Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis

Umar, Zaghum; Youssef, Manel; Riaz, Yasir; Gubareva, Mariya

doi:10.1016/j.pacfin.2021.101563

Cited by 31 publications

(20 citation statements)

References 52 publications

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“…In parallel [66], apply a wavelet-coupled random vector functional link network to forecast coronavirus spreading in the five worst-affected states, namely, Federative Republic of Brazil, Republic of India, Republic of Peru, Russian federation, and the United States of America. It is also worth mentioning few recent applications of wavelet technique to study the pandemic impacts upon capital markets: [30,33,60,67,68], and the references therein.…”

Section: Time-frequency Wavelet Analysismentioning

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: Time-frequency Wavelet Analysismentioning

confidence: 99%

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

2021

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“… Korobilis and Yilmaz, 2018 , Umar and Gubareva, 2021 , Umar et al, 2021 , Yousaf and Yarovaya, 2021 , Crow and Ostroff, 2021a , Dowling, 2022 , Frijns and Huynh, 2018 …”

Section: Uncited Referencesmentioning

confidence: 99%

The Return and Volatility Connectedness of NFT Segments and Media Coverage: Fresh Evidence Based on News About the COVID-19 Pandemic

Umar

Abrar

Zaremba

et al. 2022

Finance Research Letters

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“…Delatte and Guillaaume ( 2020 ) illustrated the determinants of bond spread in the Euro Area during Covid-19 and observed that Central Bank speeches are the main drivers of spread, whereas the contribution of securities purchase programs is limited in its impacts. Umar et al ( 2021 ) studied the bond market shock spillovers between emerging and the US economies during the pandemic. They displayed a substantial rise in the dynamic connectedness between media coverage, emerging market bonds, and US bonds during the pandemic.…”

Section: Literature Surveymentioning

confidence: 99%

“…The world economy witnessed tremendous cross-country financial market shock spillovers that affected macroeconomic performance and its recovery worldwide during the Global Financial Crisis (2008). Similarly, the Covid-19 pandemic forced the world to experience an unprecedented health crisis that led to economic and financial catastrophes across the markets (Umar et al, 2021 ). The impact of pandemics varies across markets.…”

Section: Introductionmentioning

confidence: 99%

“…Apart from these studies, there are also a few extant literatures that rest on analyzing cross-border sovereign bond markets spillover/connectivity (Ahmad et al, 2018 ; Cronin & Dunne, 2019 ; Claeys & Vasicek, 2012 , 2019 ; Fernandez-Rodriguez et al, 2016 ; Antonakakis & Vergos, 2013 ; Tule et al, 2017 ; Sowmya et al, 2016 ; Yang & Hamori, 2015 ; Sensoy et al, 2017 ; Asutay & Hakim, 2018 ; Chen et al, 2020 ; Gao et al, 2021 ; Umar et al, 2021 ; Karkowska & Urjasz, 2021 ; Balli et al, 2022 ). However, many of these studies dealt with sovereign bond market spillover/connectivity, particularly among the erstwhile advanced countries of Europe.…”

Section: Introductionmentioning

confidence: 99%

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Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period

Rout

Mallick

2022

Asia-Pac Financ Markets

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With application of Diebold and Yilmaz’s (Int J Forecast 28(1):57–66, 2012) spillover approach, we examine shock spillover in international sovereign bond yields over short, medium, and long term maturities for major eight economies. By scrutinizing the data from 1st January 2013 to 12th November 2020, we explored that irrespective of pre-covid-19 or covid-19 period, shock spillover in bond yields across markets are much stronger over long and medium maturities relative to short-term maturity. Moreover, shock spillover of bond yields has amplified manifold during Covid-19, irrespective of their maturities compared to pre-Covid-19 period. The magnitude of shock spillovers remains low with short-term maturity. Assessing the relationship between international sovereign bond markets (SBMs) contributes to our understanding and is also crucial to the investors (both domestic and foreign) in investing in SBMs.

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Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis

Cited by 31 publications

References 52 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

The Return and Volatility Connectedness of NFT Segments and Media Coverage: Fresh Evidence Based on News About the COVID-19 Pandemic

Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period

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