Information flow between asset classes during extreme events

I The Evolving International Financial Environment.- 1 Global Financial Markets: The Past, The Future, and Public Policy Questions.- 2 The Telecommunications and Information Revolution: Implications for Financial Markets, Trading Systems, and Regulation.- 3 The Financial System and Global Socioeconomic Structural Changes.- II Banking and Financial Intermediary Markets.- 4 Japanese Banking, Financial Markets, and Competitive Equality.- 5 Banking in the United Kingdom and Continental Europe.- 6 Banking and Financial Intermediary Markets in the United States: Where From, Where To?.- 7 Financial Intermediation and Liberalization in Japan.- III Securities Markets.- 8 Internationalization and Regulation of the World's Securities Markets.- 9 Japanese Securities Markets and Global Harmonization.- 10 Reflections on the CFTC/SEC Jurisdictional Dispute.- IV Futures Markets.- 11 Regulation of Futures Markets in the United Kingdom.- 12 The Japanese Financial Futures Market: Present and Future Prospects.- 13 The Internationalization of Futures Markets: Issues for U.S. Markets.- V International Clearance, Settlement, and Payment Procedures: The Role of Regulation.- 14 Automation of the Financial Markets: Implications for Clearance, Settlement, and Payment Procedures.- 15 Twenty-Four Hour Trading, Clearance, and Settlement: The Role of Banks.- 16 Screen-Based Trading in Japanese Financial Markets.- 17 Cooperative Approaches to Reducing Risks in Global Financial Markets.- VI Is There a Systemic Risk Problem in International Financial Markets?.- 18 Systemic Risk in International Securities Markets.- 19 Government Officials as a Source of Systemic Risk in International Financial Markets.- 20 Systemic Risk and International Financial Markets.- VII National Autonomy Versus International Cooperation.- 21 Competition Versus Competitive Equality in International Financial Markets.- 22 Regulatory Harmonization To Achieve Effective International Competition.- 23 Regulating Global Financial Markets: Problems and Solutions.

Foreign Exchange Reserves of the countries play a major role in managing exchange rate and monetary policy, particularly in emerging countries as Sri Lanka. Therefore, it is important to manage foreign exchange reserves in an open and transparent manner with clear objectives of what is going to be achieved. For a country like Sri Lanka the main objective would be the safety of the assets since it is difficult to absorb substantial risks in managing foreign exchange reserves due to relative lower size compared to its exposure to external sector of the economy. When it comes to gold as an assets class is considered to safe-haven assets due to its nature of higher return in times of crisis and inflationary periods. The objective of this study is to explore the diversification impact of gold on foreign exchange reserves in Sri Lanka for the period from 2007 to 2023. To explore the impact of diversification, correlation between gold and existing foreign exchange reserves and additional excess return per unit of risk provide with the inclusion of gold into the portfolio were used to analyze the possible diversification impact. The results showed that there is an increase in excess return with the addition of 1% to 5% of gold as a percentage of total foreign exchange reserves, while correlation of gold with existing portfolio was less than 0.5 indicating diversification impact. Further, the Sharpe ratio was also seen increasing when the gold composition in foreign exchange reserve portfolio was increased. It was found that gold can be considered as an asset class which help diversification for foreign exchange reserves of Sri Lanka, even though the same are managed in very conservatively.

The study investigated the influence of asset classes like bond, commodity, venture capital, and real estate on the performance of equity as an asset class. The bond index, commodity index, U.S. venture capital index, and real estate index data was taken only for the USA market. The study revealed that U.S. equity market doesn’t perform in isolation and is highly related to other asset classes except bond/debt asset class. Therefore, it can be concluded that equity market doesn’t work in isolation and it related to performance of other asset classes in the financial market.

This study test whether gold has a property of safe-haven asset during the COVID-19 pandemic by performing multivariate time series analysis against multiple asset classes (equity, fixed income, property fund and REIT, and BITCOIN). Dividing testing period into pre- (2015 -2019) and on-going COVID-19 period (2020), the result of long run cointegration test came out that gold is shown to have a cointegrating relationship only during COVID-19 and no cointegration during pre-pandemic. This can be indicated that gold does not have the property of being a hedging instrument over a long run but consider itself to be a hedging asset over the pandemic period. For short run relationship during the COVID-19, the result from impulse response shows gold to be a strong safe-haven asset only against traditional asset class such as equity, fixed income, and real estate, but not for the alternative asset class like BITCOIN as the impact from the shock of S&P500, UST and NAREIT to gold are in the opposite direction compared to pre-pandemic.

