Risk transmission between equity market of China and its trading partners: new evidence from various financial crises

PurposeThe authors examine the volatility connections between the equity markets of China and its trading partners from developed and emerging markets during the various crises episodes (i.e. the Asian Crisis of 1997, the Global Financial Crisis, the Chinese Market Crash of 2015 and the COVID-19 outbreak).Design/methodology/approachThe authors use the GARCH and Wavelet approaches to estimate causalities and connectedness.FindingsAccording to the findings, China and developed equity markets are connected via risk transmission in the long term across various crisis episodes. In contrast, China and emerging equity markets are linked in short and long terms. The authors observe that China leads the stock markets of India, Indonesia and Malaysia at higher frequencies. Even China influences the French, Japanese and American equity markets despite the Chinese crisis. Finally, these causality findings reveal a bi-directional causality among China and its developed trading partners over short- and long-time scales. The connectedness varies across crisis episodes and frequency (short and long run). The study's findings provide helpful information for portfolio hedging, especially during various crises.Originality/valueThe authors examine the volatility connections between the equity markets of China and its trading partners from developed and emerging markets during the various crisis episodes (i.e. the Asian Crisis of 1997, the Global Financial Crisis, the Chinese Market Crash of 2015 and the COVID-19 outbreak). Previously, none of the studies have examined the connectedness between Chinese and its trading partners' equity markets during these all crises.

Energy cryptocurrencies: Assessing connectedness with other asset classes

We investigate connectedness between energy cryptocurrencies and common asset classes, including oil, using TVP-VAR modeling, evidencing that energy cryptocurrencies, as diversifiers, normally have strong connections with bitcoin and nothing else. However, their connectedness to other assets changes rapidly during shocks such as COVID-19 and the start of the Russian-Ukraine war. Connectedness spiked in April 2020, when WTI oil prices fell to negative pricing. Economic policy uncertainty, Twitter-based uncertainty, and infectious disease-related uncertainty all have significant impact on the system's total connectedness. Energy cryptocurrencies, while normally diversifiers, are highly sensitive to shocks and changes in uncertainty.

Interconnectedness between healthcare tokens and healthcare stocks: Evidence from a quantile VAR approach

We investigate the interdependence between healthcare stocks and healthcare tokens, an emerging asset class associated with the integration of blockchain technology in the healthcare sector. Employing the quantile connectedness approach on the daily returns of the largest healthcare stocks and tokens, our results show that healthcare stocks and tokens are largely unrelated at the median quantile. In contrast, there is an increase in the connectedness between these markets at the extreme quantiles. We also find evidence of time-varying spillovers in the markets across the quantiles. Specifically, there is an increase in the sensitivity in the spillover patterns between healthcare stocks and tokens during extreme market conditions such as the first year of the COVID-19 pandemic. Finally, we document the asymmetric, time-varying tail dependence between healthcare stocks and healthcare tokens. © 2023 Elsevier Inc.

Spillovers and connectedness between Chinese and ASEAN stock markets during bearish and bullish market statuses

Purpose: This study aims to examine the tail connectedness between the Chinese and Association of Southeast Asian Nations (ASEAN) stock markets. More specifically, the authors measure the return spillovers at three quantile levels: median (t = 0.5), lower extreme (t = 0.05) and upper extreme (t = 0.95). The connectedness at extreme upper and lower quantiles provides insightful information to investors regarding tail risk propagation, which ultimately suggests that investors adjust their portfolios according to the extreme bullish and bearish market conditions. Design/methodology/approach: The authors employ the quantile connectedness approach of Ando et al. (2022) to examine the quantile transmission mechanism among the ASEAN and Chinese stock markets. Findings: The results show significant evidence of a higher level of connectedness between Chinese and ASEAN stock markets at extreme upper and lower quantiles compared to the median quantiles, which suggests the use of a quantile-based connectedness approach instead of an average-measure-based one. Furthermore, the time-varying connectedness analysis shows that the total spillovers reach the highest peaks during the global financial crisis, the Chinese stock market crash and the COVID-19 pandemic at the upper, lower and median quantiles. Finally, the static and dynamic pairwise spillovers between the Chinese and ASEAN markets vary over quantiles as well. Originality/value: This study is the first attempt to examine quantile vector autoregression (VAR)-based return spillovers between China and ASEAN stock markets during different market statuses. Besides, the COVID-19 has intensified the uncertainty in Asian countries, mainly China and ASEAN economies. © 2023, Emerald Publishing Limited.

