Does COVID-19 pandemic event alter the dependence structure breaks between crude oil and stock markets in Europe and America

Chang, Kai; Li, Sheng Ze

doi:10.1016/j.egyr.2022.10.450

Cited by 7 publications

(4 citation statements)

References 88 publications

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“…The COVID-19 pandemic's sudden emergence disrupted the dependency structure of various markets, as evidenced by Chang and Li's (2022) findings on the significant asymmetric and symmetric dependence structure between the stock markets and the global crude oil market.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The rapid expansion of the COVID-19 outbreak's economic impacts produced unprecedented impacts on stock market volatility and the impulsive nature of economic policy. Stock volatility levels during the crisis are equivalent to or greater than those seen in October 1987 andDecember 2008. According to a recent study by Chang and Li (2022), the COVID-19 pandemic may have had an impact on the European and American capital markets' dependence on crude oil. Their empirical findings showed a robust asymmetric and symmetric link between the price of crude oil and stock in the European and US markets.…”

Section: Introductionmentioning

confidence: 99%

“…

According to Chang and Li (2022), the COVID-19 pandemic may have had an impact on the European and American capital markets' dependence on crude oil. However, no studies have assessed the returns and impacts of crude oil and gold prices on Southeast Asian stock markets in conjunction with the COVID-19 pandemic.

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confidence: 99%

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Impact of Oil and Gold Prices on Southeast Asian Stock Markets: Empirical Evidence from Quantile Regression Analysis

Sinlapates,

Chancharat

2024

ABAC J

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According to Chang and Li (2022), the COVID-19 pandemic may have had an impact on the European and American capital markets’ dependence on crude oil. However, no studies have assessed the returns and impacts of crude oil and gold prices on Southeast Asian stock markets in conjunction with the COVID-19 pandemic. To address this gap, a quantile regression model was used to analyze data of Southeast Asia stock prices from 2016 to 2023, alongside the daily closing prices of Dubai crude oil and world gold. The findings suggest that crude oil has a large trickle-down impact on the Southeast Asian market returns. This highlights the importance of dynamic linkages over time by reporting dynamic spillover to be statistically significant in Southeast Asian stock returns. Most stock returns show that volatility shocks are enduring. In Singapore and Thailand, the gold returns significantly and favorably affect the stock returns at all quantiles. At various quantiles, the impact of gold returns is notably favorable in the remaining scenarios.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Impact of Oil and Gold Prices on Southeast Asian Stock Markets: Empirical Evidence from Quantile Regression Analysis

Sinlapates,

Chancharat

2024

ABAC J

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“…Unfortunately, these staggering numbers may also understate the damage of the pandemic, especially in developing countries ( 2 ). The pandemic has become the most significant public health event since the outbreak of the 1918 flu, with substantial implications for human health, society, and global economic growth ( 3 ). In order to address the threats posed by the pandemic, countries have implemented effective prevention and control measures, such as non-pharmaceutical interventions and vaccination ( 4 ).…”

Section: Introduction and Literature Reviewmentioning

confidence: 99%

The COVID-19 pandemic and Bitcoin: Perspective from investor attention

Wan

Zhu

2023

Front. Public Health

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The response of the Bitcoin market to the novel coronavirus (COVID-19) pandemic is an example of how a global public health crisis can cause drastic market adjustments or even a market crash. Investor attention on the COVID-19 pandemic is likely to play an important role in this response. Focusing on the Bitcoin futures market, this paper aims to investigate whether pandemic attention can explain and forecast the returns and volatility of Bitcoin futures. Using the daily Google search volume index for the “coronavirus” keyword from January 2020 to February 2022 to represent pandemic attention, this paper implements the Granger causality test, Vector Autoregression (VAR) analysis, and several linear effects analyses. The findings suggest that pandemic attention is a granger cause of Bitcoin returns and volatility. It appears that an increase in pandemic attention results in lower returns and excessive volatility in the Bitcoin futures market, even after taking into account the interactive effects and the influence of controlling other financial markets. In addition, this paper carries out the out-of-sample forecasts and finds that the predictive models with pandemic attention do improve the out-of-sample forecast performance, which is enhanced in the prediction of Bitcoin returns while diminished in the prediction of Bitcoin volatility as the forecast horizon is extended. Finally, the predictive models including pandemic attention can generate significant economic benefits by constructing portfolios among Bitcoin futures and risk-free assets. All the results demonstrate that pandemic attention plays an important and non-negligible role in the Bitcoin futures market. This paper can provide enlightens for subsequent research on Bitcoin based on investor attention sparked by public emergencies.

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Asymptotic Dependence and Its Impact on Hedging Effectiveness: An Examination of Stock, Currency, and Commodity Futures

Sharma,

Karmakar

2024

Journal of Futures Markets

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This study measures the asymptotic dependence between spot and futures losses and investigates its impact on hedging effectiveness using data from stock, currency, and commodity markets. The findings reveal that stock futures contracts show strong asymptotic dependence, while currency futures have weak asymptotic dependence and most commodity futures lack asymptotic dependence with the underlying spots. Further, stock futures have the highest hedging effectiveness, while commodity and currency futures show low hedging effectiveness for downside risk. Results also suggest that asymptotic dependence is critical for minimum‐variance hedging. Asymptotic dependence increases with the hedging horizon, leading to a better hedging performance of the futures. It also appears that the hedging strategies sensitive to asymptotic dependence perform better than the competing models. The results for the entire period and the subsample periods offer similar conclusions.

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Does COVID-19 pandemic event alter the dependence structure breaks between crude oil and stock markets in Europe and America

Cited by 7 publications

References 88 publications

Impact of Oil and Gold Prices on Southeast Asian Stock Markets: Empirical Evidence from Quantile Regression Analysis

Impact of Oil and Gold Prices on Southeast Asian Stock Markets: Empirical Evidence from Quantile Regression Analysis

The COVID-19 pandemic and Bitcoin: Perspective from investor attention

Asymptotic Dependence and Its Impact on Hedging Effectiveness: An Examination of Stock, Currency, and Commodity Futures

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