The COVID-19 pandemic uncertainty, investor sentiment, and global equity markets: Evidence from the time-frequency co-movements

Dash, Saumya Ranjan; Maitra, Debasish

doi:10.1016/j.najef.2022.101712

Cited by 26 publications

(19 citation statements)

References 74 publications

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“…The increasing prevalence of the COVID-19 pandemic heightened pessimism in the world’s leading markets (Dash and Maitra 2022 ). An economic individual does not constantly act reasonably because their judgments are altered by beliefs (Huynh et al 2021 ).…”

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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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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“…Higher volatility is often found to cause higher illiquidity since it is associated with higher compensation expectations due to increased risk. There exists one strand of literature, which finds a significant positive relationship between trading volume and price volatility (Downing and Zhang, 2004; Leirvik, 2022; Dash and Maitra, 2022), while another strand documents a negative relationship (Wang and Wu, 2015). In the fixed-income literature, the role of idiosyncratic volatility has been examined in the liquidity of corporate bonds (Kalimipalli and Nayak, 2012; Wang and Wu, 2015) [1].…”

Section: Literature Review and Hypotheses Developmentmentioning

confidence: 99%

Rippling effect of liquidity risk in the sovereign term structure

Anthony

Prasanna

2023

JRF

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PurposeThe study attempts to identify the linkages in the term structure of illiquidity and the impact of global and domestic factors on sovereign bonds in emerging Asia. The objective of the study ensues on defining the direction of illiquidity spillover across bonds of varying tenors.Design/methodology/approachThis study explores the joint dynamics of contemporary liquidity risk premia and its time-varying effect on the term structure spectrum using the Diebold and Yilmaz (2012) spillover framework.FindingsA substantial relationship was found to exist between the liquidity of bonds with closer terms to maturity. The macroeconomic environment primarily impacts the liquidity of 10-year bonds, and they spiral down to the subsequent bond liquidity, exhibiting a rippling effect. The authors further show that the direction of liquidity shock transmission is from long- to medium- and thence to short-term bonds. Among the global factors, foreign investments and S & P 500 VIX significantly affect the liquidity of 10-year bonds.Research limitations/implicationsThe study has several implications for academicians, policymakers and domestic and global investment professionals. The drivers of liquidity risk and the transmission across the term structure help investors in designing efficient portfolio diversification strategies. The results are relevant for cross-border investors in the valuation of emerging Asian sovereign bonds while deciding on asset allocations and hedging strategies. The monetary regulators strive on a continuous basis to improve the liquidity in sovereign bond markets in order to ensure efficient funding of development activities. This study finds that short-term bonds are more liquid than long-term bonds. Their auction framework with higher series of short-term bond issues helps to provide the required liquidity in the markets.Practical implicationsThe term structure of illiquidity is upward sloping, inferring a higher underlying liquidity risk of long-term bonds compared to short-term bonds. This finding suggests that a higher representation of short-term bonds in the auction framework helps to enhance the overall market liquidity.Originality/valueThis study offers insights into the debate on the shape of the term structure of illiquidity and the point of origination of liquidity shocks. Further, the direction of spillover across a wide spectrum of bonds is also demonstrated.

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“…The Covid-19 pandemic outbreak in Wuhan, China, gradually spread across the world in 2020, and it was acknowledged by the WHO as a public health emergency. As per Dash and Maitra (2022), such a situation created challenges for the organisations to continue their operations and pretend the global equity market and investors due to the higher volatility of the stock market. The pandemic was followed by a financial crisis due to the loss of productivity and economic activity, along with negatively impacting future investment decisions management.…”

Section: Impact Of Financial Crises Epidemics or Pandemics On The Fin...mentioning

confidence: 99%

The Effect of Financial Disruptions, Epidemics & Pandemics on the Investor’s Sentiments—The Case of IHI PLC

Cross

2023

OJBM

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The research has aimed at analyzing the financial performance of IHI Plc before the pandemic and after the pandemic with a specific analysis of the investor's sentiments associated with it. The Covid-19 pandemic appeared in Wuhan, China, gradually spread across the world in 2020, and it was acknowledged by the WHO as a public health emergency. This created challenges for the organisations to continue their operations and pretend the global equity market and investors due to the higher volatility of the stock market. The pandemic was followed by a financial crisis due to the loss of productivity and economic activity, along with negatively impacting future investment decisions. The study has incorporated research methods of positivism philosophy, deductive approach and descriptive design and collected survey data considering investors for IHI Plc. The correlation and regression tests reflected an understanding that the investor's sentiments changed with the fluctuations in the financial performance of the company. However, an alternative hypothesis has been considered, thereby rejecting the null hypothesis where it reflected a pandemic effect on IHI's financial performance as well as investors' sentiments and participation.

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The COVID-19 pandemic uncertainty, investor sentiment, and global equity markets: Evidence from the time-frequency co-movements

Cited by 26 publications

References 74 publications

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

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

Rippling effect of liquidity risk in the sovereign term structure

The Effect of Financial Disruptions, Epidemics & Pandemics on the Investor’s Sentiments—The Case of IHI PLC

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The COVID-19 pandemic uncertainty, investor sentiment, and global equity markets: Evidence from the time-frequency co-movements

Cited by 26 publications

References 74 publications

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

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

Rippling effect of liquidity risk in the sovereign term structure

The Effect of Financial Disruptions, Epidemics &amp; Pandemics on the Investor’s Sentiments—The Case of IHI PLC

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Product

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About

The Effect of Financial Disruptions, Epidemics & Pandemics on the Investor’s Sentiments—The Case of IHI PLC