Review of Behavioral Finance最新文献_第9页

A volatile mind? Experimental evidence on dealers' biases and market volatility 一个反复无常的人?交易商偏见与市场波动的实验证据

IF 2 Q2 BUSINESS, FINANCE

Review of Behavioral Finance

Pub Date : 2022-03-08 DOI: 10.1108/rbf-10-2021-0223

Smita Roy Trivedi

PurposeThe study tests the hypothesis that following the arrival of news in the forex market, the trader/dealers demonstrate two kinds of biases which makes markets volatile: “Recurrence bias,” the belief that news which formerly led to volatility, will again generate volatility (i.e. volatility is recurring), and “Volatility Perception Bias,” the belief that increased volatility following the arrival of a news would persist.Design/methodology/approachThe author uses a preliminary survey and three simulated trading game experiments involving professional foreign exchange dealers to understand these heuristic-led biases and the biases' impact on market volatility.FindingsThe paper finds evidence supporting the presence of both “Recurrence Bias” and “Volatility Perception Bias” and a statistically significant, positive impact of participant biases' on market heterogeneity.Originality/valueThe paper makes two important contributions: first, the use of simulated trading game experiment involving professional dealers and second, the incorporation of dealers' biases and heuristics in understanding forex volatility.

本研究检验了这样一个假设，即在消息进入外汇市场后，交易者/交易商表现出两种导致市场波动的偏见:“复发偏见”，即认为以前导致波动的新闻将再次产生波动(即波动是反复出现的)，以及“波动感知偏见”，即认为新闻到来后波动性会持续增加。设计/方法/方法作者通过初步调查和涉及专业外汇交易商的三个模拟交易游戏实验来了解这些启发式导向的偏差以及偏差对市场波动的影响。研究发现:本文发现了支持“复发偏差”和“波动感知偏差”存在的证据，并且参与者偏差对市场异质性具有统计显著的积极影响。本文有两个重要贡献:一是利用专业交易员参与的模拟交易游戏实验，二是将交易员的偏见和启发式方法纳入对外汇波动的理解。

引用次数: 0

Influence of bull and bear market phase on financial risk tolerance of urban individual investors in an emerging economy 牛市和熊市阶段对新兴经济体城市个人投资者金融风险承受能力的影响

IF 2 Q2 BUSINESS, FINANCE

Review of Behavioral Finance

Pub Date : 2022-03-02 DOI: 10.1108/rbf-05-2021-0087

N. Arora, B. Mishra

PurposeThis study aims to analyze how risk tolerance is influenced by bull and bear market phases, age and professional work experience (PWE) of investors in emerging economies. The authors also analyze how different market phases (bull and bear) influence risk tolerance of investors in emerging economies for different age groups and with varying PWE.Design/methodology/approachThe study uses two quantitative methods, one-way ANOVA and hierarchical regression model (HLM) to analyze individual investors' financial risk tolerance (FRT) in India.FindingsThe authors find that age and PWE have positive relationship with FRT behavior. However, interactions of these variables with market phase variable indicate that risk tolerance has nonlinear increasing relationship with investor's age and PWE. The risk tolerance of older investors is consistently high in both bull and bear market conditions, while young investors display a nonlinear risk behavior in different market conditions.Practical implicationsThe study suggests that financial planners should include a longitudinal risk profiling of investors based on age groups, PWE and the current market phase to better understand investors' FRT and also to prefer more context-specific advice to investors in emerging economies, which, consequently, result in increasing the retail investors' interest in otherwise sparsely participated equity market.Originality/valueInteraction effect of bull and bear market phases on relationship between age and PWE and FRT has been scantly studied.

