Seasonality and competition select for variable germination behavior in perennials

The common occurrence of within-population variation in germination behavior and associated traits such as seed size has long fascinated evolutionary ecologists. In annuals, unpredictable environments are known to select for bet-hedging strategies causing variation in dormancy duration and germination strategies. Variation in germination timing and associated traits is also commonly observed in perennials, and often tracks gradients of environmental predictability. Although bet-hedging is thought to occur less frequently in long-lived organisms, these observations suggest a role of bet-hedging strategies in perennials occupying unpredictable environments. We use complementary numerical and evolutionary simulation models of within- and among-individual variation in germination behavior in seasonal environments to show how bet-hedging interacts with density dependence, life-history traits, and priority effects due to competitive differences among germination strategies. We reveal substantial scope for bet-hedging to produce variation in germination behavior in long-lived plants, when "false starts" to the growing season results in either competitive advantages or increased mortality risk for alternative germination strategies. Additionally, we find that two distinct germination strategies can evolve and coexist through negative frequency-dependent selection. These models extend insights from bet-hedging theory to perennials and explore how competitive communities may be affected by ongoing changes in climate and seasonality patterns.

Financial stress effects on financial markets: dynamic connectedness and portfolio hedging

PurposeThis paper investigates the impact of financial stress on the dynamic connectedness and hedging for oil market and stock-bond markets of the Gulf Cooperation Council (GCC).Design/methodology/approachThis study uses the wavelet coherence model to examine the interactions between financial stress, oil and GCC stock and bond markets. Second, the authors apply the time–frequency connectedness developed by Barunik and Krehlik (2018) so as to identify the direction and scale connectedness among these markets. Third, the authors examine the optimal weights, hedge ratio and hedging effectiveness for oil and financial markets based on constant conditional correlation (CCC), dynamic conditional correlation (DCC) and Baba-Engle-Kraft-Kroner (BEKK)-GARCH models.FindingsThe authors have found that the correlation between the oil and stock-bond markets tends to be stable in nonshock periods, but it evolves during oil and financial shocks at lower frequencies. Moreover, the authors find that the oil market and financial stress are the main transmitters of risks. The connectedness is mainly driven by the long term, demonstrating that the markets rapidly process the financial stress spillover effect, and the shock is transmitted over the long run. Optimal weights show different patterns for each negative and positive case of the financial stress index. In the negative (positive) financial stress case, investors should have more oil (stocks) than stocks (oil) in their portfolio in order to minimize risk.Originality/valueThis study has gone some way toward enhancing one’s understanding of the time–frequency connectedness between the financial stress, oil and GCC stock-bond markets. Second, it identifies the impact of financial stress into hedging strategies offering important insights for investors aiming at managing and reducing portfolio risk.

Symmetric and Asymmetric Causal Relationship between Oil Prices and G7 Stock Markets: A Bootstrap Rolling-Window Granger Causality Test

This study examines the causal relationships between oil prices and the MSCI stock index of G7 countries between September 2004 and October 2020. This study is novel in implementing symmetric and asymmetric time-varying causality tests based on the bootstrap rolling-window approach. The results reveal that the causal link between oil prices and G7 stock markets is time-dependent. The periods of bidirectional causality roughly coincide with the global financial crisis and the ongoing COVID-19 pandemic. When asymmetry is accounted for, the results suggest an asymmetric causality between the two markets expressed by different patterns regarding positive and negative oil shocks. The results also indicate symmetric causality during the COVID-19 pandemic. These findings have implications for portfolio design and hedging strategies that are important to both policymakers and investors.

Are ESG stocks safe-haven during COVID-19?

