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By studying equity market returns to China, the UK, and the US, we explore the key question of whether the COVID-19 pandemic changes the risk exposure of equity markets, which is fundamental to market stability and investor confidence. Using data from the World Health Organization and Bloomberg, our full sample covers the period 3 July 2019 to 15 December 2020 which facilities a subsample (Normal, Shock, Endurance) analysis. Utilizing Value-at-Risk (VaR) metrics as our risk exposure measure, we find that 1) There exists a sharp increase in equity market risk exposure across the three equity markets. 2) A stronger pandemic impact is found in different market capitalization segments -China, large-cap; the UK, small-cap; the US, mid-cap. 3) Generally, investors consider the number of new cases as a more worrying factor than deaths while UK investors are sensitive to both. Our observations suggest that given limited resources but rising demands from both businesses and households for government assistance, a one-size-fits-all policy to support market recovery would be sub-optimal.

We employ a multi-factor analysis from both a firm-specific (microeconomic) and market-specific (macroeconomic) perspective to examine the determinants of credit default swap (CDS) spreads in the USA, the UK and Japan between 2005 and 2012. We investigate both aggregate (cross-country) and individual market data so that a comparative analysis can be performed. Our results reveal that (i) in general, Tobin's Q, stock market returns, and the risk-free interest rate possess significant explanatory power for CDS spreads; (ii) the relationship identified is found to exist in all three markets with varying strength; (iii) despite the added information flow, the 2007-2009 financial crisis did not shorten the persistence (adjustment speed) of CDS spreads to variations in our explanatory variables; and (iv) degree of firm leverage appears to have a significant influence on CDS spreads. These results are robust to various model specifications. Synthesizing our overall results, we maintain that to reap the benefits of using CDSs as a risk management tool, greater attention should be devoted to supporting a stable market (economic and financial) environment. This paper contributes to elucidate how firm performance and macroeconomic conditions play a significant role in explaining CDS spreads.

China is breaking through the petrodollar system, establishing RMB-dominating crude oil futures market. The country is achieving a milestone in its transition to energy finance market internationalization. This study explores the price leadership of China’s crude oil futures and identifies its price co-movement to uncover whether it truly shakes up the global oil spots market. First, we find that for oil spots under different gravities, China’s oil futures is only a net price information receiver from light-, medium-, and heavy-gravity oil spots, but it has a relatively stronger price co-movement with these three spots. Second, for oil spots under different sulfur contents, China’s oil futures still has weak price leadership in sweet, neutral, and sour oil spots, but it has strong co-movement with them. Third, for oil spots under different geographical origins, China’s oil futures shows price leadership in East Asian and Australian oil spots at the medium- and longrun time scales and strong price co-movement with East Asian, Middle Eastern, Latin American and Australian oil spots. China’s oil futures may not have good price leadership in global spots market, but it features favorable price co-movement.