本研究旨在分析新兴经济体投资者的风险承受能力如何受到牛市和熊市阶段、年龄和专业工作经验(PWE)的影响。作者还分析了不同的市场阶段(牛市和熊市)如何影响新兴经济体中不同年龄组和不同PWE的投资者的风险承受能力。本研究使用两种定量方法，单向方差分析和层次回归模型(HLM)来分析印度个人投资者的金融风险承受能力(FRT)。研究结果作者发现年龄和PWE与FRT行为呈正相关。然而，这些变量与市场相位变量的交互作用表明，风险承受能力与投资者的年龄和PWE呈非线性增长关系。在牛市和熊市条件下，老年投资者的风险承受能力始终较高，而年轻投资者在不同的市场条件下表现出非线性的风险行为。实际意义本研究表明，理财规划师应根据投资者的年龄组、PWE和当前市场阶段对投资者进行纵向风险分析，以更好地了解投资者的FRT，并向新兴经济体的投资者提供更具体的建议，从而增加散户投资者对其他参与率较低的股票市场的兴趣。独创性/价值牛市和熊市阶段对年龄与PWE和FRT关系的交互作用研究较少。

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引用次数: 1

Herding behaviour in the Islamic bank market: evidence from the Gulf region 伊斯兰银行市场的羊群行为:来自海湾地区的证据

IF 2 Q2 BUSINESS, FINANCE

Review of Behavioral Finance

Pub Date : 2022-03-02 DOI: 10.1108/rbf-02-2021-0018

I. Yousaf, Jassem Alokla

PurposeThis study examines herding in Islamic bank equity markets under various market conditions (up/down, high/low trading and high/low volatility) and during events such as Organization of the Petroleum Exporting Countries (OPEC) meeting days, Ramadan, the Gulf Cooperation Council (GCC) crisis of 2017 and the COVID-19 pandemic. The authors also look at the impact of rising and falling oil prices on herding behaviour.Design/methodology/approachThis study uses the model of Chang et al. (2000) to estimate herding behaviour in the Islamic bank markets.FindingsFirst, the authors estimate herding at the GCC region level, and the results reveal an absence of herding under all market conditions and during all the events considered, except for the GCC crisis of 2017. Second, the authors investigate herding in four Gulf countries (Saudi Arabia, United Arab Emirates [UAE], Qatar and Kuwait) separately and find that herding is evident in all these countries during various market conditions. During Ramadan, herding appears in the Saudi Arabia and Kuwait Islamic bank equity markets. Herding is not prevalent during OPEC meeting days in any of the markets, whereas herding is evident in Saudi Arabia, UAE and Kuwait Islamic bank equity markets during the GCC crisis of 2017 and the COVID-19 pandemic. Lastly, the rising and falling oil prices do not influence herding at either GCC region or country level.Practical implicationsFrom the practitioner's perspective, this study provides useful insights for investors in Islamic banks and policymakers, in terms of asset pricing, portfolio diversification, trading strategies and market stability.Originality/valueMany studies explore herding in the equity markets of Muslim majority countries, but not specifically in the Islamic bank market. This study fills this literature gap by comprehensively examining herding in Islamic bank equity markets under various market conditions (up/down, high/low trading and high/low volatility) and during events, such as OPEC meeting days, Ramadan, the GCC crisis of 2017 and the COVID-19 pandemic.

