Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis [0.03%]
新冠疫情相关消息和加密货币对绿色债券市场的极端溢出效应分析——基于分位数连接度的视角
Rabeh Khalfaoui,Salma Mefteh-Wali,Buhari Dogan et al.
Rabeh Khalfaoui et al.
We provide the first empirical study on the role of panic and stress related to the COVID-19 pandemic, including six uncertainties and the four most traded cryptocurrencies, on three green bond market volatilities. Based on daily data cover...
Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period [0.03%]
汇率影响黄金价格吗？来自持续的COVID-19时期的最新证据
Tauhidul Islam Tanin,Ashutosh Sarker,Robert Brooks
Tauhidul Islam Tanin
We apply the nonlinear autoregressive distributed lag method to examine the relationships between seven leading currency exchange rates and gold prices using daily data from January 2017 to April 2021. The results reveal that in the short t...
Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19 [0.03%]
动态溢出效应在COVID-19背景下的能源和股市及其影响
Hua Zhang,Jinyu Chen,Liuguo Shao
Hua Zhang
This study combined time-varying parameter vector autoregression (TVP-VAR) and a spillover index model to analyze the static, total, and net spillover effects of energy and stock markets before and after the COVID-19 outbreak. A network met...
Robert Navratil,Stephen Taylor,Jan Vecer
Robert Navratil
We show that during the weeks following the initiation of the COVID-19 pandemic, the United States equity market was inefficient. This is demonstrated by showing that utility maximizing agents over the time period ranging from mid-February ...
Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak [0.03%]
疫情爆发前及期间石油，黄金和股市之间的方向溢出效应和时间频率联系
Ngo Thai Hung,Xuan Vinh Vo
Ngo Thai Hung
The Covid-19 crisis has been spread rapidly throughout the world so far. However, how deep and long the turbulence would depend on the success of solutions taken to deter the spread of Covid-19, the impacts of government policies may be pro...
Stock market reaction to COVID-19: Evidence from U.S. Firms' International exposure [0.03%]
COVID-19对股票市场的反应：来自美国公司国际参与度的证据
Hue Hwa Au Yong,Elaine Laing
Hue Hwa Au Yong
We examine the U.S. stock market reaction to the World Health Organization's announcement declaring COVID-19 a global health emergency, with a focus on firms' international exposure. We find that while international exposure through foreign...
Exploring the relationship between cryptocurrencies and hedge funds during COVID-19 crisis [0.03%]
探索COVID-19危机期间加密货币与对冲基金之间的关系
Soumaya Ben Khelifa,Khaled Guesmi,Christian Urom
Soumaya Ben Khelifa
In this paper, we investigated the relationship between cryptocurrency market and hedge funds in two different ways. First, we focus on the dependence between Cryptocurrency hedge funds and conventional hedge funds strategies using VAR and ...
Asymmetric volatility spillover among Chinese sectors during COVID-19 [0.03%]
COVID-19期间中国各行业间的非对称波动溢出效应研究
Syed Jawad Hussain Shahzad,Muhammad Abubakr Naeem,Zhe Peng et al.
Syed Jawad Hussain Shahzad et al.
Inter-sectoral volatility linkages in the Chinese stock market are understudied, especially asymmetries in realized volatility connectedness, accounting for the catastrophic event associated with the COVID-19 outbreak. In this paper, we exa...
The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model [0.03%]
Covid-19对G7股票市场波动性的影响：来自ST-HAR模型的证据
Marwan Izzeldin,Yaz Gülnur Muradoğlu,Vasileios Pappas et al.
Marwan Izzeldin et al.
We investigate the impact of Covid-19 on stock markets across G7 countries and their business sectors. We highlight the synchronicity and severity of this unprecedented crisis. We find strong transition evidence to a crisis regime in all co...
Economic resiliency and recovery, lessons from the financial crisis for the COVID-19 pandemic: A regional perspective from Central and Eastern Europe [0.03%]
经济韧性与恢复，金融危机对COVID-19大流行的启示：来自中欧和东欧的区域性视角
Josef C Brada,Paweł Gajewski,Ali M Kutan
Josef C Brada
In this paper we examine resiliency, the ability to absorb and recover from economic shocks, in 199 Nuts-3 regions in Central and Eastern Europe (CEE) following the 2008 global financial crisis. We find evidence of strong positive regional ...