Table 9.
News events with largest denoted frequency per date of largest SSEB volatility spillover.
| SSEB & Oil | % | COVID-19 period | COVID-19 influence | FT main headline | SSEB & bitcoin | % | COVID-19 period | COVID-19 influence | FT main headline |
|---|---|---|---|---|---|---|---|---|---|
| 31/Dec/2019 | 50.84 | China | Yes | Bonds – Bond market barometer points to investor optimism as year ends | 18/Nov/2019 | 574.92 | China | Yes | Oil – Aramco pares back fundraising goal to $25bn in latest IPO hitch |
| 17/Sep/2019 | 19.56 | No | No | Oil – Oil price spikes as fears mount over Saudi supply disruption | 31/Dec/2019 | 32.83 | World | Yes | Bonds – Bond market barometer points to investor optimism as year ends |
| 16/Sep/2019 | 13.61 | No | No | Oil – Saudis seek to reassure markets as attack halves oil production | 19/Dec/2019 | 5.05 | China | Yes | Economic – Fiat Chrysler agrees merger with Peugeot to forget €40bn carmaker |
| 18/Nov/2019 | 13.46 | China | Yes | Oil – Aramco pares back fundraising goal to $25bn in latest IPO hitch | 06/Dec/2019 | 4.37 | China | Yes | Oil – Saudi Aramaco's $25.6bn breaks IPO record despite valuation blow |
| 17/Jan/2020 | 3.03 | China | Yes | Oil – Berlin secures €40bn deal with regions to end use of coal by 2038 | 05/Dec/2019 | 2.58 | China | Yes | Political – Germany sees Kremlin's hand in Berlin murder of Chechen rebel |
| 15/Aug/2019 | 2.99 | No | No | Economic – Bonds sound recession alarm as China and Germany show strain | 09/Mar/2020 | 2.46 | World | Yes | Coronavirus – Italy quarantines vast parts of rich north as virus cases surge |
| 16/Sep/2019 | 2.50 | No | No | Oil – Saudis seek to reassure markets as attack halves oil production | 13/Mar/2020 | 1.93 | World | Yes | Equities – Tramautic day on global markets spurs central banks to step up action |
| 09/Jan/2020 | 2.49 | World | Yes | Political – US and Ukraine fear Iran missile downed passenger jet in error | 05/Dec/2019 | 1.28 | China | Yes | Political – Germany sees Kremlin's hand in Berlin murder of Chechen rebel |
| SSEB & USD$ | % | COVID-19 period | COVID-19 influence | FT Main headline | SSEB & corn | % | COVID-19 period | COVID-19 influence | FT main headline |
|---|---|---|---|---|---|---|---|---|---|
| 18/Nov/2019 | 13.04 | China | Yes | Oil – Aramco pares back fundraising goal to $25bn in latest IPO hitch | 23/Dec/2019 | 9.98 | China | Yes | Political – Boeing chief Mullenburg ousted for failing to stem 737 Max crisis |
| 17/Jan/2020 | 5.80 | World | Yes | Oil – Berlin secures €40bn deal with regions to end use of coal by 2038 | 13/Feb/2020 | 8.22 | World | Yes | Currency – Patents lay bare scale of China's ambition to digitise the renmimbi |
| 21/Jan/2020 | 1.19 | World | Yes | Economic – Downbeat IMF outlook diverts Davos focus from climate goals | 08/Apr/2020 | 3.98 | World | Yes | Coronavirus – Pandemic will destroy equivalent of 195 m jobs worldwide, warns UN |
| 06/Dec/2019 | 0.96 | China | Yes | Oil – Saudi Aramaco's $25.6bn breaks IPO record despite valuation blow | 03/Apr/2020 | 3.10 | World | Yes | Economic – Jobless claims surge in Europe and US as global economy stifles |
| 31/Dec/2019 | 0.92 | China | Yes | Bonds – Bond market barometer points to investor optimism as year ends | 23/Dec/2019 | 2.16 | China | Yes | Political – Boeing chief Mullenburg ousted for failing to stem 737 Max crisis |
| 21/Jan/2020 | 0.89 | World | Yes | Economic – Downbeat IMF outlook diverts Davos focus from climate goals | 07/Apr/2020 | 2.14 | World | Yes | Coronavirus – UK doctors reveal multi-organ danger posed by coronavirus |
| 17/Jan/2020 | 0.62 | World | Yes | Oil – Berlin secures €40bn deal with regions to end use of coal by 2038 | 03/Feb/2020 | 2.05 | World | Yes | Coronavirus – Beijing deploys emergency cash to shield markets from virus fallout |
| 12/Dec/2019 | 0.47 | China | Yes | Political – US tightens screws on Iran with fresh shipping and air sanctions | 19/Dec/2019 | 1.94 | China | Yes | Economic – Fiat Chrysler agrees merger with Peugeot to forget 40bn carmaker |
Note: The above table represents the news events that occurred on the date of the largest SSEB volatility spillover. Data is obtained through The Financial Times and LexisNexis.