For whom does it pay to be a moral capitalist? Sustainability of corporate financial performance of ESG investment.

This paper analyzes the risk-return characteristics of socially responsible investing by employing a time-varying capital gain and Sharpe ratio analysis for various investment horizons. We employ the MSCI ESG (environmental, social and governance) leaders indices in ten markets encompassing Australia, Canada, Europe, Japan, UK, USA, China, India, Russia, and South Africa. Our sample ranges from 2007-2020. We document that ESG investments have very desirable return and hedging attributes for investors in these markets, and especially so in the USA and emerging markets.

Decoupling Between the Energy and Semiconductor Sectors During the Pandemic: New Evidence from Wavelet Analysis

We study the impact of COVID-19 on the pairwise dependence between three indices, the COVID-19 Media Coverage Index, MSCI World Semiconductor Index, and the MSCI World Energy Index, as well as investigate the respective volatility spillovers. We find intervals of weak, moderate, and strong coherence between the Media Coverage Index and returns and volatility of semiconductor and energy sector companies. Low coherence intervals indicate a diversification potential of investments in these sectors and in their volatility-based products during periods of systemic crises such as the financial turmoil induced by COVID-19. Our results provide evidence that after the escalation of the pandemic in early 2020, the energy sector cedes its leading role in terms of volatility to the semiconductor industry. We report on appealing hedging attributes related to the decoupling between the trends in the global semiconductor industry and the global energy sector accelerated by the COVID-19 triggered crisis.

Connectedness of COVID vaccination with economic policy uncertainty, oil, bonds, and sectoral equity markets: evidence from the US.

We examine the connectedness of the COVID vaccination with the economic policy uncertainty, oil, bonds, and sectoral equity markets in the US within time and frequency domain. The wavelet-based findings show the positive impact of COVID vaccination on the oil and sector indices over various frequency scales and periods. The vaccination is evidenced to lead the oil and sectoral equity markets. More specifically, we document strong connectedness of vaccinations with communication services, financials, health care, industrials, information technology (IT) and real estate equity sectors. However, weak interactions exist within the vaccination-IT-services and vaccination-utilities pairs. Moreover, the effect of vaccination on the Treasury bond index is negative, whereas the economic policy uncertainty shows an interchanging lead and lag relation with vaccination. It is further observed that the interrelation between vaccination and the corporate bond index is insignificant. Overall, the impact of vaccination on the sectoral equity markets and economic policy uncertainty is higher than on oil and corporate bond prices. The study offers several important implications for investors, government regulators, and policymakers.

Assessing the impact of media sentiment on the returns of sukuks during the Covid-19 crisis

The wavelet approach covering simultaneously the time and frequency domains is employed to study the impact of the Covid-19 coverage in mass media on the performance of the Dow Jones Sukuk investment grade total return indices. The overall coherence level for the media-coverage – sukuk pairs is found to increase with the investment horizon. Multiple time-frequency regions with low level of coherence, observable along the Covid-19 systemic crisis, imply attractive diversification attributes of investing in Islamic fixed-income securities especially in times of financial stress and turmoil. We investigate coherence and phase difference patterns, which differ for distinct maturity buckets of the Sukuk indices, further highlighting their potentiality for the downside risk hedge, workable under economic and financial distress.

Emerging market debt and the COVID‐19 pandemic: A time–frequency analysis of spreads and total returns dynamics

We apply wavelet analyses to study the impact of COVID‐19 pandemic on the performance of emerging market bonds, in both investment grade and high yield ranges of creditworthiness. Our results show varying level of coherence ranging from low, medium and high between the Coronavirus Media Coverage index and the price moves of the emerging market USD‐denominated debt. We attribute the intervals of low coherence levels to the diversification potential during a systemic pandemic such as COVID‐19 of investments in bonds issued by developing economies. We document differences in patterns exhibited by various indices describing behaviour of option‐adjusted spreads and total returns as a function of credit quality of issuers form emerging market economies. We report well‐defined zones of the regime switching between the lead and lag roles of the emerging market bonds vis‐à‐vis the media coverage.

Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis

In this study, we investigate the return and volatility spillovers between emerging markets and US government bonds during the Covid-19-triggered pandemic by accounting for the market sentiment captured by the media coverage index. To study the dynamic spillovers, we use a TVP-VAR approach. Our results show a significant increase in the dynamic connectedness between media coverage, emerging market bonds, and US bonds, as well as between the respective volatilities, especially during the early phases of the Covid-19 pandemic, with the highest values observed in March 2020. The emerging market bonds appear to be net transmitters to the system and lead the system;whereas, the US bond market is the net receiver. These results show that, during the pandemic, the US bond market is less vulnerable and more resilient to changes in market sentiment vis-à-vis the fixed-income markets of the developing countries.

Decoupling Between the Energy and Semiconductor Sectors During the Pandemic: New Evidence from Wavelet Analysis

We study the impact of COVID-19 on the pairwise dependence between three indices, the COVID-19 Media Coverage Index, MSCI World Semiconductor Index, and the MSCI World Energy Index, as well as investigate the respective volatility spillovers. We find intervals of weak, moderate, and strong coherence between the Media Coverage Index and returns and volatility of semiconductor and energy sector companies. Low coherence intervals indicate a diversification potential of investments in these sectors and in their volatility-based products during periods of systemic crises such as the financial turmoil induced by COVID-19. Our results provide evidence that after the escalation of the pandemic in early 2020, the energy sector cedes its leading role in terms of volatility to the semiconductor industry. We report on appealing hedging attributes related to the decoupling between the trends in the global semiconductor industry and the global energy sector accelerated by the COVID-19 triggered crisis.

Impacts of COVID-19 on dynamic return and volatility spillovers between rare earth metals and renewable energy stock markets

We examine the time-frequency co-movements and return and volatility spillovers between the rare earths and six major renewable energy stocks. We employ the wavelet analysis and the spillover index methodology from January 1, 2018 to May 15, 2020. We report that the COVID-19-triggered significant increase in co-movements and spillovers in returns and volatility between the rare earths and renewable energy returns and volatility. The rare earths act as net recipient of both return and volatility spillovers, while the clean energy stocks are net transmitters of return and volatility spillovers before and during the COVID-19 crisis. The solar and wind stocks are net transmitters/receivers of spillovers before/during the pandemic. The remaining markets shift from net spillover receivers to transmitters or vice versa;evidencing the effects of the pandemic. Our results show that cross-market hedge strategies may have their efficiency impaired during the periods of crises implying a necessity of portfolio rebalancing.

Oil price shocks and the term structure of the US yield curve: a time-frequency analysis of spillovers and risk transmission.

This paper investigates the influence of oil demand, oil supply, and risk-driven shocks on the yield curve in the US between 1995 and 2020. The US term-structure shape is modeled by three structural factors, the level, slope, and curvature. Their empirical analysis is performed according to the Diebold-Li modified variant of the widely used Nelson-Siegel model. The technique of wavelet analysis allows investigating the interrelation of shocks in oil prices and the US yield curve along time and frequency domains, simultaneously. We report on low, medium, and high coherence zones, relative to the oil price movements and the changes in the three yield-curve factors. The low coherence intervals indicate the potential for the three latent factors to be used for creating diversification strategies capable of hedging adverse dynamics in the oil market, potentially workable through global crises. We document the variability of dynamic patterns observable for the US sovereign yield factors on per-type-of-shock basis, evidencing the potential role of the US sovereign debt investments for designing cross-asset hedge strategies for commodity and fixed-income markets.

Covid-19 impact on NFTs and major asset classes interrelations: insights from the wavelet coherence analysis

Non-fungible tokens (NFTs) revolutionize crypto-landscape, becoming popular among investors and general public. This first-ever study of coherence between returns of NFTs and major assets employs the wavelet approach. The pairwise returns coherence between the considered markets grows throughout the Covid-19. Before the pandemic, NFTs lag behind stocks (2017) and bitcoin (2018), while lead gold (2018). We reveal that the returns coherence between NFTs and other assets is high/low for the two-week-plus/below-to-weeks investment horizons. We refine Aharon and Demir´s (2021) findings stating that NFTs absorbed risk during Covid-19 by demonstrating that this conclusion holds only in the short-run for below-two-weeks horizons.

