当前位置: X-MOL 学术Pacific Accounting Review › 论文详情
Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)
COVID-19 pandemic and connectedness across financial markets
Pacific Accounting Review Pub Date : 2021-02-22 , DOI: 10.1108/par-08-2020-0114
Muhammad Abubakr Naeem , Saba Sehrish , Mabel D. Costa

Purpose

This study aims to estimate the time–frequency connectedness among global financial markets. It draws a comparison between the full sample and the sample during the COVID-19 pandemic.

Design/methodology/approach

The study uses the connectedness framework of Diebold and Yilmaz (2012) and Barunik and Krehlik (2018), both of which consider time and frequency connectedness and show that spillover is specific to not only the time domain but also the frequency (short- and long-run) domain. The analysis also includes pairwise connectedness by making use of network analysis. Daily data on the MSCI World Index, Barclays Bloomberg Global Treasury Index, Oil future, Gold future, Dow Jones World Islamic Index and Bitcoin have been used over the period from May 01, 2013 to July 31, 2020.

Findings

This study finds that cryptocurrency, bond and gold are hedges against both conventional stocks and Islamic stocks on average; however, these are not “safe havens” during an economic crisis, i.e. COVID-19. External shocks, such as COVID-19, strengthen the return connectedness among all six financial markets.

Research limitations/implications

For investors, the study provides important insights that during external shocks such as COVID-19, there is a spillover effect, and investors are unable to hedge risk between conventional stocks and Islamic stocks. These so-called safe haven investment alternatives suffer from the similar negative impact of systemic financial risk. However, during an external shock such as COVID-19, cryptocurrencies, bonds and gold can be used to hedge risk against conventional stocks, Islamic stocks and oil. Moreover, the findings imply that by engaging in momentum trading, active investors can gain short-run benefits before the market processes any new information.

Originality/value

The study contributes to the emergent literature investigating the connectedness among financial markets during the COVID-19 pandemic. It provides evidence that the return connectedness among six global financial markets, namely, conventional stocks, Islamic stocks, bond, oil, gold and cryptocurrency, is extremely strong. From a methodological standpoint, this study finds that COVID-19 pandemic shock has a significant short-run impact on the connectedness among financial markets.



中文翻译:

COVID-19大流行和整个金融市场之间的联系

目的

这项研究旨在估计全球金融市场之间的时频联系。它对完整样本与COVID-19大流行期间的样本进行了比较。

设计/方法/方法

这项研究使用了Diebold和Yilmaz(2012)以及Barunik和Krehlik(2018)的关联性框架,两者都考虑了时间和频率的关联性,并表明溢出不仅针对时域,而且还针对频率(短时和长时)。 -run)域。该分析还包括利用网络分析进行的成对连接。在2013年5月1日至2020年7月31日期间,使用了MSCI世界指数,巴克莱彭博全球国债指数,石油期货,黄金期货,道琼斯世界伊斯兰指数和比特币的每日数据。

发现

这项研究发现,加密货币,债券和黄金平均可以对冲常规股票和伊斯兰股票。但是,这些不是经济危机期间的“避风港”,即COVID-19。外部冲击(例如COVID-19)加强了所有六个金融市场之间的收益联系。

研究局限/意义

对于投资者而言,该研究提供了重要的见解,即在外部冲击(例如COVID-19)期间,会产生溢出效应,并且投资者无法对冲常规股票和伊斯兰股票之间的风险。这些所谓的“避风港”投资替代方案也遭受了系统性金融风险的类似负面影响。但是,在外部冲击(例如COVID-19)期间,可以使用加密货币,债券和黄金来对冲常规股票,伊斯兰股票和石油的风险。此外,调查结果暗示,通过进行动量交易,活跃的投资者可以在市场处理任何新信息之前获得短期收益。

创意/价值

该研究有助于研究COVID-19大流行期间金融市场之间的联系的新兴文献。它提供了证据,表明常规股票,伊斯兰股票,债券,石油,黄金和加密货币这六个全球金融市场之间的收益关联性非常强。从方法论的角度来看,这项研究发现,COVID-19大流行性冲击对金融市场之间的联系具有重大的短期影响。

更新日期:2021-03-15
down
wechat
bug