Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis

Goodell, John W.; Goutte, Stéphane

doi:10.1016/j.frl.2020.101625

Cited by 402 publications

(304 citation statements)

References 39 publications

Supporting

Mentioning

271

Contrasting

Unclassified

Order By: Relevance

“…Since the outbreak of the COVID-19 pandemic, various studies were conducted to investigate its effect on the economy, including its impact on the correlations between crude oil and agricultural futures [ 1 ], co-movement between COVID-19 and Bitcoin [ 2 ], the tourism industry [ 3 ], the covariance between temperature, COVID-19 and exchange rate in Wuhan [ 4 ], Italian manufacturing firms [ 5 ], B2B sales forces [ 6 ], efficiency of equity and cryptocurrency markets [ 7 ], airline employment [ 8 ], entrepreneurial uncertainty [ 9 ], consumer behavior [ 10 ], marketing innovations [ 11 ], corporate social responsibility and marketing [ 12 ], and randomness and mutual information between markets [ 13 ], to name few. In addition, other interesting studies focused on the forecasting of new cases [ 14 ] and knowledge sharing and collaboration for preparedness to fight the pandemics [ 15 ].…”

Section: Introductionmentioning

confidence: 99%

Randomness, Informational Entropy, and Volatility Interdependencies among the Major World Markets: The Role of the COVID-19 Pandemic

Lahmiri

Bekiros

2020

Entropy

View full text Add to dashboard Cite

The main purpose of our paper is to evaluate the impact of the COVID-19 pandemic on randomness in volatility series of world major markets and to examine its effect on their interconnections. The data set includes equity (Bitcoin and Standard and Poor’s 500), precious metals (Gold and Silver), and energy markets (West Texas Instruments, Brent, and Gas). The generalized autoregressive conditional heteroskedasticity model is applied to the return series. The wavelet packet Shannon entropy is calculated from the estimated volatility series to assess randomness. Hierarchical clustering is employed to examine interconnections between volatilities. We found that (i) randomness in volatility of the S&P500 and in the volatility of precious metals were the most affected by the COVID-19 pandemic, while (ii) randomness in energy markets was less affected by the pandemic than equity and precious metal markets. Additionally, (iii) we showed an apparent emergence of three volatility clusters: precious metals (Gold and Silver), energy (Brent and Gas), and Bitcoin and WTI, and (iv) the S&P500 volatility represents a unique cluster, while (v) the S&P500 market volatility was not connected to the volatility of Bitcoin, energy, and precious metal markets before the pandemic. Moreover, (vi) the S&P500 market volatility became connected to volatility in energy markets and volatility in Bitcoin during the pandemic, and (vii) the volatility in precious metals is less connected to volatility in energy markets and to volatility in Bitcoin market during the pandemic. It is concluded that (i) investors may diversify their portfolios across single constituents of clusters, (ii) investing in energy markets during the pandemic period is appealing because of lower randomness in their respective volatilities, and that (iii) constructing a diversified portfolio would not be challenging as clustering structures are fairly stable across periods.

show abstract

Section: Introductionmentioning

confidence: 99%

Randomness, Informational Entropy, and Volatility Interdependencies among the Major World Markets: The Role of the COVID-19 Pandemic

Lahmiri

Bekiros

2020

Entropy

View full text Add to dashboard Cite

show abstract

“…Further, we check the robustness through "wavelet based Granger causality and correlation". The wavelet analysis has been frequently used in contemporary economics, finance, and environmental studies (Al-Yahyaee et al, 2019;Fareed et al, 2020;Goodell & Goutte, 2020). This technique does not have a prerequisite for the data to be stationary (Ng & Chan, 2012).…”

Section: Methodsmentioning

confidence: 99%

“…Recently, we are passing through an unprecedented time in human history. Despite all the technological and economic progress we made, and the abundance of resources we have, everyone felt helpless at least for some period of time, in front of nature during the COVID-19 outbreak (Goodell, 2020). The global number of confirmed cases and deaths has surpassed 30 million and 1 million (as of 24 th September 2020), respectively, according to the World Health Organization (WHO, 2020).…”

Section: Introductionmentioning

confidence: 99%

“…For example, several studies have discussed the stock markets' reaction to the COVID-19 epidemic (Akhtaruzzaman et al, 2020;Azimli, 2020;Baek et al, 2020;Cepoi, 2020;Ciner, 2020;Erdem, 2020;Li et al, 2020;Mazur et al, 2020;Okorie & Lin, 2020;Topcu & Gulal, 2020;Zaremba et al, 2020;Zhang et al, 2020). Others have explored the impact of this shock on digital assets and commodity markets (Conlon & McGee, 2020;Corbet et al, 2020;Goodell & Goutte, 2020;Ji et al, 2020;Mensi et al, 2020;Mnif et al, 2020). However, the insurance industry's response to the pandemic still needs vivid exploration.…”

Section: Introductionmentioning

confidence: 99%

“…However, an interesting question has emerged in the context of COVID-19. Whether an event like this can be insured or not (Goodell, 2020)?…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

COVID-19 and Insurance market returns in emerging and developed markets: A comparative study based on Wavelet methods

Fareed¹,

Iqbal²

2020

Preprint

View full text Add to dashboard Cite

This study investigates the co-movement nexus between COVID-19 and insurance industry returns for emerging and developed markets using a wavelet-based framework. Analysis on the daily observations from 22nd January 2020 to 14th September 2020 reveals that insurance returns (INS) responded strongly and negatively, right after the onset of the global COVID-19 outbreak, but asymmetrically later. Additionally, the devastation brought to INS is comparatively more severe but short-lived for emerging markets. The wavelet-based Granger causality and correlation confirm the robustness of our results. These findings are important for policymakers and investors in the insurance industry in the aftermath of COVID-19.

show abstract

Emerging market debt and the COVID‐19 pandemic: A time–frequency analysis of spreads and total returns dynamics

Gubareva

Umar

2020

Int. J Fin Econ

View full text Add to dashboard Cite

We apply wavelet analyses to study the impact of COVID-19 pandemic on the performance of emerging market bonds, in both investment grade and high yield ranges of creditworthiness. Our results show varying level of coherence ranging from low, medium and high between the Coronavirus Media Coverage index and the price moves of the emerging market USD-denominated debt.We attribute the intervals of low coherence levels to the diversification potential during a systemic pandemic such as COVID-19 of investments in bonds issued by developing economies. We document differences in patterns exhibited by various indices describing behaviour of option-adjusted spreads and total returns as a function of credit quality of issuers form emerging market economies. We report well-defined zones of the regime switching between the lead and lag roles of the emerging market bonds vis-à-vis the media coverage.

show abstract

Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis

Cited by 402 publications

References 39 publications

Randomness, Informational Entropy, and Volatility Interdependencies among the Major World Markets: The Role of the COVID-19 Pandemic

Randomness, Informational Entropy, and Volatility Interdependencies among the Major World Markets: The Role of the COVID-19 Pandemic

COVID-19 and Insurance market returns in emerging and developed markets: A comparative study based on Wavelet methods

Emerging market debt and the COVID‐19 pandemic: A time–frequency analysis of spreads and total returns dynamics

Contact Info

Product

Resources

About