Volatility spillovers and hedging effectiveness between oil and stock markets: Evidence from a wavelet-based and structural breaks analysis

Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?

“…With the repetition of the above-stated process, a time series with an unknown number of variance breaks is obtained. The ICSS algorithm has been widely applied in recent empirical research ( Belhassine & Karamti, 2021 ; Mensi, Hammoudeh, & Yoon, 2015 ). This study establishes the ARMA model for the newly infected number of COVID-19 cases released by the WHO from January 3, 2020, to June 4, 2021.…”

Can gold and bitcoin hedge against the COVID-19 related news sentiment risk? New evidence from a NARDL approach

“…For example, Akkoc and Civcir (2019) use different versions of the structural vector autoregression-dynamic conditional correlation (DCC)-GARCH framework to examine the movement of the international gold prices index to explore the hedging effect of gold on stocks. In a wavelet-based multivariate GARCH framework, Belhassine and Karamti (2021) explore the correlation and hedging effectiveness of oil and equity markets over different investment horizons. Five copula models are used by Garcia-jorcano and Benito (2020) to explore the characteristics of Bitcoin as a hedging asset for market stock indexes.…”

Did real economic uncertainty drive risk connectedness in the oil–stock nexus during the COVID-19 outbreak? A partial wavelet coherence analysis

“…Using the TVP-VAR framework, Bahloul and Khemakhem (2021) showed evidence of spillover risk transmission among oil and Islamic stock markets after the COVID-19 pandemic. Another analysis performed by Belhassine and Karamti (2021) showed that risk spillovers between the oil prices and the stock markets of rich oil importing and exporting countries are strongly interdependent in the long run between oil and stock indices; oil-exporting countries showed a higher correlation in the very long run than importing countries. Furthermore, Cui et al (2021) stated that the total risk spillovers among oil and stock markets in oil-importing and oil-exporting countries were mostly transmitted in the long run, in which the oil market receives much more risk spillovers from the stock markets in the US, EU, Canada, and Russia.…”