ABSTRACT
Purpose: The purpose of this paper is to investigate the dynamic relationship between 19 pandemic and government actions, such as governmental response index and economic support packages. Design/methodology/approach: The authors use a panel dataset of 10 American and Latin countries for the period spanning from January 2020 to April 2021 to analyze the effect of government actions on stock market returns. The authors provide robust test results that improve the understanding of the impact of the pandemic on stock market indices through the break-up structure method and the new measure of Covid-19 extracted from Narayan et al. (2021) study. Findings: Empirical results show the harmful effect of the corona virus on stock prices, hence the risk adverse behavior of investors. On the other hand, the quantitative approach reveals that the positive impact of government actions is degraded during Covid-19. Originality/value: This article highlight that government actions may be effective in reducing new infections but could generate perverse economic impact through increasing uncertainty. The authors conclude that the adjustment of macroeconomic factors and the integration of financial news improve the forecasting performance of the model based on health news. © 2022, Emerald Publishing Limited.
ABSTRACT
Purpose: The purpose of this paper is to investigate the dynamic relationship between 19 pandemic and government actions, such as governmental response index and economic support packages. Design/methodology/approach: The authors use a panel dataset of 10 American and Latin countries for the period spanning from January 2020 to April 2021 to analyze the effect of government actions on stock market returns. The authors provide robust test results that improve the understanding of the impact of the pandemic on stock market indices through the break-up structure method and the new measure of Covid-19 extracted from Narayan et al. (2021) study. Findings: Empirical results show the harmful effect of the corona virus on stock prices, hence the risk adverse behavior of investors. On the other hand, the quantitative approach reveals that the positive impact of government actions is degraded during Covid-19. Originality/value: This article highlight that government actions may be effective in reducing new infections but could generate perverse economic impact through increasing uncertainty. The authors conclude that the adjustment of macroeconomic factors and the integration of financial news improve the forecasting performance of the model based on health news. © 2022, Emerald Publishing Limited.
ABSTRACT
This study examines the safe haven properties of top five crypto-currencies, oil and gold for the five gulf cooperation council countries in view of COVID-19 period through a nonlinear and asymmetric framework NARDL methodology to uncover short- and long-run asymmetries. Using daily data from January 2019 to April 2020, we find that Bitcoin and Ethereum are safe haven assets for GCC in instability;Bitcoin is a safe haven for Oman, Saudi Arabia and Abu Dhabi. Ethereum is a safe haven for Bahrain, Kuwait and Qatar. Further, for Kuwait, Qatar, Saudi Arabia and Abu Dhabi, oil is a safe haven asset in mitigated period. We also notice that the strategies of hiding differ interestingly for all countries except for Saudi Arabia that does not significantly change its strategies. Thus, portfolio managers may consider few eligible crypto-currencies and oil for their inclusion into the portfolio to hedge risk. While, speculators acting in both stock and crypto market may go for a spread strategy. Our research is useful for portfolio managers and financial advisors looking for the best of crypto’s, gold and oil to hedge shocks in stock market indices. Copyright © 2021 Inderscience Enterprises Ltd.