本研究考察了不同市场条件下(上涨/下跌、高/低交易和高/低波动)以及石油输出国组织(OPEC)会议日、斋月、2017年海湾合作委员会(GCC)危机和2019冠状病毒病大流行等事件期间伊斯兰银行股票市场的羊群行为。作者还研究了油价涨跌对羊群行为的影响。设计/方法/方法本研究使用Chang等人(2000)的模型来估计伊斯兰银行市场中的羊群行为。首先，作者对海湾合作委员会地区一级的放牧进行了估计，结果显示，除2017年海湾合作委员会危机外，在所有市场条件下和所考虑的所有事件期间都没有放牧。其次，作者分别调查了四个海湾国家(沙特阿拉伯、阿拉伯联合酋长国、卡塔尔和科威特)的畜牧业，发现在各种市场条件下，所有这些国家的畜牧业都很明显。斋月期间，沙特阿拉伯和科威特的伊斯兰银行股票市场出现了羊群现象。在欧佩克会议期间，羊群现象在任何市场都不普遍，而在2017年海湾合作委员会危机和2019冠状病毒病大流行期间，沙特阿拉伯、阿联酋和科威特伊斯兰银行股票市场的羊群现象很明显。最后，油价的涨跌不会影响海湾合作委员会区域或国家一级的畜牧业。从从业者的角度来看，本研究为伊斯兰银行的投资者和政策制定者在资产定价、投资组合多样化、交易策略和市场稳定性方面提供了有用的见解。许多研究探讨了穆斯林占多数的国家的股票市场中的羊群现象，但没有专门研究伊斯兰银行市场。本研究通过全面考察伊斯兰银行股票市场在不同市场条件下(上涨/下跌、高/低交易和高/低波动)以及在欧佩克会议日、斋月、2017年海湾合作委员会危机和2019冠状病毒病大流行等事件期间的羊群行为，填补了这一文献空白。

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引用次数: 1

Credit record overconfidence and alternative financial service use 信用记录过度自信和另类金融服务的使用

IF 2 Q2 BUSINESS, FINANCE

Review of Behavioral Finance

Pub Date : 2022-03-01 DOI: 10.1108/rbf-09-2021-0171

Christi R. Wann, Beverly K. Brockman, Christopher M. Brockman

PurposeThe purpose of this paper is to study the effect of credit record overconfidence on the use of alternative financial services (AFSs).Design/methodology/approachUsing data from the 2018 National Financial Capability Study (NFCS), the authors estimate logistic regressions on the use of at least one AFS by adding a credit record confidence variable that captures deviations between self-assessments of credit record management and the number of reported behaviors that would negatively affect aspects of a Fair Isaac Corporation (FICO) score.FindingsThe authors find that respondents with credit record overconfidence have over two times higher odds (123.9%) of using AFS than the odds of respondents with financial knowledge overconfidence (46.8%), relative to their reference categories. When compared directly, those with only credit record overconfidence have 32.6% higher odds of using AFS than those with only financial knowledge overconfidence.Practical implicationsThe results provide implications for education programs, not only for vulnerable groups at higher risk for AFS use but also for those with cognitive biases, such as credit record overconfidence. Potential solutions include personal financial education that includes debiasing and behavioral techniques for overconfidence.Originality/valueThis paper studies, for the first time, the effect of deviations between actual and perceived credit record management on AFS use.

本文的目的是研究信用记录过度自信对替代金融服务(AFSs)使用的影响。使用2018年国家财务能力研究(NFCS)的数据，作者通过添加信用记录信心变量来估计至少使用一种AFS的逻辑回归，该变量捕获信用记录管理自我评估与报告的行为数量之间的偏差，这些行为会对Fair Isaac Corporation (FICO)评分产生负面影响。研究结果作者发现，相对于参考类别，信用记录过度自信的受访者使用AFS的几率(123.9%)是金融知识过度自信的受访者(46.8%)的两倍多。当直接比较时，那些只有信用记录过度自信的人比那些只有金融知识过度自信的人使用AFS的几率高32.6%。实际意义该结果不仅对使用AFS风险较高的弱势群体，而且对那些有认知偏见的人，如信用记录过度自信，提供了教育计划的启示。潜在的解决方案包括个人理财教育，包括消除偏见和过度自信的行为技巧。原创性/价值本文首次研究了实际信用记录管理与感知信用记录管理之间的偏差对AFS使用的影响。

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引用次数: 0

Buy together, but recycle alone: sentiment-driven herding behavior in oceanic dry bulk shipping 共同购买，单独回收:海洋干散货航运中的情感驱动羊群行为

IF 2 Q2 BUSINESS, FINANCE

Review of Behavioral Finance

Pub Date : 2022-02-21 DOI: 10.1108/rbf-06-2021-0103

Konstantinos D. Melas, Nektarios A. Michail

Purpose

The authors employ the vessels that comprise the dry bulk segment of the maritime industry and examine how market sentiment affects the herding behavior of shipping investors in a real asset market.

