In this paper, we discuss the behavior of stock market returns in Tunisia during the COVID-19 outbreak. Using the OLS regression, we find that Bitcoin act as a hedge and Ethereum as a diversifier for Tunisia’s stock market before the COVID-19 outbreak; however, Bitcoin and Ethereum cannot generate benefits from portfolio diversification and hedging strategies for financial investors during the COVID-19. Moreover, Dash, Monero, and Ripple act as hedges before the COVID-19 outbreak and as diversifiers during this pandemic. Our results reveal that gold acts as a hedge and diversifier before the pandemic, but it's neither hedge nor a haven during the COVID-19 pandemic. Besides, the results indicated that the expected volatility of the US stock market has an impact on the Tunisian stock market. Finally, our results indicate that the growth rate of the COVID-19 confirmed cases and deaths harms Tunisia's stock market.

Using the NARDL model for the period of pandemic COVID19, we examined the asymmetric relationship between six crypto-currencies (Bitcoin, Litecoin, Bitcoin gold, Dash, Maker, and Ehereum) and seven stock market prices (S&P500, CAC40, DAX30, NIKKEI, FTSE, FTSEMIB, and SPTSX) accounting for the effects of Gold and WTI prices. In the long run, our results revealed, in most cases, a positive asymmetric relationship between digital and financial assets, suggesting a weak safe haven role for crypto-currencies. The oil price (WTI) was also found to act as a diversifier. However, for, the results revealed, in most cases, a negative asymmetric relationship between the yellow metal and the different stock prices, suggesting that gold can act as a good hedging instrument or a safe haven against stock prices in the long run. On the other hand, in the short run, the results indicate that only Bitcoin, Litecoin, and Maker have an asymmetric effect on the chosen stock prices but the effect is positive in most cases. Moreover, gold can act as a hedge/safe-haven asset in the short run. Finally, while examining the dynamic response of stock prices to the negative and positive shocks of crypto-currencies, we concluded that the majority of stock prices respond more to the negative shocks of crypto-currencies than to the positive ones.

PurposeThe objective of this paper is to investigate the pandemic’s function as a driver of investor herding in international stock markets, given that the current coronavirus disease 2019 (COVID-19) crisis has caused a large rise in uncertainty.Design/methodology/approachThe paper investigates the presence of herding behavior among the developed and BRICS (Brazil, Russia, India, China and South Africa) stock market indices during the COVID-19 crisis, by using a modified Cross-Sectional Absolute Deviation (CSAD) measure which is considered a proxy for herding and the wavelet coherence (WC) analysis between CSAD that captures the different inter-linkages between stock markets.FindingsUsing the CSAD model, the authors' findings indicate that the herding behavior of investors is present in stock markets during the four waves of COVID-19 crisis. The results also demonstrate that the transaction volume improve the herding behavior in the stock markets. As for the news concerning the number of cases caused by the pandemic, the results show that the pandemic does not stimulate herding; however, the number of deaths caused by this pandemic turns out to be a great stimulator of herding. By using the WC analysis, the authors' findings indicate the presence of herding behavior between the Chinese and stock markets (developed and emerging), especially during the first wave of the crisis and the presence of herding behavior between the Indian and stock markets (developed and emerging) in the medium and long run, especially during the third wave of the COVID-19 crisis.Originality/valueThe authors' study is among the first that examines the influence of the recent COVID-19 pandemic as a stimulator of herding behavior between stock markets. The study also uses the WC analysis next to the CSAD model to obtain robust results. The authors' results are consistent with the mental bias of behavioral finance where herding behavior is considered effective in volatility predictions and decision-making for international investors, specifically during the COVID-19 crisis.

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Using the DCC-GARCH (1.1) model, we investigate the dynamic conditional correlations between Tunisian indices, digital assets, and gold prices for the period ranging from 4 January 2016 to 30 April 2020. Our findings reveal that digital assets (Bitcoin, Ripple, Ethereum, and Dash) and gold can be considered as hedge and diversifier assets before the 2020 global pandemic. Contrarily to Ripple which can be a safe haven asset for the Tunisian investors in early 2020, Monero can be considered as a diversifier asset more than a hedge. Finally, our results can be useful to Tunisian investors when accounting for implementing hedging strategies.JEL classification: C22, C5, G1