A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jbef.2020.100404
Download full text from publisher
References listed on IDEAS
- Stereńczak, Szymon & Zaremba, Adam & Umar, Zaghum, 2020. "Is there an illiquidity premium in frontier markets?," Emerging Markets Review, Elsevier, vol. 42(C).
- Vacha, Lukas & Barunik, Jozef, 2012.
"Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis,"
Energy Economics, Elsevier, vol. 34(1), pages 241-247.
- Lukas Vacha & Jozef Barunik, 2012. "Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis," Papers 1201.4776, arXiv.org.
- Baumöhl, Eduard, 2019.
"Are cryptocurrencies connected to forex? A quantile cross-spectral approach,"
Finance Research Letters, Elsevier, vol. 29(C), pages 363-372.
- Baumöhl, Eduard, 2018. "Are cryptocurrencies connected to forex? A quantile cross-spectral approach," EconStor Preprints 174884, ZBW - Leibniz Information Centre for Economics.
- Zhang, Dayong & Hu, Min & Ji, Qiang, 2020. "Financial markets under the global pandemic of COVID-19," Finance Research Letters, Elsevier, vol. 36(C).
- Kenourgios, Dimitrios & Umar, Zaghum & Lemonidi, Paraskevi, 2020. "On the effect of credit rating announcements on sovereign bonds: International evidence," International Economics, Elsevier, vol. 163(C), pages 58-71.
- Malik, Farooq & Umar, Zaghum, 2019. "Dynamic connectedness of oil price shocks and exchange rates," Energy Economics, Elsevier, vol. 84(C).
- Naeem, Muhammad & Umar, Zaghum & Ahmed, Sheraz & Ferrouhi, El Mehdi, 2020. "Dynamic dependence between ETFs and crude oil prices by using EGARCH-Copula approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
- Kristjanpoller, Werner & Bouri, Elie, 2019. "Asymmetric multifractal cross-correlations between the main world currencies and the main cryptocurrencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1057-1071.
- Conlon, Thomas & McGee, Richard, 2020. "Safe haven or risky hazard? Bitcoin during the Covid-19 bear market," Finance Research Letters, Elsevier, vol. 35(C).
- Haroon, Omair & Rizvi, Syed Aun R., 2020. "COVID-19: Media coverage and financial markets behavior—A sectoral inquiry," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
- Tiwari, Aviral Kumar & Raheem, Ibrahim Dolapo & Kang, Sang Hoon, 2019. "Time-varying dynamic conditional correlation between stock and cryptocurrency markets using the copula-ADCC-EGARCH model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
- Bouri, Elie & Shahzad, Syed Jawad Hussain & Roubaud, David, 2019. "Co-explosivity in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 29(C), pages 178-183.
- Zaremba, Adam & Umar, Zaghum & Mikutowski, Mateusz, 2019. "Inflation hedging with commodities: A wavelet analysis of seven centuries worth of data," Economics Letters, Elsevier, vol. 181(C), pages 90-94.
- Yasir Riaz & Choudhry Tanveer Shehzad & Zaghum Umar, 2019. "Pro-cyclical effect of sovereign rating changes on stock returns: a fact or factoid?," Applied Economics, Taylor & Francis Journals, vol. 51(15), pages 1588-1601, March.
- Umar, Zaghum & Nasreen, Samia & Solarin, Sakiru Adebola & Tiwari, Aviral Kumar, 2019. "Exploring the time and frequency domain connectedness of oil prices and metal prices," Resources Policy, Elsevier, vol. 64(C).
- Gil-Alana, Luis Alberiko & Abakah, Emmanuel Joel Aikins & Rojo, María Fátima Romero, 2020. "Cryptocurrencies and stock market indices. Are they related?," Research in International Business and Finance, Elsevier, vol. 51(C).
- Yang, Lu & Cai, Xiao Jing & Zhang, Huimin & Hamori, Shigeyuki, 2016. "Interdependence of foreign exchange markets: A wavelet coherence analysis," Economic Modelling, Elsevier, vol. 55(C), pages 6-14.
- Zaghum Umar & Choudhry Tanveer Shehzad & Aristeidis Samitas, 2019. "The demand for eurozone stocks and bonds in a time-varying asset allocation framework," The European Journal of Finance, Taylor & Francis Journals, vol. 25(11), pages 994-1011, July.
- Sharif, Arshian & Aloui, Chaker & Yarovaya, Larisa, 2020. "COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach," International Review of Financial Analysis, Elsevier, vol. 70(C).
- Liu, Weiyi, 2019. "Portfolio diversification across cryptocurrencies," Finance Research Letters, Elsevier, vol. 29(C), pages 200-205.
- de Araújo, André da Silva & Garcia, Maria Teresa Medeiros, 2013. "Risk contagion in the north-western and southern European stock markets," Journal of Economics and Business, Elsevier, vol. 69(C), pages 1-34.
