ABSTRACT
We classify the market sentiment to COVID‐19 into expected and unexpected components and then examine their particular impacts on the stock market. We find that unexpected sentiment causes fluctuations in the stock market more than expected sentiment does. However, unexpected sentiment cannot affect stock market informativeness despite the remarkable informational effect of expected sentiment. Moreover, the relation between expected sentiment and stock market fluctuation or informativeness is one‐way, whereas there exists a two‐way interaction between unexpected sentiment and stock market fluctuation. This further confirms that expected sentiment is informational, whereas unexpected sentiment is quite noisy and informationally harmful.
ABSTRACT
As a new form of digital assets based on blockchain technology, the cryptocurrency has received increasing attention from researchers and practitioners. However, less attention has been paid to their joint dynamics from the perspective of portfolio management. This paper investigates the dependence dynamics across four major cryptocurrencies and their economic importance in portfolio management using the data from January 2014 to June 2020. Our empirical analysis shows that significant economic gains can be obtained from modelling dynamic asymmetric dependence among cryptocurrencies. We show that our results are robust to the period of the recent market fluctuations caused by COVID-19.
ABSTRACT
This article investigates the performance of the industrial structure in different emerging markets under exogenous shocks during the COVID-19. Based on the ICIO database, we use System Dynamics to simulate the evaluation of the economic system under different types of exogenous shocks (instantaneous shocks like entertainment restrictions, and continuous shocks like trade controls). We find that there are significant differences in the shock absorption capability of a country, that capability is not related to the magnitude of the shock, but related to the type of shock and the industrial structure.