Design/methodology/approach

The authors employ a threshold regression model to examine how changes in market sentiment can affect herding behavior in oceanic dry bulk shipping.

Findings

The results show that the behavioral aspect of investing, measured through intentional and unintentional herding, contrary to the results for financial markets, is affected by sentiment on the buy side (newbuildings) but not on the sell side (scrapping). Furthermore, the authors provide evidence that when market sentiment is negative, investors tend to follow market leaders (intentional herding), while, when sentiment is positive, unintentional herding leads to common investment practices among shipping investors.

Originality/value

The results have significant implications both for academics and for practitioners since they reflect a clear distinction of the pattern of investment decisions for real assets, compared to financial assets.

作者采用船舶组成的干散货部分的航运业和检验市场情绪如何影响航运投资者的羊群行为在一个真实的资产市场。设计/方法/方法作者采用阈值回归模型来研究市场情绪的变化如何影响海洋干散货航运的羊群行为。研究结果表明，与金融市场的结果相反，通过有意和无意的羊群来衡量的投资行为方面受到买方(新建筑)情绪的影响，而不是卖方(报废)情绪的影响。此外，作者提供的证据表明，当市场情绪为负面时，投资者倾向于跟随市场领导者(有意羊群)，而当市场情绪为积极时，无意羊群导致航运投资者之间的共同投资行为。独创性/价值这些结果对学术界和实践者都具有重要意义，因为它们反映了实物资产与金融资产投资决策模式的明显区别。

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引用次数: 0

Bearish conditions and volatility persistence during COVID-19 can microchip stocks weather the storm? 2019冠状病毒病期间的熊市和波动性持续存在，微芯片股能否度过难关?

IF 2 Q2 BUSINESS, FINANCE

Review of Behavioral Finance

Pub Date : 2022-02-21 DOI: 10.1108/rbf-11-2021-0235

M. Marobhe, Pastory Dickson

PurposeThe purpose of this article is to examine the impact of panic and hysteria news on the volatility of microchip stocks during Covid-19.Design/methodology/approachThe authors use the P-GARCH (1,1) and random effects regression to model/examine the impact of Covid-19 panic and hysteria news on the overall microchip sector and individual firms. They further utilize the SVAR model to examine volatility spill-over from the microchip sector to the automobile and main technology sectors. Their time frame ranges from 6th January 2020 to 30th June 2021 to capture the effects of both waves of Covid-19.Findings The study results firstly reveal that Covid-19 panic and hysteria news have tremendous potential to model the volatility of microchip sector stock thus confirming the information discovery hypothesis. The authors secondly demonstrate the influence of Covid-19 cases, deaths and policy stringency on stock returns of individual microchip companies in different countries. Finally the authors confirm the presence of volatility spill-over from the microchip sector to other technology sectors.Research limitations/implicationsThe authors provide evidence to support the profundity of bad news in predicting stock behavior. The study results depict how Covid-19 has affected microchip stocks so that policy initiatives can be taken to protect the industry. The presence of volatility spill-over signifies the importance of diversifying portfolios by mixing technology and non-technology stocks.Originality/valueThe research strand on Covid-19 and individual sectoral stocks has received limited scholarly attention despite unparallel effects of the pandemic on different sectors.