- Zaghum Umar & Tahir Suleman, 2017. "Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities," Risks, MDPI, vol. 5(2), pages 1-18, March.
- Celeste, Valerio & Corbet, Shaen & Gurdgiev, Constantin, 2020. "Fractal dynamics and wavelet analysis: Deep volatility and return properties of Bitcoin, Ethereum and Ripple," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 310-324.
- Umar, Zaghum & Hussain Shahzad, Syed Jawad & Kenourgios, Dimitris, 2019. "Hedging U.S. metals & mining Industry's credit risk with industrial and precious metals," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Umar, Zaghum & Gubareva, Mariya & Tran, Dang Khoa & Teplova, Tamara, 2021. "Impact of the Covid-19 induced panic on the Environmental, Social and Governance leaders equity volatility: A time-frequency analysis," Research in International Business and Finance, Elsevier, vol. 58(C).
- Umar, Zaghum & Gubareva, Mariya & Teplova, Tamara, 2021. "The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels," Resources Policy, Elsevier, vol. 73(C).
- Umar, Zaghum & Trabelsi, Nader & Alqahtani, Faisal, 2021. "Connectedness between cryptocurrency and technology sectors: International evidence," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 910-922.
- Umar, Zaghum & Kenourgios, Dimitris & Papathanasiou, Sypros, 2020. "The static and dynamic connectedness of environmental, social, and governance investments: International evidence," Economic Modelling, Elsevier, vol. 93(C), pages 112-124.
- Umar, Zaghum & Gubareva, Mariya, 2021. "Faith-based investments and the Covid-19 pandemic: Analyzing equity volatility and media coverage time-frequency relations," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
- Aharon, David Y. & Umar, Zaghum & Aziz, Mukhriz Izraf Azman & Vo, Xuan vinh, 2022. "COVID-19 related media sentiment and the yield curve of G-7 economies," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
- Umar, Zaghum & Jareño, Francisco & Escribano, Ana, 2021. "Oil price shocks and the return and volatility spillover between industrial and precious metals," Energy Economics, Elsevier, vol. 99(C).
- Boubaker, Heni & Zorgati, Mouna Ben Saad & Bannour, Nawres, 2021. "Interdependence between exchange rates: Evidence from multivariate analysis since the financial crisis to the COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 592-608.
- Umar, Zaghum & Manel, Youssef & Riaz, Yasir & Gubareva, Mariya, 2021. "Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
- Umar, Zaghum & Jareño, Francisco & Escribano, Ana, 2021. "Agricultural commodity markets and oil prices: An analysis of the dynamic return and volatility connectedness," Resources Policy, Elsevier, vol. 73(C).
- Mariya Gubareva & Zaghum Umar, 2023. "Emerging market debt and the COVID‐19 pandemic: A time–frequency analysis of spreads and total returns dynamics," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 112-126, January.
- Umar, Zaghum & Bossman, Ahmed, 2023. "Quantile connectedness between oil price shocks and exchange rates," Resources Policy, Elsevier, vol. 83(C).
- Kavya Clanganthuruthil Sajeev & Mohd Afjal, 2022. "Contagion effect of cryptocurrency on the securities market: a study of Bitcoin volatility using diagonal BEKK and DCC GARCH models," SN Business & Economics, Springer, vol. 2(6), pages 1-21, June.
- Caporale, Guglielmo Maria & Kang, Woo-Young & Spagnolo, Fabio & Spagnolo, Nicola, 2021.
"Cyber-attacks, spillovers and contagion in the cryptocurrency markets,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
- Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets," CESifo Working Paper Series 8324, CESifo.
- Balcilar, Mehmet & Gabauer, David & Umar, Zaghum, 2021. "Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 73(C).
- Umar, Zaghum & Abrar, Afsheen & Hadhri, Sinda & Sokolova, Tatiana, 2023. "The connectedness of oil shocks, green bonds, sukuks and conventional bonds," Energy Economics, Elsevier, vol. 119(C).
- Umar, Zaghum & Trabelsi, Nader & Zaremba, Adam, 2021. "Oil shocks and equity markets: The case of GCC and BRICS economies," Energy Economics, Elsevier, vol. 96(C).
- Umar, Zaghum & Mokni, Khaled & Escribano, Ana, 2022. "Connectedness between the COVID-19 related media coverage and Islamic equities: The role of economic policy uncertainty," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
- Ştefan Cristian Gherghina & Liliana Nicoleta Simionescu, 2023. "Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-58, December.
- Ashraf, Badar Nadeem, 2020. "Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
More about this item
Keywords
Covid-19 panic; Wavelet coherence; Wavelet phase difference; Cross-currency hedge strategies; Cryptocurrencies; Currency markets; Lead–lag effects; Causality;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303312. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.journals.elsevier.com/journal-of-behavioral-and-experimental-finance .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.