Money Market Funds (MMFs) and the Covid-19 pandemic: Has the MMLF benefited money markets? [0.03%]
新冠疫情期间的货币市场基金(MMFs): 货币市场流动性工具(MMLF)发挥了作用吗？
Nicholas Apergis
Nicholas Apergis
This paper explores the impact of Covid-19, and that of the MMLF program on US MMFs systemic risk through the CoVaR methodology. Using 149 listed prime MMFs, between January 2019 and April 2020, the results document that while Covid-19 incr...
Did the COVID-19 pandemic (really) positively impact the IPO Market? An Analysis of information uncertainty [0.03%]
新冠肺炎疫情真的对IPO市场产生了积极影响吗？信息不确定性视角下的分析
Ahmed S Baig,Mengxi Chen
Ahmed S Baig
Anecdotal evidence seems to suggest that the initial public offering (IPO) market performed remarkably well through the COVID-19 pandemic. To further understand this peculiar observation, we carry out a comprehensive analysis of IPOs during...
A note on tweeting and equity markets before and during the Covid-19 pandemic [0.03%]
新冠肺炎疫情期间的股市与社交媒体关系研究——基于Twitter平台的数据分析
Ujjal Chatterjee,Joseph J French
Ujjal Chatterjee
We investigate the differential effects of a new index of Twitter-based market uncertainty (TMU) and variables for the US equity market before and during the Covid-19 pandemic. We find that markets are significantly more sensitive to the un...
The correlation between the stock market and Bitcoin during COVID-19 and other uncertainty periods [0.03%]
新冠疫情及其他不确定性时期股票市场与比特币的关联性分析
Khanh Quoc Nguyen
Khanh Quoc Nguyen
This research examined the impact of the stock market on Bitcoin during COVID-19 and other uncertainty periods. Based on the quantile regression results, during periods of high uncertainty, such as COVID-19, the S&P 500 returns significantl...
Margin purchases, short sales and stock return volatility in China: Evidence from the COVID-19 outbreak [0.03%]
新冠肺炎疫情下的中国股市Margin交易、融券与股市收益波动性关系研究
Yongjia Lin,Yizhi Wang,Xiaoqing Maggie Fu
Yongjia Lin
In this paper, we investigate the effects of margin purchases and short sales on the return volatility in the Chinese stock market during the COVID-19 outbreak. We present two main findings. First, we show that stocks with higher level of m...
Sangyup Choi,Junhyeok Shin
Sangyup Choi
During the recent COVID-19 pandemic, many commonalities shared by Bitcoin and gold raise the question of whether Bitcoin can hedge inflation or provide a safe haven as gold often does. By estimating a Vector Autoregression (VAR) model, we p...
Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic [0.03%]
新冠疫情下的股票市场与黄金和石油的关联性分析
Noureddine Benlagha,Salaheddine El Omari
Noureddine Benlagha
This paper sets out to explore the impact of COVID-19 pandemic on the dynamic connectedness among gold, oil and five leading stock markets by applying a new DCC-GARCH connectedness approach. We find stronger connectedness between these mark...
Time-frequency volatility spillovers between major international financial markets during the COVID-19 pandemic [0.03%]
新冠疫情下的主要国际金融市场之间的时频波动溢出关系分析
Dong Wang,Ping Li,Lixin Huang
Dong Wang
We examine volatility spillovers and their time-frequency dynamics among major global financial markets from the outbreak of COVID-19 to present. Results show that total spillovers, driven by low frequency components, peaks at the end of Ma...
Co-movements in sector price indexes during the COVID-19 crisis: Evidence from the US [0.03%]
新冠疫情时期的美国行业价格指数同步波动现象研究
Hela Nammouri,Souhir Chlibi,Oussama Labidi
Hela Nammouri
This paper is an examination of co-movements between sector indexes in the United States prior to and during the COVID-19 period. Using daily data between January 2013 and July 2020, this study is the first to examine sectoral cointegration...
Dynamic co-movements of COVID-19 pandemic anxieties and stock market returns [0.03%]
新冠疫情焦虑与股市收益的动态联动关系
Xiaoling Yu,Kaitian Xiao,Junping Liu
Xiaoling Yu
In this study, we constructed two pandemic anxiety indexes based on an assumption that people's emotions fluctuate with the COVID-19 reported cases and deaths, to examine the dynamic co-movements between these anxiety indexes and the stock ...