The COVID-19 black swan crisis: Reaction and recovery of various financial markets

Yarovaya, Larisa; Matkovskyy, Roman; Jalan, Akanksha

doi:10.1016/j.ribaf.2021.101521

Cited by 64 publications

(27 citation statements)

References 88 publications

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“…This suggests accumulation of the impact of shock over time, without the ability of the series to correct its course over time. The similar results are documented by Yarovaya, Matkovskyy, & Jalan, 2022. Gold, on the other hand, remains highly persistent across lower quantiles.…”

Section: Persistence Of Gold-backed Cryptocurrenciessupporting

confidence: 84%

“…Second, we investigate the potential of gold-backed stablecoins to bounce back to pre-pandemic levels using the Yang and Zhao (2020) unit root test, popular in literature to capture mean-reverting behaviour of crypto assets (e.g. Yarovaya, Matkovskyy, & Jalan, 2022). Third, we assess the return and volatility spillover between selected assets using the well-known Diebold and Yilmaz (2012) approach that has been employed widely in cryptocurrency literature (e.g.…”

Section: Introductionmentioning

confidence: 99%

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'Shiny' Crypto Assets: A Systemic Look at Gold-Backed Cryptocurrencies during the COVID-19 Pandemic

2021

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Section: Persistence Of Gold-backed Cryptocurrenciessupporting

confidence: 84%

Section: Introductionmentioning

confidence: 99%

'Shiny' Crypto Assets: A Systemic Look at Gold-Backed Cryptocurrencies during the COVID-19 Pandemic

2021

Self Cite

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“…Cocco et al ( 2022 ) reinforced this finding, advising that the pandemic has affected Bitcoin’s prestige as a safe-haven. Regarding the instability of returns, Yarovaya et al ( 2022 ) claimed that virtual currencies depict the riskiest asset class in the long-term; hence, their safe-haven feature is questionable. Karaömer ( 2022 ) confirmed that throughout the prominent incidents, cryptocurrency policy uncertainty (UCRY Policy) has a detrimental effect on digital currency returns, suggesting that they are ineffective as a hedge or safe-haven asset.…”

Section: Prior Literaturementioning

confidence: 99%

Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality

Gherghina

Simionescu

2023

Financ Innov

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This paper explores the asymmetric effect of COVID-19 pandemic news, as measured by the coronavirus indices (Panic, Hype, Fake News, Sentiment, Infodemic, and Media Coverage), on the cryptocurrency market. Using daily data from January 2020 to September 2021 and the exponential generalized autoregressive conditional heteroskedasticity model, the results revealed that both adverse and optimistic news had the same effect on Bitcoin returns, indicating fear of missing out behavior does not prevail. Furthermore, when the nonlinear autoregressive distributed lag model is estimated, both positive and negative shocks in pandemic indices promote Bitcoin’s daily changes; thus, Bitcoin is resistant to the SARS-CoV-2 pandemic crisis and may serve as a hedge during market turmoil. The analysis of frequency domain causality supports a unidirectional causality running from the Coronavirus Fake News Index and Sentiment Index to Bitcoin returns, whereas daily fluctuations in the Bitcoin price Granger affect the Coronavirus Panic Index and the Hype Index. These findings may have significant policy implications for investors and governments because they highlight the importance of news during turbulent times. The empirical results indicate that pandemic news could significantly influence Bitcoin’s price.

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“…Researchers, such as Goodell (2020) and Yarovaya et al. (2022), compared the economic costs of the quarantine measures with those of the 2008 financial crisis.…”

Section: Introductionmentioning

confidence: 99%

“…Researchers, such as Goodell (2020) and Yarovaya et al (2022), compared the economic costs of the quarantine measures with those of the 2008 financial crisis. They also assessed the potential financial consequences of COVID-19's current economic crisis (e.g.…”

Section: Introductionmentioning

confidence: 99%

Do Ṣukūk and Islamic indexes act as safe refuge to conventional stock markets? Evidence from Markov-switching CAPM approach

Bahloul

Mathlouthi²

2022

IES

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PurposeThe objective of this paper is twofold. First, to study the safe-haven characteristic of the Islamic stock indexes and Sukuk during the crises time. Second, to evaluate this property in the last pandemic. This study employs the daily dataset from June 15, 2015, to June 15, 2020, for the most affected countries by the earlier disease.Design/methodology/approachThis study uses the Markov-switching Capital Asset Pricing Model (CAPM) approach and the basic CAPM for the main analysis and the safe haven index (SHI) recently developed by Baur and Dimpfl (2021) for the robustness test.FindingsBased on Baur and Lucey's (2010) definition, empirical findings indicate that Islamic stock indexes cannot be a refuge throughout the crisis regime for all selected conventional markets. However, Sukuk are a strong refuge in Brazilian, Russian and Malaysian markets. For the remainder countries, except Italy, the USA and Spain, the Sukuk index offers weak protection against serious conventional market downturns. Similar conclusions are obtained during the COVID-19 global crisis period. Finally, results are confirmed by using the SHI.Originality/valueTo the best of the authors’ knowledge, this paper is the first study that evaluates the safe haven effectiveness of the Islamic index and Sukuk using the SHI in the most impacted countries by the COVID-19 outbreak.

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The COVID-19 black swan crisis: Reaction and recovery of various financial markets

Cited by 64 publications

References 88 publications

'Shiny' Crypto Assets: A Systemic Look at Gold-Backed Cryptocurrencies during the COVID-19 Pandemic

'Shiny' Crypto Assets: A Systemic Look at Gold-Backed Cryptocurrencies during the COVID-19 Pandemic

Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality

Do Ṣukūk and Islamic indexes act as safe refuge to conventional stock markets? Evidence from Markov-switching CAPM approach

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