波动性(金融)
经济
溢出效应
库存(枪支)
货币经济学
金融经济学
股票市场
2019年冠状病毒病(COVID-19)
金融危机
金融市场
文件夹
计量经济学
宏观经济学
财务
医学
疾病
传染病(医学专业)
机械工程
古生物学
马
病理
生物
工程类
作者
Nadia Arfaoui,Imran Yousaf
出处
期刊:Annals of Financial Economics
[World Scientific]
日期:2022-03-01
卷期号:17 (01)
被引量:47
标识
DOI:10.1142/s201049522250004x
摘要
This study contributes to the COVID-19 related literature in finance by examining asymmetric volatility spillover across stock, Bitcoin, gold and oil markets before and during the COVID-19 pandemic. Based on multivariate VAR asymmetric BEKK GARCH model, findings show that the interdependency across the examined markets intensified during the recent health crisis. Moreover, we find that oil market appears as major receivers of volatility spillovers, particularly from gold and stock market which is mostly the results of dramatic collapse of oil prices during the COVID-19 outbreak. We also document that gold exhibits a strong resilience during COVID-19 crisis, suggesting its potential hedging ability during uncertainty. As for asymmetric volatility spillover, findings show the highest sensitivity of oil and Bitcoin markets to gold and US stock markets. Our findings have important implications for investors, portfolio managers and policymakers.
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