目的研究新冠肺炎疫情期间恐慌和歇斯底里的新闻对微芯片股票波动的影响。设计/方法/方法作者使用P-GARCH(1,1)和随机效应回归来建模/检查Covid-19恐慌和歇斯底里新闻对整个微芯片行业和个别公司的影响。他们进一步利用SVAR模型来检验波动从微芯片行业到汽车和主要技术行业的溢出效应。其时间框架为2020年1月6日至2021年6月30日，以捕捉两波Covid-19的影响。研究结果首先表明，新冠肺炎恐慌和歇斯底里新闻对微芯片行业股票波动具有巨大的建模潜力，从而证实了信息发现假说。其次，作者论证了新冠肺炎病例、死亡人数和政策严格程度对不同国家个别微芯片公司股票收益的影响。最后，作者证实了波动性从微芯片行业溢出到其他技术行业的存在。研究局限/启示作者提供了证据来支持坏消息在预测股票行为方面的深度。研究结果描述了Covid-19如何影响微芯片库存，以便采取政策举措来保护该行业。波动性溢出效应的存在表明了通过混合科技股和非科技股来实现投资组合多样化的重要性。尽管大流行对不同行业产生了不同的影响，但关于Covid-19和个别行业股票的研究得到的学术关注有限。

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引用次数: 2

Can personality traits influence Brazilian university students' financial literacy? 人格特质是否会影响巴西大学生的金融素养?

IF 2 Q2 BUSINESS, FINANCE

Review of Behavioral Finance

Pub Date : 2022-02-18 DOI: 10.1108/rbf-12-2021-0259

M. Goulart, Newton Carneiro Affonso da Costa Jr, A. Paraboni, M. Luna

PurposeThe objective of the present study is to assess the financial literacy levels of students at a Brazilian university and investigate how these levels are affected by profile characteristics and personality traits.Design/methodology/approachData were collected using SurveyMonkey, and a link to the questionnaire was sent by e-mail. The questionnaire contains three blocks of questions: demographics, financial literacy and personality traits. Ordered logistic regression was applied to a sample of 1,312 students.FindingsYounger participants, those with higher incomes and men were more likely to have a high level of financial literacy. The same was true of those who were less extrovert, i.e. assertive, sociable, optimistic and communicative students. These results contribute to the field by indicating which population segments should be prioritized in efforts to promote financial literacy.Originality/valueTo the best of our knowledge, no study has compared Financial Literacy and Personality Traits in Brazil, a developing country that is only beginning to develop national financial literacy strategies.

本研究的目的是评估巴西一所大学学生的金融素养水平，并探讨这些水平如何受到侧面特征和人格特征的影响。设计/方法/方法使用SurveyMonkey收集数据，并通过电子邮件发送问卷链接。该问卷包含三个问题块:人口统计、金融知识和个性特征。对1312名学生进行有序逻辑回归分析。研究发现，年龄较小、收入较高的参与者和男性更有可能拥有较高的金融知识水平。对于那些不那么外向的学生，即自信、善于交际、乐观和健谈的学生，情况也是如此。这些结果通过指出在促进金融知识普及的努力中应优先考虑哪些人口群体，对该领域作出了贡献。原创性/价值据我们所知，在巴西这个刚刚开始制定国家金融素养战略的发展中国家，还没有研究对金融素养和人格特征进行比较。

引用次数: 2

The effect of annual reports tone complexity on firms' dividend policy: evidence from the United States 年报语气复杂性对公司股利政策的影响:来自美国的证据

