The link between crude oil price and stock returns of the Group of Seven(G7)countries(Canada,France,Germany,Italy,Japan,the United Kingdom,and the United States)was analyzed in this study using monthly data from Janua...The link between crude oil price and stock returns of the Group of Seven(G7)countries(Canada,France,Germany,Italy,Japan,the United Kingdom,and the United States)was analyzed in this study using monthly data from January 1999 to March 2020.We adopt a similar approach to Kilian(Am Econ Rev 99(3):1053–1069,2009)and construct a structural vector autoregression framework to decompose crude oil price shocks into oil supply shock,oil aggregate demand shock,and oil-specific demand shock.We then explore the distinct effects of different kinds of oil price shocks from various sources.Based on the decomposed oil price shocks,we apply the connectedness approach and QQ regression to find time-varying co-movements and tail dependence between oil price shocks and G7 stock returns.There is no general correlation between the decomposed oil prices and stock returns in these countries.The effects of oil price shocks on stock returns across different stock market conditions appear to be heterogeneous.Oil supply shock appears to be a net transmitter of spillover effects for all G7 countries within the sample period.展开更多
Objective:To determine the impact of major disease epidemics on pharmaceutical manufacturing firms'Research&Development(R&D)investments and economic consequences.Methods:The sample consists of 1582 firm-ye...Objective:To determine the impact of major disease epidemics on pharmaceutical manufacturing firms'Research&Development(R&D)investments and economic consequences.Methods:The sample consists of 1582 firm-year observations from 2009 to 2022 in China,of which,26.6%of pharmaceutical companies are involved in the diagnosis and treatment of prevalent diseases.Linear models using R&D investments,patent applications,operating performances and stock returns as dependent variables are constructed separately to examine the response of pharmaceutical companies to disease epidemics and the resulting economic consequences.Results:The prevalence of five major diseases led to a 17.5%increase in the amount of R&D investment and an 87.8%rise in the ratio of R&D investment to total assets by disease-related pharmaceutical companies,compared to unrelated pharmaceutical companies.Further evidence indicated that the patent applications for disease-related firms increased by 44.3%relative to unrelated firms after the epidemics.Though the impacts of the epidemics on firms’operating performances were insignificant in the short term,a major disease epidemic was associated with an increase in stock returns of 67.4%and 44.6%,respectively,as measured by the capital asset pricing model and Fama-French five-factor model.Additional analysis revealed that the impacts of the epidemics on R&D investments and patent applications were more pronounced for non-state-owned enterprises than state-owned enterprises.Conclusions:This study demonstrates that disease-related pharmaceutical firms respond to the disease epidemics through increasing R&D investment.More patent applications and higher market value are the main gains from the firms’increased investments in R&D following the epidemic,rather than the improvements of short-term operating performances.展开更多
基金This work is supported by the National Natural Science Foundation of PRC(71971098).
文摘The link between crude oil price and stock returns of the Group of Seven(G7)countries(Canada,France,Germany,Italy,Japan,the United Kingdom,and the United States)was analyzed in this study using monthly data from January 1999 to March 2020.We adopt a similar approach to Kilian(Am Econ Rev 99(3):1053–1069,2009)and construct a structural vector autoregression framework to decompose crude oil price shocks into oil supply shock,oil aggregate demand shock,and oil-specific demand shock.We then explore the distinct effects of different kinds of oil price shocks from various sources.Based on the decomposed oil price shocks,we apply the connectedness approach and QQ regression to find time-varying co-movements and tail dependence between oil price shocks and G7 stock returns.There is no general correlation between the decomposed oil prices and stock returns in these countries.The effects of oil price shocks on stock returns across different stock market conditions appear to be heterogeneous.Oil supply shock appears to be a net transmitter of spillover effects for all G7 countries within the sample period.
基金supported by the National Natural Science Foundation of China (No.71903030)the Natural Science Foundation of Fujian Province (No.2020J01562)the Funds for Distinguished Young Scientists of Fujian Agriculture and Forestry University (No.XJQ2020S3).
文摘Objective:To determine the impact of major disease epidemics on pharmaceutical manufacturing firms'Research&Development(R&D)investments and economic consequences.Methods:The sample consists of 1582 firm-year observations from 2009 to 2022 in China,of which,26.6%of pharmaceutical companies are involved in the diagnosis and treatment of prevalent diseases.Linear models using R&D investments,patent applications,operating performances and stock returns as dependent variables are constructed separately to examine the response of pharmaceutical companies to disease epidemics and the resulting economic consequences.Results:The prevalence of five major diseases led to a 17.5%increase in the amount of R&D investment and an 87.8%rise in the ratio of R&D investment to total assets by disease-related pharmaceutical companies,compared to unrelated pharmaceutical companies.Further evidence indicated that the patent applications for disease-related firms increased by 44.3%relative to unrelated firms after the epidemics.Though the impacts of the epidemics on firms’operating performances were insignificant in the short term,a major disease epidemic was associated with an increase in stock returns of 67.4%and 44.6%,respectively,as measured by the capital asset pricing model and Fama-French five-factor model.Additional analysis revealed that the impacts of the epidemics on R&D investments and patent applications were more pronounced for non-state-owned enterprises than state-owned enterprises.Conclusions:This study demonstrates that disease-related pharmaceutical firms respond to the disease epidemics through increasing R&D investment.More patent applications and higher market value are the main gains from the firms’increased investments in R&D following the epidemic,rather than the improvements of short-term operating performances.
