations with CBOs where the power dynamics are shared.     

The transition of the global financial markets' connectedness during the COVID-19 pandemic

This study contributes to the literature on financial research under the presence of the COVID-19 pandemic. Fresh evidence emerges from using two novel approaches, namely network analysis and wavelet coherence, to examine the connectedness and comovement of financial markets consisting of stock, commodity, gold, real estate investment trust, US exchange, oil, and Cryptocurrency before and during the COVID-19 onset. Moreover, unlike the previous studies, we seek to fill a gap in the literature regarding the ex-post detection of COVID-19 crises and propose the Markov-switching autoregressive model to detect structural breaks in financial market returns. The first result shows that most financial markets entered the downtrend after January 30, 2020, coinciding with the date the World Health Organization (WHO) declared the COVID-19 pandemic as a Public Health Emergency of International Concern. Thus, it is reasonable to use this date as the break date due to COVID-19. The empirical result from network analysis indicates a similar connectedness, or the network structure, in other words, among global financial markets in both the pre-and during COVID-19 pandemic periods. Moreover, we find evidence of market differences as the MSCI stock market plays a central role while Cryptocurrency presents a weak role in the global financial markets. The findings from the wavelet coherence analysis are quite mixed and illustrate that the comovement of the financial markets varies over time across different frequencies. We also find the main and most significant period of coherence and comovement among financial markets to be between December 2019 and August 2020 at the low-frequency scale (>32 days) (middle and long terms). Among all market pairs, the oil and commodity market pair has the strongest comovement in both pre-and during the COVID-19 pandemic phases at all investment horizons.     

Time and frequency connectedness and portfolio diversification between cryptocurrencies and renewable energy stock markets during COVID-19

The assessment of the time and frequency connectedness between cryptocurrencies and renewable energy stock markets is of key interest for portfolio diversification. In this paper, we utilize weekly data from 07 August 2015 to 26 March 2021 to document the dynamics and portfolio diversification from a fresh cryptocurrencies-renewable energy perspective. Our time-frequency domain spillovers results reveal that renewable energy stocks are the main spillover contributors in the connectedness system and the short-run spillovers dominate their long-run counterparts. Furthermore, investors can gain more profits through short-run transactions in our portfolio design and we can optimize portfolios by investing a large portion in cryptocurrencies. A fascinating fact is that the COVID-19 pandemic can reverse the effectiveness of our hedging strategy.     

Improving resilience of the healthcare supply chain in a pandemic: Evidence from Europe during the COVID-19 crisis

The severe scarcity of critical medical supplies caused by the COVID-19 pandemic led to considerable procurement challenges in the healthcare supply chain (HCSC). As ensuring the availability of such supplies during disruptions is critical, the debate on how to increase supply chain resilience in healthcare has gained new momentum. We present empirical evidence from a multi-tier case study spanning nine European medical supplies manufacturers and hospital groups. Based on the resource dependence theory, we investigated procurement-related strategies to improve medical supplies availability. We conducted semi-structured interviews with 39 procurement and supply chain management experts and derived seven propositions on buffering and bridging approaches for managing evolving resource dependencies and thereby strengthening supply chain resilience in a pandemic. Overall, we confirm the resource dependence theory's applicability for explaining companies' mitigation measures in a pandemic disruption. We find that bridging measures within the healthcare supply base, such as offering procurement support for suppliers or leveraging long-term buyer-supplier relationships, are more effective for securing medical supplies than buffering measures. Complementing bridging with buffering, such as extended upstream procurement or resource sharing among hospitals, can lead to superior risk mitigation as capacities of the present supplier base may not suffice. Furthermore, we extend the resource dependence theory by showing that the severity of disruptions caused by a pandemic triggers new forms of buffering external to the HCSC. Both traditional and new buffering measures establish novel flows of medical supplies in the HCSC that can enable higher supply security in a pandemic.     

A socio-economic optimization model for blood supply chain network design during the COVID-19 pandemic: An interactive possibilistic programming approach for a real case study

In uncertain circumstances like the COVID-19 pandemic, designing an efficient Blood Supply Chain Network (BSCN) is crucial. This study tries to optimally configure a multi-echelon BSCN under uncertainty of demand, capacity, and blood disposal rates. The supply chain comprises blood donors, collection facilities, blood banks, regional hospitals, and consumption points. A novel bi-objective Mixed-Integer Linear Programming (MILP) model is suggested to formulate the problem which aims to minimize network costs and maximize job opportunities while considering the adverse effects of the pandemic. Interactive possibilistic programming is then utilized to optimally treat the problem with respect to the special conditions of the pandemic. In contrast to previous studies, we incorporated socio-economic factors and COVID-19 impact into the BSCN design. To validate the developed methodology, a real case study of a Blood Supply Chain (BSC) is analyzed, along with sensitivity analyses of the main parameters. According to the obtained results, the suggested approach can simultaneously handle the bi-objectiveness and uncertainty of the model while finding the optimal number of facilities to satisfy the uncertain demand, blood flow between supply chain echelons, network cost, and the number of jobs created.     

One crisis,different paths to supply resilience: The case of ventilator procurement for the COVID-19 pandemic

This research explores supply resilience through an equifinality lens to establish how buying organizations impacted differently by the same extreme event can strategize and all successfully secure supply. We conduct case study research and use secondary data to investigate how three European governments sourced for ventilators during the first wave of COVID-19. The pandemic had an unprecedented impact on the ventilator market. It disrupted already limited supply and triggered a demand surge. We find multiple paths to supply resilience contingent on redundant capacity and local sourcing options at the pandemic's onset. Low redundancy combined with limited local sourcing options is associated with more diverse strategies and flexibility. The most notable strategy is spurring supplier innovation by fostering collaboration among actors in disparate industries. High redundancy combined with multiple local sourcing options is associated with more focused strategies and agility. One (counter-intuitive) strategy is the rationalization of the supply base.     

Leaders' Networking Behaviours in a Time of Crisis: A Qualitative Study on the Frontline against COVID-19

What do leaders do when they interact with followers and stakeholders in a time of crisis? What networking behaviours do leaders manifest in such a context of emergency? We answer these questions through qualitative research and cluster analysis conducted on a sample of leaders involved in community management in the most affected region in northern Italy during the three key phases of the COVID-19 pandemic. Our findings span a period of 18-months and show that leaders display a behavioural repertoire that includes six networking actions. Grouped together, these actions identify three clusters of leaders: Churners, who engage mainly in network generation and network termination; Divergent leaders, who manifest high levels of network conflict and re-construal; and Sense-makers, who are high in network deepening and teleology. Our research contributes to unveil the idiographic micro-foundations of networking behaviour during organizational jolts.