Assessing illness severity in the intensive care unit (ICU) is crucial for early prediction of deterioration and prognosis. Traditional prognostic scores often treat organ systems separately, overlooking the body's interconnected nature. Network physiology offers a new approach to understanding these complex interactions. This study used the concept of transfer entropy (TE) to measure information flow between heart rate (HR), respiratory rate (RR), and capillary oxygen saturation ([Formula: see text]) in critically ill patients with sepsis, hypothesizing that TE between these signals would correlate with disease outcome. The retrospective cohort study utilized the Medical Information Mart for Intensive Care III Clinical Database, including patients who met Sepsis-3 criteria on admission and had 30 min of continuous HR, RR, and [Formula: see text] data. TE between the signals was calculated to create physiological network maps. Cox regression assessed the relationship between cardiorespiratory network indices and both deterioration [Sequential Organ Failure Assessment (SOFA) score increase of ≥2 points at 48 h] and 30-day mortality. Among 164 patients, higher information flow from [Formula: see text] to HR [TE ([Formula: see text] → HR)] and reciprocal flow between HR and RR [TE (RR → HR) and TE (HR → RR)] were linked to reduced mortality, independent of age, mechanical ventilation, SOFA score, and comorbidity. Reductions in TE (HR → RR), TE (RR → HR), TE ([Formula: see text] → RR), and TE ([Formula: see text] → HR) were associated with an increased risk of 48-h deterioration. After adjustment for potential confounders, only TE (HR → RR) and TE (RR → HR) remained statistically significant. The study confirmed that physiological network mapping using routine signals in patients with sepsis could indicate illness severity and that higher TE values were generally associated with improved outcomes.NEW & NOTEWORTHY This study adopts an integrative approach through physiological network analysis to investigate sepsis, with the goal of identifying differences in information transfer between physiological signals in sepsis survivors versus nonsurvivors. We found that greater information flow between heart rate, respiratory rate, and capillary oxygen saturation was associated with reduced mortality, independent of age, disease severity, and comorbidities. In addition, reduced information transfer was linked to an increased risk of 48-h deterioration in patients with sepsis.

Assessing illness severity in the ICU is crucial for early prediction of deterioration and prognosis. Traditional prognostic scores often treat organ systems separately, overlooking the body’s interconnected nature. Network physiology offers a new approach to understanding these complex interactions. This study used the concept of transfer entropy (TE) to measure information flow between heart rate (HR), respiratory rate (RR), and capillary oxygen saturation (SpO2) in critically ill sepsis patients, hypothesizing that TE between these signals would correlate with disease outcome. The retrospective cohort study utilized the MIMIC III Clinical Database, including patients who met Sepsis-3 criteria on admission and had 30 minutes of continuous HR, RR, and SpO2data. TE between the signals was calculated to create physiological network maps. Cox regression assessed the relationship between cardiorespiratory network indices and both deterioration (SOFA score increase of ≥2 points at 48 hours) and 30-day mortality. Among 164 patients, higher information flow from SpO2to HR [TE(SpO2→HR)] and reciprocal flow between HR and RR [TE(RR→HR) and TE(HR→RR)] were linked to reduced mortality, independent of age, mechanical ventilation, SOFA score, and comorbidity. Reductions in TE(HR → RR), TE(RR→HR), TE(SpO2→RR), and TE(SpO2→HR) were associated with increased risk of 48-hour deterioration. After adjustment for potential confounders, only TE(HR→RR) and TE(RR→HR) remained statistically significant. The study confirmed that physiological network mapping using routine signals in sepsis patients could indicate illness severity and that higher TE values were generally associated with improved outcomes.New & NoteworthyThis study adopts an integrative approach through physiological network analysis to investigate sepsis, with the goal of identifying differences in information transfer between physiological signals in sepsis survivors versus non-survivors. We found that greater information flow between heart rate, respiratory rate, and capillary oxygen saturation was associated with reduced mortality, independent of age, disease severity, and comorbidities. Additionally, reduced information transfer was linked to an increased risk of 48-hour deterioration in patients with sepsis.

A novel method of recording neural activity from the rodent medial prefrontal cortex reveals that the medial prefrontal cortex is composed of functionally distinct subregions that process economic decision information differentially along a dorso-ventral gradient.

Geopolitical risks have long been recognized as important determinants of asset price movements, with gold historically regarded as a safe haven asset during periods of uncertainty. The Israeli-Palestinian conflict, which escalated on October 7, 2023, has intensified global geopolitical tensions, raising important questions about its impact on financial markets. This study investigates the influence of this conflict on gold prices, using daily data from two distinct periods, before the conflict, from January 1, 2023, to October 6, 2023, and during the conflict, from October 9, 2023, to September 30, 2024. By applying ARCH, GARCH, and EGARCH models, we aim to quantify the extent to which geopolitical instability affects gold prices. Our findings reveal a significant impact of the Israeli-Palestinian conflict on gold prices, reaffirming the role of gold as a safe haven asset amid geopolitical turbulence. These results contribute to the understanding of how geopolitical events influence different asset classes, providing valuable insights for investors and policymakers in managing risk and making informed investment decisions.