IF 2 Q2 BUSINESS, FINANCE

Review of Behavioral Finance

Pub Date : 2022-02-18 DOI: 10.1108/rbf-12-2021-0262

Harit Satt, G. Iatridis

PurposeThis paper investigates the impact of annual reports complexity (associated with tone complexity) on dividend policy and value of dividend policy.Design/methodology/approachThis paper uses the variable complexity provided by the textual analytics software (Diction 7.0) as the proxy for annual reports' tone complexity. The data covered non-financial American firms from years 2011–2019. The pooled ordinary least squares (OLS) regression and the instrumental variable regression are used to test the study’s arguments.FindingsThe findings suggest that the signaling theory of dividends holds in the United States. Firms with more complex annual reports tend to distribute more dividends, mainly in environment of high information. When information asymmetry is high, managers would use dividends as a tool to mitigate information asymmetry. Furthermore, the findings suggest that dividend policy has a stronger impact on firm value, especially when the tones of annual reports are highly complex. These findings support the previous results, namely, that managers would opt for dividend policy as a signaling tool for its positive impact on firm value. The results are robust to potential endogeneity issues and alternative proxies for both dividend policy and information asymmetry.Practical implicationsThe results demonstrate that the dividends' signaling theory holds in the United States, where the findings cannot be generalized to all markets; However, the findings of this research can be of use to potential and current investors, users of annual reports and decision makers as well.Originality/valueThe paper highlights the effect of the tone complexity of annual reports (using 10K text analytics) on the value of dividend policy and dividend policy itself in a developed economy. Understanding this relation will enable stakeholders to forecast future dividends, choose more appropriate valuation methods and hence restore investors' faith.

目的研究年报复杂性(与语气复杂性相关)对股利政策和股利政策价值的影响。设计/方法/方法本文使用文本分析软件(diction7.0)提供的可变复杂性作为年度报告语气复杂性的代理。这些数据涵盖了2011年至2019年的非金融类美国公司。本研究采用合集最小二乘(OLS)回归和工具变量回归来检验本研究的论点。研究结果表明，股利信号理论在美国是成立的。年报越复杂的公司倾向于分配更多的股利，主要是在高信息环境下。当信息不对称程度较高时，管理者会将股息作为缓解信息不对称的工具。此外，研究结果表明，股利政策对公司价值的影响更大，特别是当年度报告的基调非常复杂时。这些发现支持了之前的结果，即管理者会选择股息政策作为对公司价值产生积极影响的信号工具。结果对潜在的内生性问题和股息政策和信息不对称的替代代理都是稳健的。研究结果表明，股利信号理论在美国成立，研究结果不能推广到所有市场;然而，这项研究的结果对潜在的和现有的投资者、年度报告的使用者和决策者也是有用的。原创性/价值本文强调了年度报告的语气复杂性(使用10K文本分析)对发达经济体中股息政策价值和股息政策本身的影响。理解这种关系将使利益相关者能够预测未来的股息，选择更合适的估值方法，从而恢复投资者的信心。

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引用次数: 3

Feedback trading: a review of theory and empirical evidence 反馈交易:理论和经验证据的回顾

IF 2 Q2 BUSINESS, FINANCE

Review of Behavioral Finance

Pub Date : 2022-02-18 DOI: 10.1108/rbf-12-2021-0268

Fotini Economou, Konstantinos Gavriilidis, Bartosz Gebka, Vasileios Kallinterakis

Purpose

The purpose of this paper is to comprehensively review a large and heterogeneous body of academic literature on investors' feedback trading, one of the most popular trading patterns observed historically in financial markets. Specifically, the authors aim to synthesize the diverse theoretical approaches to feedback trading in order to provide a detailed discussion of its various determinants, and to systematically review the empirical literature across various asset classes to gauge whether their feedback trading entails discernible patterns and the determinants that motivate them.

Design/methodology/approach

Given the high degree of heterogeneity of both theoretical and empirical approaches, the authors adopt a semi-systematic type of approach to review the feedback trading literature, inspired by the RAMESES protocol for meta-narrative reviews. The final sample consists of 243 papers covering diverse asset classes, investor types and geographies.

Findings

The authors find feedback trading to be very widely observed over time and across markets internationally. Institutional investors engage in feedback trading in a herd-like manner, and most noticeably in small domestic stocks and emerging markets. Regulatory changes and financial crises affect the intensity of their feedback trades. Retail investors are mostly contrarian and underperform their institutional counterparts, while the latter's trades can be often motivated by market sentiment.

Originality/value

The authors provide a detailed overview of various possible theoretical determinants, both behavioural and non-behavioural, of feedback trading, as well as a comprehensive overview and synthesis of the empirical literature. The authors also propose a series of possible directions for future research.

