The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields

Caporale, Guglielmo Maria; Gil-Alana, Luís A.; Poza, Carlos

doi:10.1016/j.qref.2022.06.007

Cited by 13 publications

(6 citation statements)

References 22 publications

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“…We also find a significant impact of adverse events such as the COVID-19 pandemic financial crisis and the Russo-Ukrainian War on spillovers across markets. The high spillover effects among cryptocurrencies, stocks, and commodities during our sampling period of 2020–2022 are consistent with previous empirical studies that document significant contagion across financial markets since the start of the COVID-19 pandemic in 2020 (Ghosh et al 2022 ; Carporale et al 2022 ; Vera-Valdés 2022 ; Adekoya 2022 ; Hui and Chan 2022 ; Shahzad et al 2021a ; Shahzad et al 2021b ; Bentes 2021 ; Youssef et al 2021 ; Yousaf and Ali 2020 ). Our study contributes to the extant body of literature on the matter by documenting the relationship between cryptocurrencies and other financial markets at higher-order moments.…”

Section: Empirical Analysissupporting

confidence: 89%

“…Our results also show that short-term volatility connectedness tends to be greater than long-term volatility connectedness, except during the first year of the COVID-19 pandemic in 2020. These results suggest a higher level of shock persistence among markets at the beginning of the pandemic (Adekoya 2022 ; Vera-Valdés 2022 ; Carporale et al 2022 ; Bentes 2021 ; Youssef et al 2021 ; Shahzad et al 2021a ).…”

Section: Empirical Analysismentioning

confidence: 92%

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Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets

Hanif

Pham

et al. 2023

Financ Innov

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This study examines the connectedness in high-order moments between cryptocurrency, major stock (U.S., U.K., Eurozone, and Japan), and commodity (gold and oil) markets. Using intraday data from 2020 to 2022 and the time and frequency connectedness models of Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012) and Baruník and Křehlík (J Financ Econom 16(2):271–296, 2018), we investigate spillovers among the markets in realized volatility, the jump component of realized volatility, realized skewness, and realized kurtosis. These higher-order moments allow us to identify the unique characteristics of financial returns, such as asymmetry and fat tails, thereby capturing various market risks such as downside risk and tail risk. Our results show that the cryptocurrency, stock, and commodity markets are highly connected in terms of volatility and in the jump component of volatility, while their connectedness in skewness and kurtosis is smaller. Moreover, jump and volatility connectedness are more persistent than that of skewness and kurtosis connectedness. Our rolling-window analysis of the connectedness models shows that connectedness varies over time across all moments, and tends to increase during periods of high uncertainty. Finally, we show the potential of gold and oil as hedging and safe-haven investments for other markets given that they are the least connected to other markets across all moments and investment horizons. Our findings provide useful information for designing effective portfolio management and cryptocurrency regulations.

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Section: Empirical Analysissupporting

confidence: 89%

Section: Empirical Analysismentioning

confidence: 92%

Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets

Hanif

Pham

et al. 2023

Financ Innov

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“…Additionally, the health, education and information technology industries in China were able to not only survive the pandemic but also showed positive reaction to it. On similar lines, Caporale et al (2022) examined if perseverance is present in the US monthly stocks. The study used "fractional integration techniques" and applied them to assess the persistence of sample stocks from January 1966 to December 2020.…”

Section: Pandemicmentioning

confidence: 99%

Section: Review Of Literaturementioning

confidence: 99%

Russia–Ukraine war and the impact on Indian economy

Bhattacharjee,

Gaur,

Gupta

2023

JES

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PurposeIndia is not geographically close to either Russia or Ukraine. However, India's trade relations with them make it vulnerable to the consequences of the war between these countries. Thus, the present study aims to examine the impact of the Russia–Ukraine war on various sectoral indices of the Indian economy.Design/methodology/approachEvent study methodology has been used in this study for analysis. The date of the war announcement is the event day. The sample studied includes ten sectors of the Indian economy listed on the National Stock Exchange (NSE). Results correspond to the period of −167 days to +20 days of the announcement of the war, i.e. from June 25, 2021, to March 28, 2022.FindingsAlmost all the sample sectors earned significantly positive abnormal returns in the post-event period. The metal industry has led this group by showcasing the highest abnormal returns. Though Indian sectors made overall positive returns, the market soon corrected itself and abnormal returns were wiped out.Practical implicationsThese results can benefit portfolio managers, analysts, investors and policymakers in hedging risks and selecting suitable investments during increased global uncertainty. The study's conclusions help policymakers establish an institutional and supervisory framework that will make it easier to spot systematic risks and reduce them by putting countercyclical measures in place.Originality/valueIndia has no geographical proximity or trade relations with Russia or Ukraine, as strong as any other European country. However, Russia has remained a strong ally to India in the trade of defense equipment. Similar is the case with Ukraine, a significant global partner for India. Thus, the impact of conflict between these two countries has not been limited to Europe only but has also engulfed related economies. Hence, the present study is one of the first attempts to examine the burns sustained by the Indian economy due to this war.

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“…The Covid-19 epidemic is an extremity of global health that requires restrictive measures aimed at containing the spread of the Corona Virus with its devastating impact on the world. So frugality has beneficial consequences and requires rapid and expansive policy measures (Caporale, et al 2022). However, in 2020 when the outbreak occurred, investors refrained from investing in bonds because the risk overshadowed investors.…”

Section: Introductionmentioning

confidence: 99%

Yield to Maturity Bond: Interest Rate, Inflation and Bond Rating – Empirical Research on Banking Sector

Purnomo

Wijaya

Pratama

2022

JRAK

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This research aims at determining the impact of interest rates, inflation and bond rating on bond yields to maturity. This type of exploration using quantitative exploration with an associative approach. purposive sampling was used for the selection of research samples. The population of this research is banking companies listed on the Indonesia Stock Exchange in 2016-2020. This disquisition used panel data regression analysis system. From the model test, a random effect model was attained as a model estimator. The result of this research is that interest rates, inflation, and bond rating together affect bond yields to maturity. Interest rate and inflation variables did not affect a bond's yield to maturity. The bond standing variable harms the bond's yield to maturity.

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The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields

Cited by 13 publications

References 22 publications

Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets

Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets

Russia–Ukraine war and the impact on Indian economy

Yield to Maturity Bond: Interest Rate, Inflation and Bond Rating – Empirical Research on Banking Sector

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