Correction to: Volatility impacts on the European banking sector: GFC and COVID-19.

[This corrects the article DOI: 10.1007/s10479-022-04523-8.].

Volatility impacts on the European banking sector: GFC and COVID-19.

This paper analyses the volatility transmission between European Global Systematically Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model is applied to determine the dynamic correlation between returns of Europe's GSIBs and the world's most prominent measure of market "fear", the CBOE Volatility Index (VIX). The results identify a higher negative co-relationship between the VIX and GSIB returns during the COVID-19 period compared with the Global Financial Crisis (GFC), with one-day lagged changes in the VIX negatively Granger-causing bank returns. The asymmetric impact of changes in implied volatility is examined by quantile regressions, with the findings showing that in the lower quartile-where extreme negative bank returns are present-jumps in the VIX are highly significant. This effect is more pronounced during COVID-19 than during the GFC. Additional robustness analysis shows that these findings are consistent during the periods of the Swine Flu and Zika virus epidemics.

Information Transfer between Stock Market Sectors: A Comparison between the USA and China.

Information diffusion within financial markets plays a crucial role in the process of price formation and the propagation of sentiment and risk. We perform a comparative analysis of information transfer between industry sectors of the Chinese and the USA stock markets, using daily sector indices for the period from 2000 to 2017. The information flow from one sector to another is measured by the transfer entropy of the daily returns of the two sector indices. We find that the most active sector in information exchange (i.e., the largest total information inflow and outflow) is the non-bank financial sector in the Chinese market and the technology sector in the USA market. This is consistent with the role of the non-bank sector in corporate financing in China and the impact of technological innovation in the USA. In each market, the most active sector is also the largest information sink that has the largest information inflow (i.e., inflow minus outflow). In contrast, we identify that the main information source is the bank sector in the Chinese market and the energy sector in the USA market. In the case of China, this is due to the importance of net bank lending as a signal of corporate activity and the role of energy pricing in affecting corporate profitability. There are sectors such as the real estate sector that could be an information sink in one market but an information source in the other, showing the complex behavior of different markets. Overall, these findings show that stock markets are more synchronized, or ordered, during periods of turmoil than during periods of stability.

Why are you looking at me? It's because I'm talking, but mostly because I'm staring or not doing much.

Our attention is particularly driven toward faces, especially the eyes, and there is much debate over the factors that modulate this social attentional orienting. Most of the previous research has presented faces in isolation, and we tried to address this shortcoming by measuring people's eye movements whilst they observe more naturalistic and varied social interactions. Participants' eye movements were monitored whilst they watched three different types of social interactions (monologue, manual activity, active attentional misdirection), which were either accompanied by the corresponding audio as speech or by silence. Our results showed that (1) participants spent more time looking at the face when the person was giving a monologue, than when he/she was carrying out manual activities, and in the latter case they spent more time fixating on the person's hands. (2) Hearing speech significantly increases the amount of time participants spent looking at the face (this effect was relatively small), although this was not accounted for by any increase in mouth-oriented gaze. (3) Participants spent significantly more time fixating on the face when direct eye contact was established, and this drive to establish eye contact was significantly stronger in the manual activities than during the monologue. These results highlight people's strategic top-down control over when they attend to faces and the eyes, and support the view that we use our eyes to signal non-verbal information.

Complexity in financial asset returns: Evidence from the compass rose.

The compass rose pattern in financial data may indicate the presence of a nonlinear, possibly chaotic, data generating mechanism. The analysis of three key financial asset and denoised returns, gold, the Great British Pound/US dollar spot exchange rate, and the Standard & Poor's 500 stock index, reveals that over four equivalent subperiods, from 1996 to 2015, the compass rose pattern changes. This finding provides an opportunity to establish how noise affects financial time series. We conclude that the compass rose pattern is unlikely the product of an underlying nonlinear structure, since there is evidence of nonlinearity in all time periods, even those where the compass rose pattern is not evident. Therefore, the compass rose patterns, seen in the denoised data, suggest that the presence of noise masks the underlying dynamics of the asset returns.

Saccades predict and synchronize to visual rhythms irrespective of musical beats.

Music has been shown to entrain movement. One of the body's most frequent movements, saccades, are arguably subject to a timer that may also be susceptible to musical entrainment. We developed a continuous and highly-controlled visual search task and varied the timing of the search target presentation, it was either gaze-contingent, tap-contingent, or visually-timed. We found: (1) explicit control of saccadic timing is limited to gross duration variations and imprecisely synchronized; (2) saccadic timing does not implicitly entrain to musical beats, even when closely aligned in phase; (3) eye movements predict visual onsets produced by motor-movements (finger-taps) and externally-timed sequences, beginning fixation prior to visual onset; (4) eye movement timing can be rhythmic, synchronizing to both motor-produced and externally timed visual sequences; each unaffected by musical beats. These results provide evidence that saccadic timing is sensitive to the temporal demands of visual tasks and impervious to influence from musical beats.

Stylized facts of intraday precious metals.

This paper examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency for gold, silver, platinum and palladium from May 2000 to April 2015. We study the full sample period, as well as three subsamples to determine how high-frequency data of precious metals have developed over time. We find that over the full sample, the number of trades has increased substantially over time for each precious metal, while the bid-ask spread has narrowed over time, indicating an increase in liquidity and price efficiency. We also find strong evidence of periodicity in returns, volatility, volume and bid-ask spread. Returns and volume both experience strong intraday periodicity linked to the opening and closing of major markets around the world while the bid-ask spread is at its lowest when European markets are open. We also show a bilateral Granger causality between returns and volatility of each precious metal, which holds for the vast majority subsamples.

The compass rose pattern in electricity prices.

The "compass rose pattern" is known to appear in the phase portraits, or scatter diagrams, of the high-frequency returns of financial series. We first show that this pattern is also present in the returns of spot electricity prices. Early researchers investigating these phenomena hoped that these patterns signaled the presence of rich dynamics, possibly chaotic or fractal in nature. Although there is a definite autoregressive and conditional heteroscedasticity structure in electricity returns, we find that after simple filtering no pattern remains. While the series is non-normal in terms of their distribution and statistical tests fail to identify significant chaos, there is evidence of fractal structures in periodic price returns when measured over the trading day. The phase diagram of the filtered returns provides a useful visual check on independence, a property necessary for pricing and trading derivatives and portfolio construction, as well as providing useful insights into the market dynamics.