Covid-19 pandemic and tail-dependency networks of financial assets

Le, Trung H.; Xuan, Hung; Nguyen, Duc Khuong; Şensoy, Ahmet

doi:10.1016/j.frl.2020.101800

Cited by 102 publications

(54 citation statements)

References 76 publications

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“…Other researchers rather prefer to divide the sample period into pre- and post-Covid periods to analyze the behavior of cryptoccurrency market. Le et al. (2020) break the sample period (January 1, 2019 to April 30, 2020) into two sub-periods: The without Covid-19 sample consists of observations before January 1, 2020 and the Covid-19 period (after January 1, 2020) given that the first case was officially reported in China in late December 2019.…”

Section: Data and Descriptive Statisticsmentioning

confidence: 99%

“…Second, it is important to consider the role social media during turbulent periods in the sense that help netizens share data and information and make investment decisions. Finally, it is well-documented that investors have panic-sold out of fears ( Le et al., 2020 ) and such panic trading has led to many significant drops in several stock markets ( Shehzad et al., 2020 ). Obviously, many researchers search for which asset(s) outperform(s) during turbulent periods (e.g.…”

Section: Introductionmentioning

confidence: 99%

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A short-and long-term analysis of the nexus between Bitcoin, social media and Covid-19 outbreak

Béjaoui¹,

Mgadmi²,

Moussa³

et al. 2021

Heliyon

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In this paper, we attempt to analyze the dynamic interplay between Bitcoin, social media, and the Covid-19 health crisis. For this end, we apply the fractional autoregressive vector model, fractional error correction model and impulse response functions on daily data over the period 31/12/2019-30/10/2020. Our results clearly show the short- and long-term evidence of the nexus between the Bitcoin price, social media metrics (Tweets and Google Trends) and the intensity of the Covid-19 pandemic. As well, the Covid-19 pandemic does not impact on social media metrics in the short- and long-term. On the other hand, the Covid-19 pandemic positively affects social media metrics. Also, the Covid-19 pandemic encourages investing in digital currencies such as Bitcoin. So, the Covid-19 health crisis significantly influences social media networks and Bitcoin prices.

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Section: Data and Descriptive Statisticsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

A short-and long-term analysis of the nexus between Bitcoin, social media and Covid-19 outbreak

Béjaoui¹,

Mgadmi²,

Moussa³

et al. 2021

Heliyon

View full text Add to dashboard Cite

show abstract

“…The statistical models used in existing empirical literature to examine the safe-haven properties of assets include – but not limited to - quantile regression approach ( Baur and Lucey, 2010 ; Baur and McDermott, 2010 ; Bianchi et al, 2020 ; Śmiech and Papież, 2017 ), bivariate cross-quantilogram framework ( Manohar and Guntur, 2021 ; Shahzad et al, 2019 ; Uddin et al, 2019 ), time-varying Joe–Clayton copula method ( Nguyen and Liu, 2017 ; Tiwari et al, 2020 ), DCC GARCH approach ( Akhtaruzzaman et al, 2020 ; Akkoc and Civcir, 2019 ; Kinateder et al, 2021 ), rolling window approach ( Bouri et al, 2021 ; Bouri et al, 2020 ), and quantile cross-spectral coherency framework ( Le et al, 2021 ; Maghyereh and Abdoh, 2020 ; Naeem et al, 2020 ). However, these approaches can capture only one of the time or frequency dimensions of the data and fail to cover both the time and frequency characteristics of the co-moving time series simultaneously.…”

Section: Introductionmentioning

confidence: 99%

Safe-haven properties of soft commodities during times of Covid-19

Rubbaniy

Khalid

Syriopoulos

et al. 2022

Journal of Commodity Markets

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We use wavelet coherence analysis on global COVID-19 fear index and, soft commodities’ spot and futures prices to investigate safe-haven properties of soft commodities over the period from January 28, 2020 to April 29, 2021. Our findings show that each of the sampled soft commodities shows safe-haven behavior in one of the spot or futures markets and for one of the short-term or long-term investors during the times of COVID-19. Our results also show that safe-haven properties of soft commodities are contingent upon the nature of the commodity. The findings of our mean-variance portfolio analysis indicate that the portfolios with commodity futures are less risky and efficient compared to the portfolio containing stocks only, thus robustly supporting the safe-haven properties of soft commodities during COVID-19. Our results not only have important implications for individual investors and asset managers in suggesting particular soft commodities to strengthen safe-haven and diversification features of their portfolios but also can assist the policy makers to understand and disentangle health fear dimension of several interlocking dynamics affecting the spot and futures prices of soft commodities during COVID-19.

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“…e outbreak of COVID-19 has caused huge losses in the global real economy and financial markets, especially in the commodity futures markets due to its direct impacts on both the demand and supply chain of commodities [1][2][3][4][5][6][7][8][9][10][11][12][13][14][15][16][17]. Crude oil markets are hit the hardest for the collapse in travelling and massive plant shutdowns arising from mitigation measures [7,11,14,16,[18][19][20][21].…”

Section: Introductionmentioning

confidence: 99%

The Impacts of the Infectious Disease Epidemic on the Permanent Volatility of Precious Metal and Crude Oil Futures Markets: A Long-Term Perspective

Shang

2021

Discrete Dynamics in Nature and Society

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The aim of this paper is to identify the quantitative impacts of the infectious disease pandemic on the permanent volatility of precious metal and crude oil futures from a long-term perspective by using a recently constructed Infectious Disease Equity Market Volatility Tracker (ID-EMV) to capture the epidemic severity and with a novel mixed data sampling GARCH (GARCH-MIDAS) method. Different from the extant literature only focusing on the short-term influences of the COVID-19 epidemic on commodity futures market, this paper shows that the infectious disease pandemic does have significant and positive impacts on the permanent (long-term) volatilities of precious metal and crude oil futures markets lasting for at least up to 12 months. In addition, these specific impacts on crude oil futures are greater than those on precious metal futures. Finally, we find that the infectious disease epidemic has larger impacts on gold (WTI oil) futures than those on silver (Brent oil) futures. All these findings are robust after controlling the negative influences of lagged long-run realized volatility in commodity futures markets.

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Covid-19 pandemic and tail-dependency networks of financial assets

Cited by 102 publications

References 76 publications

A short-and long-term analysis of the nexus between Bitcoin, social media and Covid-19 outbreak

A short-and long-term analysis of the nexus between Bitcoin, social media and Covid-19 outbreak

Safe-haven properties of soft commodities during times of Covid-19

The Impacts of the Infectious Disease Epidemic on the Permanent Volatility of Precious Metal and Crude Oil Futures Markets: A Long-Term Perspective

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