Asymmetric nexus between COVID-19 outbreak in the world and cryptocurrency market

Iqbal, Najaf; Fareed, Zeeshan; Guang-cai, Wan; Shahzad, Farrukh

doi:10.1016/j.irfa.2020.101613

Cited by 149 publications

(140 citation statements)

References 60 publications

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“…In respect of the state of art relative to academic research on diverse financial and economic consequences of the pandemic, including design and implementation of policies facilitating recovery from the Covid-triggered slowdown, it is worth acknowledging that the respective literature has recently grown with a rapid pace ( [13][14][15][16][17][18][19][20]; and references therein). However, a major part of academic publications addressing the reaction of financial markets to the pandemic is mostly focused on the stock market impacts ( [3,5,8,9,21,22]; among others), commodities ( [23][24][25][26][27]; among others), currencies and crypto-currencies [28][29][30][31]. However, it is worth noting that the sovereign and corporate debt markets are barely addressed.…”

Section: Covid-19 Impact On Financial Marketsmentioning

confidence: 99%

The impact of the Covid-19 related media coverage upon the five major developing markets

2021

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This paper analyses the influence of the Covid-19 coverage by the social media upon the shape of the sovereign yield curves of the five major developing countries, namely Federative Republic of B razil, Russian Federation, Republic of India, People’s Republic of China, and the Republic of South Africa (BRICS). The coherenc e between the level, slope, and the curvature of the sovereign yield term structures and the Covid-19 medi a coverage is found to vary between low and high ranges, depending on the phases of the pandemic. The empirical estimations of the yield-curve factors a re performed by means of the Diebold–Li modified version of the Nelson–Siegel model. The intervals of low coherence reveal the capacity of the two latent factors, level and slope, to be used for creating cross-factor diversification strategies, workable under crisis conditions, as evidenced on the example of the ongoing pandemic. Diverse coherence patterns are reported on a per-country basis, highlighting a promising potential of sovereign debt investments for designing cross-country and cross-factor fixed-income strategies, capable of hedging downside risks.

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Section: Covid-19 Impact On Financial Marketsmentioning

confidence: 99%

The impact of the Covid-19 related media coverage upon the five major developing markets

2021

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“…However, their expectations did not come true: when on March 12, 2020, the American S & P500 index fell by 10% due to panic among US investors because of the pandemic, the BTC rate dropped by more than 40% in one day (Figure 2). Nevertheless, after the March collapse in six months, the price increased by more than 150%, and this recovery was faster than for all other markets and this happened without any form of government support (for comparison, the S&P 500 index rose only by 50% over the same period) (Iqbal et al, 2021). (Ossinger, 2020).…”

Section: Resultsmentioning

confidence: 99%

Investments In Innovative Technologies And Digital Financial Assets: Problems And Prospects

PASHTOVA¹,

Klemenov²,

Oseev³

2021

Global Challenges and Prospects of the Modern Economic Development Proceedings of Global Challenges and Prospects of the Modern

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“…One can also find results of research performed in other financial aspects linked with COVID-19, such as those presenting the influence of the dynamics of the panic level due to COVID-19 shock onto movements of the exchange rates [27]. The influence of the pandemic onto alternative investments such as cryptocurrencies is also becoming important area of the research in finance [28][29][30][31][32].…”

Section: Introductionmentioning

confidence: 99%

COVID-19 pandemic and stability of stock market—A sectoral approach

2021

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The COVID-19 pandemic seems to be the most important phenomenon observed from March 2020 in virtually all countries of the world. The necessity to prevent the spread of COVID-19 and keep health care systems efficient resulted in the forced, drastic limitation of economic activity. Many service sectors were hit particularly hard with this but industry and agriculture were also affected. In particular, the pandemic substantially influenced financial markets and we can observe that some markets or instruments vary in stability since they have been affected in the different degree. In the paper, we present the problem of stability of stock markets during the COVID-19 pandemic. Due to the low number of works related to CEE countries during the pandemic, we analyze the Warsaw Stock Exchange, which is one of the most important markets in the CEE. Our main goal was to find how various industries represented by stock market indices have reacted to the COVID-19 shock and consequently which sectors turned out to keep stability and remained resistant to the pandemic. In our investigation, we use two clustering methods: the K-means and the Ward techniques with the criterion of maximizing the silhouette coefficient and six indicators describing stability in terms of profitability, volume, overbought/oversold conditions and volatility. The results of the research present that during the pandemic it was possible to identify 5 clusters of sector indices in the short term and 4 in the medium term. We found that the composition of the clusters is quite stable over time and that none of the obtained clusters can be univocally considered the most or the least stable taking into account all the analyzed indicators. However, we showed that the obtained clusters have different stability origins, i.e. they vary from each other in terms of the investigated indicators of stability.

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Asymmetric nexus between COVID-19 outbreak in the world and cryptocurrency market

Cited by 149 publications

References 60 publications

The impact of the Covid-19 related media coverage upon the five major developing markets

The impact of the Covid-19 related media coverage upon the five major developing markets

Investments In Innovative Technologies And Digital Financial Assets: Problems And Prospects

COVID-19 pandemic and stability of stock market—A sectoral approach

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