Independent Auditor’s Report

PurposeThis article unveils first the lead–lag structure between the confirmed cases of COVID-19 and financial markets, including the stock (DJI), cryptocurrency (Bitcoin) and commodities (crude oil, gold, copper and brent oil) compared to the financial stress index. Second, this paper assesses the role of Bitcoin as a hedge or diversifier by determining the efficient frontier with and without including Bitcoin before and during the COVID-19 pandemic.Design/methodology/approachThe authors examine the lead–lag relationship between COVID-19 and financial market returns compared to the financial stress index and between all markets returns using the thermal optimal path model. Moreover, the authors estimate the efficient frontier of the portfolio with and without Bitcoin using the Bayesian approach.FindingsEmploying thermal optimal path model, the authors find that COVID-19 confirmed cases are leading returns prices of DJI, Bitcoin and crude oil, gold, copper and brent oil. Moreover, the authors find a strong lead–lag relationship between all financial market returns. By relying on the Bayesian approach, findings show when Bitcoin was included in the portfolio optimization before or during COVID-19 period; the Bayesian efficient frontier shifts to the left giving the investor a better risk return trade-off. Consequently, Bitcoin serves as a safe haven asset for the two sub-periods: pre-COVID-19 period and COVID-19 period.Practical implicationsBased on the above research conclusions, investors can use the number of COVID-19 confirmed cases to predict financial market dynamics. Similarly, the work is helpful for decision-makers who search for portfolio diversification opportunities, especially during health crisis. In addition, the results support the fact that Bitcoin is a safe haven asset that should be combined with commodities and stocks for better performance in portfolio optimization and hedging before and during COVID-19 periods.Originality/valueThis research thus adds value to the existing literature along four directions. First, the novelty of this study lies in the analysis of several financial markets (stock, cryptocurrencies and commodities)’ response to different pandemics and epidemics events, financial crises and natural disasters (Correia et al., 2020; Ma et al., 2020). Second, to the best of the authors' knowledge, this is the first study that examine the lead–lag relationship between COVID-19 and financial markets compared to financial stress index by employing the Thermal Optimal Path method. Third, it is a first endeavor to analyze the lead–lag interplay between the financial markets within a thermal optimal path method that can provide useful insights for the spillover effect studies in all countries and regions around the world. To check the robustness of our findings, the authors have employed financial stress index compared to COVID-19 confirmed cases. Fourth, this study tests whether Bitcoin is a hedge or diversifier given this current pandemic situation using the Bayesian approach.

This study examines financial market responses to tariff announcements made by Donald Trump during his 2025 presidency, focusing on comparing India's reactions to those of key global markets. Using a qualitative, event-based methodology relying on secondary data from reputable sources, 30 tariff-related events were analyzed within a ±1-day window to capture short-term responses across four asset classes: stock indices, money markets, exchange rates, and gold prices. The findings reveal that U.S. tariff announcements have immediate and far-reaching effects on global financial markets. Stock markets worldwide experienced sharp declines, with the U.S., Germany, Japan, and Hong Kong seeing the most significant sell-offs. Gold prices consistently increased as investors sought safe-haven assets amid increased uncertainty. Currency markets showed divergent responses, with the yen and euro appreciating, while emerging market currencies, such as the Indian rupee, weakened. Money markets generally loosened in anticipation of central bank support. India's financial markets displayed relatively milder volatility and limited spillovers compared to other major economies, indicating a degree of insulation. However, India's directional movements remained aligned with global trends, highlighting its growing integration into international markets. The study confirms the notion that U.S. policy shocks have worldwide implications, validating the adage

