Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis [0.03%]
新冠肺炎疫情期间中国尾部风险溢出效应对G7股市收益的影响：市场与行业层面的分析
Riadh Aloui,Sami Ben Jabeur,Salma Mefteh-Wali
Riadh Aloui
This study uses a combination of copulas and CoVaR to investigate risk spillovers from China to G7 countries before and during the COVID-19 pandemic. Using daily data on stock and equity sectors for the period from January 1, 2013 to June 9...
Infectious disease equity market volatility, geopolitical risk, speculation, and commodity returns: Comparative analysis of five epidemic outbreaks [0.03%]
传染病流行对权益市场波动、地缘政治风险、投机及大宗商品收益的影响——五次疫情事件的比较分析
Shaobo Long,Jiaqi Guo
Shaobo Long
This paper uses a time-varying Granger causality test and time-varying parameter vector autoregression with stochastic volatility model to analyze the effects of infectious disease equity market volatility (ID-EMV), geopolitical risk (GPR),...
Macroeconomic and monetary policy responses in selected highly indebted MENA countries post Covid 19: A structural VAR approach [0.03%]
新冠疫情后 Selected高负债中东及北非国家的宏观经济和货币政策反应：基于结构向量自回归方法的研究
Simon Neaime,Isabelle Gaysset
Simon Neaime
With limited fiscal space, MENA governments with flexible exchange rates have been relying extensively on accommodative monetary policy to circumvent external shocks such as Covid 19 and other domestic macroeconomic imbalances. Other MENA c...
Dynamics of the sheltering role of Bitcoin against crude oil market crash with varying severity of the COVID-19: A comparison with gold [0.03%]
比特币在不同疫情严重程度下的原油市场崩盘期间的避险作用动力学研究及其与黄金的比较分析
Xiaohang Ren,Rui Wang,Kun Duan et al.
Xiaohang Ren et al.
This paper studies evolution of the asymmetric sheltering role of Bitcoin compared to gold against oil-related uncertainties with varying severity of the COVID-19 pandemic. Using a varying-coefficient quantile approach, we find a safe haven...
Dynamics lead-lag relationship of jumps among Chinese stock index and futures market during the Covid-19 epidemic [0.03%]
新冠疫情对中国股市期市跳变动态溢出关系的影响研究
Wenwen Liu,Yiming Gui,Gaoxiu Qiao
Wenwen Liu
This paper introduces thermal optimal path method to investigate the dynamics lead-lag relationship of jumps among Chinese stock index and futures market under the background of the Covid-19 epidemic. Based on three representative stock ind...
Using machine learning to analyze the impact of coronavirus pandemic news on the stock markets in GCC countries [0.03%]
利用机器学习分析新冠疫情新闻对海湾合作委员会国家股市影响
Alanoud Al-Maadid,Saleh Alhazbi,Khaled Al-Thelaya
Alanoud Al-Maadid
COVID-19 has resulted in high volatility in financial markets across the world. The goal of this study is to investigate the impact of COVID-19-related news on the stock markets in Gulf Cooperation Council (GCC) countries. The study utilize...
The global economic policy uncertainty spillover analysis: In the background of COVID-19 pandemic [0.03%]
新冠疫情背景下的全球经济增长不确定性溢出效应分析
Yuqin Zhou,Zhenhua Liu,Shan Wu
Yuqin Zhou
Combining the spillover index approach and LASSO-VAR method, we construct the spillover network of 19 specific countries' economic policy uncertainty (EPU). Then we deconstruct the constructed network into four blocks by the block models, t...
The effects of daily growth in COVID-19 deaths, cases, and governments' response policies on stock markets of emerging economies [0.03%]
新冠疫情每日死亡和感染人数增加及政府应对政策对新兴经济体股市的影响
Murat Guven,Basak Cetinguc,Bulent Guloglu et al.
Murat Guven et al.
Since the beginning of COVID-19, human beings have been threatened by various aspects. As of February 14, 2022, this global pandemic has caused about 412 million cases and 5.8 million deaths worldwide. Stock markets are one of the most agil...
The performance of Islamic versus conventional stocks during the COVID-19 shock: Evidence from firm-level data [0.03%]
新冠疫情冲击下的伊斯兰股票与传统股票的业绩对比：基于公司层面数据的证据
Falik Shear,Badar Nadeem Ashraf
Falik Shear
In this study, we extend the recently heated debate that compares the performance of Shariah compliant equities with their non-Shariah compliant counterparts especially during the Covid-19 shock. Unlike the existing literature, which uses s...
COVID-19 pandemic and economic policy uncertainty: The first test on the hedging and safe haven properties of cryptocurrencies [0.03%]
新冠疫情与经济政策不确定性：首次测试加密货币的对冲和避风港属性
Khaled Mokni,Manel Youssef,Ahdi Noomen Ajmi
Khaled Mokni
This study examines the role of the top-5 cryptocurrencies and gold as a hedge and safe haven against the economic policy uncertainty (EPU) before and during the ongoing COVID-19 crisis. We use the GARCH model for the main analysis and a sa...