Purpose The purpose of this study is to investigate safe-haven properties of environmental, social and governance (ESG) stocks in global and emerging ESG stock markets during the times of COVID-19 so that portfolio managers and equity market investors could decide to use ESG stocks in their portfolio hedging strategies during times of health and market crisis similar to COVID-19 pandemic. Design/methodology/approach The study uses a wavelet coherence framework on four major ESG stock indices from global and emerging stock markets, and two proxies of COVID-19 fear over the period from 5 February 2020 to 18 March 2021. Findings The results of the study show a positive co-movement of the global COVID-19 fear index (GFI) with ESG stock indices on the frequency band of 32 to 64 days, which confirms hedging and safe-haven properties of ESG stocks using the health fear proxy of COVID-19. However, the relationship between all indices and GFI is mixed and inconclusive on a frequency of 0–8 days. Further, the findings do not support the safe-haven characteristics of ESG indices using the market fear proxy (IDEMV index) of COVID-19. The robustness analysis using the CBOE VIX as a proxy of market fear supports that ESG indices do not possess safe-haven properties. The results of the study conclude that the safe-haven properties of ESG indices during the ongoing COVID-19 pandemic is contingent upon the proxy of COVID-19 fear. Practical implications The findings have important implications for the equity investors and assetty managers to improve their portfolio performance by including ESG stocks in their portfolio choice during the COVID-19 pandemic and similar health crisis. However, their investment decisions could be affected by the choice of COVID-19 proxy. Originality/value The authors believe in the originality of the paper due to following reasons. First, to the best of the knowledge, this is the first study investigating the safe-haven properties of ESG stocks. Second, the authors use both health fear (GFI) and market fear (IDEMV index) proxies of COVID-19 to compare whether safe-haven properties are characterized by health fear or market fear due to COVID-19. Finally, the authors use the wavelet coherency framework, which not only takes both time and frequency dimensions of the data into account but also remains unaffected by data stationarity and size issues.

On Market Completions Approach to Option Pricing

Option pricing is one of the most important problems of contemporary quantitative finance. It can be solved in complete markets with non-arbitrage option price being uniquely determined via averaging with respect to a unique risk-neutral measure. In incomplete markets, an adequate option pricing is achieved by determining an interval of non-arbitrage option prices as a region of negotiation between seller and buyer of the option. End points of this interval characterise the minimum and maximum average of discounted pay-off function over the set of equivalent risk-neutral measures. By estimating these end points, one constructs super hedging strategies providing a risk-management in such contracts. The current paper analyses an interesting approach to this pricing problem, which consists of introducing the necessary amount of auxiliary assets such that the market becomes complete with option price uniquely determined. One can estimate the interval of non-arbitrage prices by taking minimal and maximal price values from various numbers calculated with the help of different completions. It is a dual characterisation of option prices in incomplete markets, and it is described here in detail for the multivariate diffusion market model. Besides that, the paper discusses how this method can be exploited in optimal investment and partial hedging problems.

Achieving a ‘Delicate Equilibrium:’ Are Southeast Asia’s Maritime States Indonesia and the Philippines Hedging China?

<p>One of the prescient questions within international relations today concerns the rise of China and what strategies states should deploy in response. This is particularly pertinent in the Asia Pacific neighbourhood. Southeast Asian states especially face a perennial challenge: how to balance economic and security interests between China and the US. This thesis examines the concept of hedging as a means of understanding the strategic choices adopted by the Indonesia and the Philippines in response to rising Chinese hegemony in Asia. This thesis applies the innovative hedging model developed by Kuik to determine if Indonesia and the Philippines are hedging China and, if so, what strategies Jakarta and Manila have adopted. The application of Kuik’s model to the foreign policy strategies and behaviours of Indonesia and the Philippines has been a useful approach to determine whether these two cases are hedging China and to what degree. This thesis concludes that Indonesia and the Philippines have adopted hedging strategies comprised of micro options which are not static but fluid and dynamic. This study further demonstrates that understanding the drivers and behaviour of key Southeast Asian states and the degrees to which they are rejecting or accepting power is critical.</p>

Achieving a ‘Delicate Equilibrium:’ Are Southeast Asia’s Maritime States Indonesia and the Philippines Hedging China?

<p>One of the prescient questions within international relations today concerns the rise of China and what strategies states should deploy in response. This is particularly pertinent in the Asia Pacific neighbourhood. Southeast Asian states especially face a perennial challenge: how to balance economic and security interests between China and the US. This thesis examines the concept of hedging as a means of understanding the strategic choices adopted by the Indonesia and the Philippines in response to rising Chinese hegemony in Asia. This thesis applies the innovative hedging model developed by Kuik to determine if Indonesia and the Philippines are hedging China and, if so, what strategies Jakarta and Manila have adopted. The application of Kuik’s model to the foreign policy strategies and behaviours of Indonesia and the Philippines has been a useful approach to determine whether these two cases are hedging China and to what degree. This thesis concludes that Indonesia and the Philippines have adopted hedging strategies comprised of micro options which are not static but fluid and dynamic. This study further demonstrates that understanding the drivers and behaviour of key Southeast Asian states and the degrees to which they are rejecting or accepting power is critical.</p>