Editorial| July 2023 Anesthesia and the Merry-go-round of Information in the Brain Jamie W. Sleigh, M.D.; Jamie W. Sleigh, M.D. 1Department of Anaesthesiology, Waikato Clinical Campus, Faculty of Medical and Health Sciences, University of Auckland, Hamilton, New Zealand. Search for other works by this author on: This Site PubMed Google Scholar Logan Voss, Ph.D. Logan Voss, Ph.D. 2Department of Anaesthesiology, Waikato Clinical Campus, Faculty of Medical and Health Sciences, University of Auckland, Hamilton, New Zealand. Search for other works by this author on: This Site PubMed Google Scholar Author and Article Information This editorial accompanies the article on p. 49. Accepted for publication March 30, 2023. Address correspondence to Dr. Sleigh: jamie.sleigh@waikatodhb.health.nz Anesthesiology July 2023, Vol. 139, 4–5. https://doi.org/10.1097/ALN.0000000000004571 Connected Content Article: Measures of Information Content during Anesthesia and Emergence in the Caenorhabditis elegans Nervous System Views Icon Views Article contents Figures & tables Video Audio Supplementary Data Peer Review Share Icon Share Facebook Twitter LinkedIn Email Cite Icon Cite Get Permissions Search Site Citation Jamie W. Sleigh, Logan Voss; Anesthesia and the Merry-go-round of Information in the Brain. Anesthesiology 2023; 139:4–5 doi: https://doi.org/10.1097/ALN.0000000000004571 Download citation file: Ris (Zotero) Reference Manager EasyBib Bookends Mendeley Papers EndNote RefWorks BibTex toolbar search Search Dropdown Menu toolbar search search input Search input auto suggest filter your search All ContentAll PublicationsAnesthesiology Search Advanced Search Topics: brain It is widely believed that anesthesia is a syndrome caused by drug-induced disruption of coordination within and between neuronal networks. The underlying teleological assumption is that normal function of the central nervous system requires precise electrical and chemical communication between neurons, and communication implies flow of “information.” In this issue of Anesthesiology is an article by Chang et al.1 in which isoflurane was given to a nematode (Caenorhabditis elegans), and the resultant real-time changes in activity of about half of its 302 neurons were visualized using high-resolution calcium fluorescence imaging. In this study, the authors focused on how anesthesia alters interneuronal coupling by measuring the entropy of the calcium transients in the imaged neurons. The meaning of the word “entropy” is intuitively difficult. It is often used as a synonym for disorder, uncertainty, or unpredictability. To take the extreme examples: if a neuron has no activity (a... You do not currently have access to this content.

Corruption has a profound impact on many aspects of a society, such as, productivity growth, foreign direct investment or income equality. We propose that corruption also has an impact on stability of financial markets. In this study, we demonstrate a strong correlation between corruption and financial market stability and compare corruption with other social and economic factors in terms of their correlations with financial market stability. The data used in this study include financial data of 29 countries’ index funds for the last five years (2002–07), the Corruption Perception Index 2007 and the Index of Economic Freedom 2007. JEL Classification: D73, G15, G32

This study aims to analyze the influence of global gold price fluctuations on the Jakarta Composite Index (JCI), with inflation as a moderating variable. Using portfolio theory and the efficient market hypothesis, this study examines gold as a safe-haven asset and its relationship with the domestic capital market during periods of inflationary pressure. The data used are secondary time series data analyzed using the Moderate Regression Analysis (MRA) method. The results show that gold prices have a significant influence on JCI movements, but the strength of this relationship depends strongly on the inflation rate. Inflation is found to act as a moderating variable, strengthening the shift in investment from the stock market to gold when the currency's purchasing power declines. This research provides strategic implications for investors in diversifying their portfolios and for policymakers in maintaining the stability of the national financial market.

Human-induced climate change and the resulting increase in severity and frequency of extreme weather events is a significant threat to cultural heritage. Those responsible for the care, maintenance and conservation of cultural heritage urgently need user-driven, site specific climate risk assessments. A risk assessment framework is developed: the Cultural Heritage Climate Risk Assessment (CHCRA). The CHCRA employs and combines high-resolution climate models, expert elicitation, and literature to estimate the expected damage to physical cultural heritage buildings from extreme events. As a pilot study, the CHCRA is applied to cultural heritage buildings in the Old and New Towns Edinburgh (ONTE), Scotland, which is part of the Edinburgh World Heritage Site. The UK Met Office UKCP18 2.2 km high-resolution climate model, regridded to 5 km, is used to analyse extreme 1-day rainfall events during 1981–2000, 2021–40 and 2061–80, driven by the RCP8.5 scenario. Simulated precipitation is combined with impact information to estimate expected damage per year. Autumn and summer expected damages are much larger than that from spring and winter. Expected damage per year, as percentage of rebuild cost, for autumn increases from 0.4% (5–95% CI: 0.2–0.6%) in the baseline period to 0.9% (0.6–1.2%) in 2021-40 and 1.2% (0.8–1.7%) in 2061-80. Summer sees a trend in expected damage per year increasing from 0.2% (0.09–0.15%) in the baseline period to 0.5% (0.3–0.8%) in 2021-40 and 1.0% (0.7–1.4%) in 2061-80. Combined annual expected damage per year increases from 0.6% (0.3–1.1%) in the baseline period to 1.5% (0.8–2.3%) in 2021-40 and 2.3% (1.4–3.3%) in 2061-80. A 3- to 4-fold increase in annual expected damage to cultural buildings in the ONTE is expected towards the end of the 21st century due to human-induced climate change.