The directional spillover effects and time-frequency nexus between stock markets, cryptocurrency, and investor sentiment during the COVID-19 pandemic

Hayet Soltani, Jamila Taleb, Mouna Boujelbène Abbes
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引用次数: 2

Abstract

PurposeThis paper aims to analyze the connectedness between Gulf Cooperation Council (GCC) stock market index and cryptocurrencies. It investigates the relevant impact of RavenPack COVID sentiment on the dynamic of stock market indices and conventional cryptocurrencies as well as their Islamic counterparts during the onset of the COVID-19 crisis.Design/methodology/approachThe authors rely on the methodology of Diebold and Yilmaz (2012, 2014) to construct network-associated measures. Then, the wavelet coherence model was applied to explore co-movements between GCC stock markets, cryptocurrencies and RavenPack COVID sentiment. As a robustness check, the authors used the time-frequency connectedness developed by Barunik and Krehlik (2018) to verify the direction and scale connectedness among these markets.FindingsThe results illustrate the effect of COVID-19 on all cryptocurrency markets. The time variations of stock returns display stylized fact tails and volatility clustering for all return series. This stressful period increased investor pessimism and fears and generated negative emotions. The findings also highlight a high spillover of shocks between RavenPack COVID sentiment, Islamic and conventional stock return indices and cryptocurrencies. In addition, we find that RavenPack COVID sentiment is the main net transmitter of shocks for all conventional market indices and that most Islamic indices and cryptocurrencies are net receivers.Practical implicationsThis study provides two main types of implications: On the one hand, it helps fund managers adjust the risk exposure of their portfolio by including stocks that significantly respond to COVID-19 sentiment and those that do not. On the other hand, the volatility mechanism and investor sentiment can be interesting for investors as it allows them to consider the dynamics of each market and thus optimize the asset portfolio allocation.Originality/valueThis finding suggests that the RavenPack COVID sentiment is a net transmitter of shocks. It is considered a prominent channel of shock spillovers during the health crisis, which confirms the behavioral contagion. This study also identifies the contribution of particular interest to fund managers and investors. In fact, it helps them design their portfolio strategy accordingly.
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COVID-19大流行期间股票市场、加密货币和投资者情绪之间的定向溢出效应和时频关系
目的本文旨在分析海湾合作委员会(GCC)股票市场指数与加密货币之间的联系。它调查了RavenPack COVID情绪对新冠肺炎危机爆发期间股市指数和传统加密货币及其伊斯兰同行动态的相关影响。设计/方法论/方法论作者依靠Diebold和Yilmaz(20122014)的方法论来构建网络相关措施。然后,应用小波一致性模型来探索海湾合作委员会股票市场、加密货币和RavenPack新冠病毒情绪之间的协同运动。作为稳健性检验,作者使用Barunik和Krehlik(2018)开发的时频连通性来验证这些市场之间的方向和规模连通性。结果说明了新冠肺炎对所有加密货币市场的影响。股票收益的时间变化显示了所有收益序列的风格化事实尾部和波动性聚类。这段紧张的时期增加了投资者的悲观情绪和恐惧情绪,并产生了负面情绪。研究结果还突显了RavenPack新冠肺炎情绪、伊斯兰和传统股票回报指数以及加密货币之间的冲击高度溢出。此外,我们发现RavenPack新冠肺炎情绪是所有传统市场指数冲击的主要净发送器,大多数伊斯兰指数和加密货币都是净接收器。实际含义这项研究提供了两种主要类型的含义:一方面,它帮助基金经理调整其投资组合的风险敞口,包括对新冠肺炎情绪有显著反应的股票和没有反应的股票。另一方面,波动机制和投资者情绪对投资者来说可能很有趣,因为它允许他们考虑每个市场的动态,从而优化资产组合配置。独创性/价值这一发现表明,RavenPack的新冠肺炎情绪是冲击的净传递者。它被认为是健康危机期间冲击溢出的一个突出渠道,证实了行为传染。这项研究还确定了基金经理和投资者特别感兴趣的贡献。事实上,这有助于他们相应地设计投资组合策略。
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来源期刊
CiteScore
6.90
自引率
0.00%
发文量
21
审稿时长
24 weeks
期刊介绍: European Journal of Management and Business Economics is interested in the publication and diffusion of articles of rigorous theoretical, methodological or empirical research associated with the areas of business economics, including strategy, finance, management, marketing, organisation, human resources, operations, and corporate governance, and tourism. The journal aims to attract original knowledge based on academic rigour and of relevance for academics, researchers, professionals, and/or public decision-makers.
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