Media sentiment and short stocks performance during a systemic crisis

During crisis periods, investors often engage in short selling of stocks, in line with their pessimistic view of the present and future market performance as well as with the hope to repurchase the stocks back in the future at much lower prices. This attitude not only affects stock returns, but also may lead to significant risk transmission among assets. Addressing this concern, our study examines the returns and volatility connectedness between media coverage index (MCI) and high short interest stocks during the recent Covid-19 pandemic. We document MCI as a net transmitter for all returns series, whereas the results for volatility series exhibits binary behavior, acting as either a transmitter or recipient depending on the considered sector of economic activity. We highlight that the healthcare and energy sector stocks behave as net recipients of both, returns and volatility;hence, a certain caution is required while including them in investment portfolios. Finally, the causality test indicates that the MCI is more strongly connected with stock returns than with volatilities, thus signaling that media, may not only provoke a rise in stock volatility, but cause intense risk transmission especially during a systemic crisis similar to Covid-19.

Impact of the Covid-19 induced panic on the Environmental, Social and Governance leaders equity volatility: A time-frequency analysis.

We apply wavelet analyses to study how the Covid-19 fueled panic influenced the volatility of ESG (environmental, social and governance) leaders' indices encompassing the World, the USA, Europe, China, and the Emerging Markets. We document intervals of the low, medium, and high coherence between the Coronavirus Panic Index and the price moves of the ESG Leaders indices. The low coherence intervals signify the diversification potential of ESG investments during a systemic pandemic such as Covid-19. We document differences in the pattern exhibited by various geographical indices highlighting their potential role for designing cross-geography hedge strategies, both now and in the future.

The impact of the Covid-19 related media coverage upon the five major developing markets.

This paper analyses the influence of the Covid-19 coverage by the social media upon the shape of the sovereign yield curves of the five major developing countries, namely Federative Republic of B razil, Russian Federation, Republic of India, People's Republic of China, and the Republic of South Africa (BRICS). The coherenc e between the level, slope, and the curvature of the sovereign yield term structures and the Covid-19 medi a coverage is found to vary between low and high ranges, depending on the phases of the pandemic. The empirical estimations of the yield-curve factors a re performed by means of the Diebold-Li modified version of the Nelson-Siegel model. The intervals of low coherence reveal the capacity of the two latent factors, level and slope, to be used for creating cross-factor diversification strategies, workable under crisis conditions, as evidenced on the example of the ongoing pandemic. Diverse coherence patterns are reported on a per-country basis, highlighting a promising potential of sovereign debt investments for designing cross-country and cross-factor fixed-income strategies, capable of hedging downside risks.

The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels.

We apply wavelet analyses to study how the Covid pandemic influenced the volatility of commodity prices, covering various classes of commodities. We document the intervals of low, medium, and high coherence between the coronavirus panic index and the moves of the commodity prices. The low coherence intervals indicate the diversification potential of commodity investments during a systemic pandemic such as Covid-19. We document differences in the observed patterns per commodity category and evidence their potential role for designing cross-assets hedge strategies based on investments in commodities.

Faith-based investments and the Covid-19 pandemic: Analyzing equity volatility and media coverage time-frequency relations

We perform time-frequency wavelet-based analysis to explore how the media coverage of the Covid-19 pandemic influenced the volatility of the Islamic equity indices, covering various sectors of economic activity. Our results show that the coherence between the Media Coverage Index and the moves of the Islamic stocks varies from low and medium to high levels. We attribute the intervals of low coherence to the diversification potential of Islamic equity investments during a systemic pandemic such as Covid-19. We document differences in the patterns exhibited by various indices per sector, showing their potential role for designing hedging strategies across sectors, based on stocks of companies which comply with Shariah.

Return and volatility transmission between oil price shocks and agricultural commodities.

This paper studies the connectedness between oil price shocks and agricultural commodities. Our sample period ranges from January 2002 to July 2020, covering the three global crises; Global Financial Crisis, the European sovereign debt crisis and Covid-19 pandemic crisis. We employ Granger causality tests, and the static and dynamic connectedness spillover index methodology. We find that the shocks in oil prices are Granger-caused mainly by price changes of grains, live cattle, and wheat, while supply shock granger causes variations mostly in grain prices. We find that, from the point of view of static connectedness, for both, price and volatility spillovers, the livestock is the largest transmitter, while the lean hogs are the major receiver. Our dynamic analysis evidences that connectedness increases during the financial crisis period. Our results are potentially useful for investors, portfolios managers and policy makers.