Asymmetric nexus between COVID-19 outbreak in the world and cryptocurrency market [0.03%]
全球新冠肺炎疫情与加密货币市场之间的非对称关系
Najaf Iqbal,Zeeshan Fareed,Guangcai Wan et al.
Najaf Iqbal et al.
In the wake of recent pandemic of COVID-19, we explore its unprecedented impact on the cryptocurrencies' market. Specifically, we check how the changing intensity of the COVID-19 represented by the daily addition in new infections worldwide...
Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany [0.03%]
新冠肺炎疫情下的原油市场与股市关联性研究——基于美国、日本和德国的证据
Wenting Zhang,Shigeyuki Hamori
Wenting Zhang
We analyzed the return and volatility spillover between the COVID-19 pandemic in 2020, the crude oil market, and the stock market by employing two empirical methods for connectedness: the time-domain approach developed by Diebold and Yilmaz...
Wen Long,Manyi Zhao,Yeran Tang
Wen Long
The volatility index is the implied volatility calculated inversely from the option prices. This study investigates whether the official Chinese volatility index, iVX, can represent investor sentiment. In order to describe investor sentimen...
Md Hamid Uddin,Sabur Mollah,Md Hakim Ali
Md Hamid Uddin
CyberTech has drawn academic attention in the aftermath of the global financial crisis (GFC) as banks were forced to embrace CyberTech more aggressively to cope with market competition after the crisis. Banks can improve their operational e...
What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective? [0.03%]
期货市场在比特币定价中扮演什么角色？基于时间变化的视角下的因果关系、协整与价格发现？
Yang Hu,Yang Greg Hou,Les Oxley
Yang Hu
Recent papers that have explored spot and futures markets for Bitcoin have concluded that price discovery takes place either in the spot, or the futures market. Here, we consider the robustness of previous price discovery conclusions by inv...
The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry [0.03%]
新冠疫情对中国信息不对称下的资产价格发现的影响：证据来自中国金融市场
Shaen Corbet,Yang Hou,Yang Hu et al.
Shaen Corbet et al.
The circumstances surrounding the outbreak of the COVID-19 pandemic have generated substantial international political strain as governments attempt to mitigate the widespread associated social and economic repercussions. One theory has foc...
Donal McKillop,Declan French,Barry Quinn et al.
Donal McKillop et al.
Financial cooperatives play an important role in the financial systems of many countries. They act as a safe haven for deposits and are major sources of credit for households and small- and medium-sized firms. A not-for-profit orientation (...
From COVID-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions [0.03%]
从COVID-19群体免疫到国际股市投资者跟风行为：政府和监管限制的作用
Renatas Kizys,Panagiotis Tzouvanas,Michael Donadelli
Renatas Kizys
We study if government response to the novel coronavirus COVID-19 pandemic can mitigate investor herding behaviour in international stock markets. Our empirical analysis is informed by daily stock market data from 72 countries from both dev...
Predicting stock returns in the presence of COVID-19 pandemic: The role of health news [0.03%]
新冠疫情下的股票收益预测：健康新闻的作用
Afees A Salisu,Xuan Vinh Vo
Afees A Salisu
This study derives its motivation from the current global pandemic, COVID-19, to evaluate the relevance of health-news trends in the predictability of stock returns. We demonstrate this by using data covering top-20 worst-hit countries, dis...
Which popular predictor is more useful to forecast international stock markets during the coronavirus pandemic: VIX vs EPU? [0.03%]
疫情期间(VIX与EPU)哪个流行预测指标更有用？应用于国际股市预测CORONAVIRUS PANDEMIC
Jiqian Wang,Xinjie Lu,Feng He et al.
Jiqian Wang et al.
This study mainly investigates which predictors (VIX or EPU index) are useful to forecast future volatility for 19 equity indices based on HAR framework during coronavirus pandemic. Out-of-sample analysis shows that the HAR-RV-VIX model exh...