Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis

Khalfaoui, Rabeh; Mefteh‐Wali, Salma; Doğan, Buhari; Ghosh, Sudeshna

doi:10.1016/j.irfa.2023.102496

Cited by 45 publications

(8 citation statements)

References 70 publications

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“…These indexes offer a robust quantitative framework for researchers to analyze the extent to which changes in one market can affect others [13] , providing critical insights into the interdependencies within the global financial system. Some notable studies that utilized these indexes include [28] , [35] , [16] , [25] , [55] …”

Section: Discussion Of Resultsmentioning

confidence: 99%

The impacts of global economic policy uncertainty on green bond returns: A systematic literature review

Gyamerah,

Asare

2024

Heliyon

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Section: Discussion Of Resultsmentioning

confidence: 99%

The impacts of global economic policy uncertainty on green bond returns: A systematic literature review

Gyamerah,

Asare

2024

Heliyon

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“…Bitcoin, Ethereum, Chevron, ConocoPhilips, Apple, and Microsoft are net volatility transmitters and the other six are net receivers (e.g., Bouri et al 2021;Li et al 2023). Total volatility spillover ranges between 40 and 85% over time (e.g., Fang et al 2022;Khalfaoui et al 2023). The most significant volatility spillover occurred between 2020 and 2021, indicating the COVID-19 pandemic strongly influenced volatility spillover, and during 2022 the volatility spillover.…”

Section: Discussionmentioning

confidence: 99%

“…In addition, we evaluate the magnitude and characteristics of spillover fluctuations over time by examining the corresponding time series of spillover indices. Over the study period, 200-day total volatility spillovers were between 40 and 85%, whereas the static total spillover index was 54%, in line with (Kang et al 2019;Fang et al 2022;Khalfaoui et al 2023). Compared with static analyses, which produce strong indicators, the time-varying technique offers more information on the volatility connections among the cryptocurrency, energy, and technology markets.…”

Section: Diebold and Yilmaz (2012) Modelmentioning

confidence: 90%

“…They found that total and net connectedness considerably affect market uncertainties; for example, when the COVID-19 pandemic hit, Litecoin became more popular and had a higher hedge ratio than Bitcoin. Khalfaoui et al (2023) investigate the spillover effect of COVID-19 and cryptocurrency on green bond markets using the approaches in Diebold and Yilmaz (2012) and Ando et al (2022). They find that bogus news related to COVID-19 was the highest net shock provider, followed by Bitcoin.…”

Section: Literature Reviewmentioning

confidence: 99%

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Volatility spillovers among leading cryptocurrencies and US energy and technology companies

Alamaren,

Gokmenoglu,

Taspinar

2024

Financ Innov

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This study investigates volatility spillovers and network connectedness among four cryptocurrencies (Bitcoin, Ethereum, Tether, and BNB coin), four energy companies (Exxon Mobil, Chevron, ConocoPhillips, and Nextera Energy), and four mega-technology companies (Apple, Microsoft, Alphabet, and Amazon) in the US. We analyze data for the period November 15, 2017–October 28, 2022 using methodologies in Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012) and Baruník and Křehlík (J Financ Economet 16(2):271–296 2018). Our analysis shows the COVID-19 pandemic amplified volatility spillovers, thereby intensifying the impact of financial contagion between markets. This finding indicates the impact of the pandemic on the US economy heightened risk transmission across markets. Moreover, we show that Bitcoin, Ethereum, Chevron, ConocoPhilips, Apple, and Microsoft are net volatility transmitters, while Tether, BNB, Exxon Mobil, Nextera Energy, Alphabet, and Amazon are net receivers Our results suggest that short-term volatility spillovers outweigh medium- and long-term spillovers, and that investors should be more concerned about short-term repercussions because they do not have enough time to act quickly to protect themselves from market risks when the US market is affected. Furthermore, in contrast to short-term dynamics, longer term patterns display superior hedging efficiency. The net-pairwise directional spillovers show that Alphabet and Amazon are the highest shock transmitters to other companies. The findings in this study have implications for both investors and policymakers.

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“…Scholars attribute this volatility to a myriad of factors. First, the market's sensitivity to news, both positive and negative, plays a pivotal role (Khalfaoui et al, 2023). For instance, regulatory news, technological advancements, or macroeconomic factors can trigger significant price movements (Bojaj et al, 2022;Nakagawa & Sakemoto, 2021).…”

Section: Commerce and Business Researchermentioning

confidence: 99%

Beyond the Hype: Evaluating the Real Impact of News on Cryptocurrency Market Volatility

A.,

Prakash,

et al. 2023

CBR

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This study used the CMC 200 Index as a cryptocurrency market benchmark to examine complex volatility patterns of cryptocurrencies. The growing interest in cryptocurrencies and the necessity to analyse their market dynamics, especially in the face of external inputs like news, prompted the study. The study examined market responses and causes to diverse stimuli using rigorous analytical models including GARCH, EGARCH, FIGARCH, and News Impact Curve. The asymmetricvolatility or “leverage effect” showed that negative events or news have a greater impact on market volatility than positive developments of similar magnitude. Symmetric volatility indicated large price shifts regardless of news direction. The left-skewed news effect curve emphasises this asymmetric volatility, demonstrating that negative news has a greater impact on market dynamics. The curve’s leftward skew shows the market’s increased susceptibility to pessimism. This suggests that negative news might undermine investor confidence in the crypto market more than favourable news. Beyond these initial reactions, the research revealed a “long memory” in market volatility, suggesting that prior shocks continue to affect its volatility over time. These studies emphasise the importance of investor sentiment in crypto market. Investors in this volatile market need honest communication and strong risk management due to the leverage impact and prior experience.

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Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis

Cited by 45 publications

References 70 publications

The impacts of global economic policy uncertainty on green bond returns: A systematic literature review

The impacts of global economic policy uncertainty on green bond returns: A systematic literature review

Volatility spillovers among leading cryptocurrencies and US energy and technology companies

Beyond the Hype: Evaluating the Real Impact of News on Cryptocurrency Market Volatility

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