Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries

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.

Impact of H1N1, H7N9, ASFV, dengue virus and COVID-19 on pharmaceutical manufacturing firms' R&D investments and economic consequences: Evidence from China

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.

Export fluctuation and overcapacity in China’s manufacturing industry--The inspection of the causes of excess capacity from the perspective of external demand

Intuitively speaking,there is an inverse proportional relationship between exports and overcapacity,which means in export’s busy season enterprises would expand output and improve capacity utilisation rate but control yields to avoid dull sale in slack season,causing exacerbated excess capacity.However,this is just the reflections of“sales effect”on overcapacity by export fluctuation.For some enterprises,there is indeed“competition effect”which may alleviate overcapacity because enterprises face even more fierce domestic competition for the sake of weak exports and may increase the utilisation load of existing capacity in order to cut costs.A test is conducted in this paper to verify the relationship between export fluctuation and excess capacity based on data of China's manufacturing industry from 2001 to 2013.The overall results indicate that export fluctuation is not the significant cause for excess capacity.In the small and medium-sized enterprises or in industries with higher proportion of non-state capital,the negative relationship between exports and excess capacity is more obvious,with“sales effect”taking a dominant position.On the other hand,under the influence of“competition effect”,the relationship between the two may be positive.Thus,external demand shocks exert different influence on the alleviation of excess capacity of different industries,and extensively driven exports may not have anticipated effect on the dissolution of the excess capacity.To regulate overcapacity with the aid of external market,a fair and orderly competition environment should be provided to the export subjects of different size and ownerships.