本文的目的是全面回顾投资者反馈交易的大量学术文献，投资者反馈交易是金融市场历史上最流行的交易模式之一。具体而言，作者旨在综合反馈交易的各种理论方法，以便对其各种决定因素进行详细讨论，并系统地回顾各种资产类别的实证文献，以衡量其反馈交易是否需要可识别的模式以及激励它们的决定因素。设计/方法/方法考虑到理论和实证方法的高度异质性，作者采用半系统的方法来审查反馈交易文献，灵感来自RAMESES协议的元叙事审查。最后的样本包括243篇论文，涵盖了不同的资产类别、投资者类型和地理位置。研究结果作者发现，随着时间的推移，反馈交易在国际市场上被广泛观察到。机构投资者以一种类似羊群的方式参与反馈交易，最明显的是在小型国内股票和新兴市场。监管变化和金融危机影响了他们反馈交易的强度。散户投资者大多是逆向投资者，表现不如机构投资者，而后者的交易往往受到市场情绪的推动。原创性/价值作者详细概述了反馈交易的各种可能的理论决定因素，包括行为和非行为，以及对经验文献的全面概述和综合。作者还提出了未来可能的研究方向。

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引用次数: 0

Infectious disease (COVID-19)-related uncertainty and the safe-haven features of bonds markets 传染病(COVID-19)相关的不确定性和债券市场的避险特征

IF 2 Q2 BUSINESS, FINANCE

Review of Behavioral Finance

Pub Date : 2022-02-17 DOI: 10.1108/rbf-04-2021-0069

Shoaib Ali, I. Yousaf, Zaghum Umar

Purpose This study aims to examine the hedge, diversifier and safe-haven properties of bonds against infectious disease-related equity market volatility (IDEMV), like COVID-19.Design/methodology/approach The authors apply wavelet coherence methodology on the daily data of IDEMV and bond market (US, UK, Japan, Switzerland, Canada, Australia, Sweden, China and Europe) indices from 1 January 2000 to 14 February 2021.Findings The results show no significant co-movement between these bond indices and IDEMV, thus confirming that they serve as a hedge against IDEMV. However, during the turbulent period like COVID-19, the authors find that the US, UK, Japan, Switzerland, Canada, Australia, Sweden, China and European bond markets act as safe-haven against IDEMV, whereas the UK, US, Japan and Canadian bond markets demonstrate an in-phase and positive co-movement with IDEMV during COVID-19, suggesting their role as a diversifier.Research limitations/implications The study findings are important for investors and portfolio managers regarding risk management, portfolio diversification and investment strategies.Originality/value The authors contribute to the fast growing body of work on the financial impacts of COVID-19 as well as to ongoing consideration of whether a bond is a safe-haven investment.

本研究旨在检验债券对传染病相关股票市场波动(IDEMV)(如COVID-19)的对冲、多元化和避险特性。作者将小波相干性方法应用于2000年1月1日至2021年2月14日期间IDEMV和债券市场(美国、英国、日本、瑞士、加拿大、澳大利亚、瑞典、中国和欧洲)指数的每日数据。结果表明，这些债券指数与IDEMV之间没有显著的共同运动，从而证实它们可以对冲IDEMV。然而，在像COVID-19这样的动荡时期，作者发现，美国、英国、日本、瑞士、加拿大、澳大利亚、瑞典、中国和欧洲债券市场充当了对抗IDEMV的避风港，而英国、美国、日本和加拿大债券市场在COVID-19期间与IDEMV表现出同步和积极的共同运动，表明它们具有多元化的作用。研究结果对投资者和投资组合管理者在风险管理、投资组合多样化和投资策略方面具有重要意义。作者为关于COVID-19金融影响的快速增长的工作以及对债券是否为避险投资的持续考虑做出了贡献。

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引用次数: 21