You sneeze, and the markets are paranoid: the fear, uncertainty and distress sentiments impact of the COVID-19 pandemic on the stock–bond correlation

Banerjee, Ameet Kumar

doi:10.1108/jrf-04-2022-0095

Cited by 18 publications

(9 citation statements)

References 57 publications

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“…The loss aversion and risk intolerance the majority of retail investors did not allow them to enter the financial market for quite a long time. However, they changed their attitude to investing in risky assets despite the fear, uncertainty and distress caused by the COVID-19 pandemic (Banerjee, 2022). The question then is, “What factors contributed to the fact that new investors began to treat the opportunities to invest in riskier and potentially profitable assets more urgently than threats of money losses?”…”

Section: Literature Reviewmentioning

confidence: 99%

Redefining investors' goals in the post–normal world

Миловидов

2023

JRF

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PurposeThe purpose of the article is to show the changing behavior of investors in the post-pandemic period, the continued development of “emotional communities” in the financial market, as well as the factors contributing to their formation and the role of such communities in the elaboration of investors' decisions.Design/methodology/approachThe research includes an analysis of the popularity of various terms searched in the US segment of Google in the financial category from 2004 to 2022, their correlation with financial market indicators and theoretical observations around these data.FindingsThe results obtained by the author allow him to draw the following conclusions: (1) the change in investors' behavior indicates the formation of the new distributed community-centric model of the financial market; (2) the main distinguishing feature of the behavior of many retail investors is gamification; (3) the networking of investors contributes to a significant change in their priorities in the elaboration of investment decisions; (4) the fundamental indicators of the financial market play an ever decreasing role in the decision-making of individual investors.Originality/valueTo the best of the author's knowledge, the formation of emotional communities of investors and their role in the elaboration of mass investor decisions is not widely covered in the literature. The paper develops a framework for further studies on the role of emotional communities in the financial market and in changing behavior of retail investors.

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Section: Literature Reviewmentioning

confidence: 99%

Redefining investors' goals in the post–normal world

Миловидов

2023

JRF

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“…COVID-19 is accumulating an increasing corpus of empirical evidence that span both the financial and economic systems, with financial system studies becoming increasingly popular as more data becomes accessible (Narayan et al ., 2020; Banerjee, 2022; Banerjee et al ., 2022). The initial set of research questioned COVID-19's influence on the energy market (see Abadie, 2021; Connolly et al ., 2020; Shaikh, 2021).…”

Section: Literature Reviewmentioning

confidence: 99%

Asymmetric information flow to G7 and Nordic equities markets during COVID-19 pandemic

Owusu

Hung

2023

JRF

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PurposeThis paper investigates the probable differential impact of the confirmed cases of COVID-19 on the equities markets of G7 and Nordic countries to ascertain possible interdependencies, diversification and safe haven prospects in the era of the COVID-19 pandemic over the short-, intermediate- and long-term horizons.Design/methodology/approachThe authors apply a unique methodology in a denoised frequency-domain entropy paradigm to the selected equities markets (Li et al. 2020).FindingsThe authors’ findings reinforce the operability of the entrenched market dynamics in the COVID-19 pandemic era. The authors divulge that different approaches to fighting the pandemic do not necessarily drive a change in the deep-rooted fundamentals of the equities market, specifically for the studied markets. Except for an extreme case nearing the end (start) of the short-term (intermediate-term) between Iceland and either Denmark or the US equities, there exists no potential for diversification across the studied markets, which could be ascribed to the degree of integration between these markets.Practical implicationsThe authors’ findings suggest that politicians should pay closer attention to stock market fluctuations as well as the count of confirmed COVID-19 cases in their respective countries since these could cause changes to market dynamics in the short-term through investor sentiments.Originality/valueThe authors measure the flow of information from COVID-19 to G7 and Nordic equities using the entropy methodology induced by the Improved Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (ICEEMDAN), which is a data-driven technique. The authors employ a larger sample period as a result of this, which is required to better comprehend the subtleties of investor behaviour within and among economies – G7 and Nordic geographical blocs – which largely employed different approaches to fighting the COVID-19 pandemic. The authors’ focus is on diverging time horizons, and the ICEEMDAN-based entropy would enable us to measure the amount of information conveyed to account for large tails in these nations' equity returns. Furthermore, the authors use a unique type of entropy known as Rényi entropy, which uses suitable weights to discern tailed distributions. The Shannon entropy does not account for the fact that financial assets have fat tails. In a pandemic like COVID-19, these fat tails are very strong, and they must be accounted for.

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“…The importance of blockchain markets in assuring long-term economic growth and development is extensively documented in both financial (Zhang et al ., 2018; Costa et al ., 2019; Mensi et al ., 2019; Al-Yahyaee et al ., 2020; Banerjee, 2022) and economic literature (Cocco et al ., 2017). Cryptocurrency market evolution has been shown to strongly affect market efficiency (Milos et al ., 2020).…”

Section: Related Workmentioning

confidence: 99%

Energy-conserving cryptocurrency response during the COVID-19 pandemic and amid the Russia–Ukraine conflict

Mnif

Mouakhar

Jarboui

2022

JRF

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PurposeThe mining process is essential in cryptocurrency networks. However, it consumes considerable electrical energy, which is undoubtedly harmful to the environment. In response, energy-conserving cryptocurrency projects with reduced energy requirements or based on renewable energies have been developed. Recently, the COVID-19 pandemic and the Russian invasion of Ukraine ignited an unprecedented upheaval in financial products, especially in cryptocurrency and energy markets. Therefore, the paper aims to explore the response of these energy-conserving cryptocurrencies to the COVID-19 pandemic and the Russia–Ukraine conflict.Design/methodology/approachThis paper investigates the response of these energy-conserving cryptocurrencies to the COVID-19 pandemic and the Russia–Ukraine conflict. Their competitiveness is compared with conventional ones by analyzing their efficiency through multifractal detrended fluctuation analysis and automatic variance ratio during the COVID-19 and Russian invasion periods.FindingsThe empirical results show that all investigated energy-conserving cryptocurrencies negatively responded to the pandemic and positively reacted to the Russian invasion. On the other hand, all conventional cryptocurrencies reacted negatively to the COVID-19 pandemic and the amid-Russian attack. Besides, Bitcoin and SolarCoin were the least inefficient before the outbreak of COVID-19. Nevertheless, the Ethereum market became the most efficient after the pandemic spread. Similarly, the efficiency of Ripple was the most significant during the conflict between Russia and Ukraine. The energy crisis caused by Russia benefited the efficiency of the studied energy-conserving cryptocurrencies.Practical implicationsThis research is of interest to investors seeking opportunities in these energy-conserving cryptocurrencies and policymakers working to implement reforms to improve their market efficiency and promote long-term financial market growth.Originality/valueTo the best of the authors' knowledge, the behavior of cryptocurrencies based on renewable and reduced energy during the recent conflict between Russia and Ukraine has not been explored.

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You sneeze, and the markets are paranoid: the fear, uncertainty and distress sentiments impact of the COVID-19 pandemic on the stock–bond correlation

Cited by 18 publications

References 57 publications

Redefining investors' goals in the post–normal world

Redefining investors' goals in the post–normal world

Asymmetric information flow to G7 and Nordic equities markets during COVID-19 pandemic

Energy-conserving cryptocurrency response during the COVID-19 pandemic and amid the Russia–Ukraine conflict

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