Comovements and hedging effectiveness between conventional and Islamic cryptocurrencies: evidence from the COVID-19 pandemic

Purpose: This study examines the dynamics of the comovement and causal relationship between conventional (Bitcoin, Ethereum and Binance coin) and Islamic (OneGram, X8X token and HelloGold) cryptocurrencies. Design/methodology/approach: This study uses wavelet coherence approach to examine the time-varying lead-lag relationship between conventional and Islamic cryptocurrencies. Furthermore, the authors use BEKK-GARCH model to estimate the optimal weights, hedge ratio and hedging effectiveness in pre-COVID-19 and during the COVID-19 period. Findings: The authors find no significant comovement in pre-COVID-19. However, the authors find significant positive comovement in conventional and Islamic cryptocurrencies at the beginning of the pandemic, and in most cases, conventional cryptocurrencies are leading. X8X and HelloGold have no/weak correlation with conventional cryptocurrencies, implying that investors can diversify the risk by making an Islamic and conventional cryptocurrencies portfolio. The authors also calculate the optimal weights, hedge ratio and hedging effectiveness using the BEKK-GARCH model. Based on the optimal weights, for the portfolios of conventional–Islamic cryptocurrencies, investors are suggested to increase their investment in Islamic cryptocurrencies during the COVID-19 than normal period. The results of hedge ratios show that hedging costs are higher during COVID-19 than before. Practical implications: The findings of the paper offer several practical policy implications for investors, portfolio manager, Shariah advisors and policymakers pertaining to asset allocation, risk management, forecasting and diversification. Specifically, investors can maximize the risk adjusted returns of their conventional cryptocurrencies portfolio by adding some portions of Islamic cryptocurrencies. Considering the comovement is time-varying, investors/manager should adjust their investment strategies frequently. For the entrepreneurs in crypto-industry, it is advised to introduce new Islamic cryptocurrencies, as it has a huge growth potential because of their distinct features and performance. Originality/value: This is the first study that explores the linkages between conventional and Islamic cryptocurrencies, therefore this study extends the literature of Islamic finance, stablecoins and cryptocurrencies in pre-COVID-19 and during COVID-19 period. The study results provide insights to conventional crypto investor on how to manage their portfolio during normal and turbulent period. © 2023, Emerald Publishing Limited.

Spillovers between positively and negatively affected service sectors from the COVID-19 health crisis: Implications for portfolio management

This study empirically investigates and contributes new evidence to the ongoing topic of potential volatility spillover, efficient portfolio management, and hedging strategies. We investigate the connectedness between the travel and leisure sector (which was negatively affected by the COVID-19 pandemic) and healthcare, technology, and telecommunications sectors (which were positively impacted by the pandemic). We selected these four service sectors because they have been impacted by the pandemic and are also crucial for the world's economy. We separately perform a connectedness analysis for four regions: Europe, Eastern Europe, Asia-Pacific, and North America. The main findings indicate a rise in return and volatility spillovers during the COVID-19 outbreak in the selected sectors. Healthcare, telecommunications, and technology sectors are major transmitters of volatility shocks to the travel and leisure sector during the crisis. The portfolio analysis shows that investors should include healthcare, telecommunications, and technology sectors in their equity portfolios to reduce investment risk and protect expected returns during the pandemic. Hedge ratios vary over crisis and non-crisis periods, highlighting the option of adjusting hedging strategies during turbulent and stable periods. The study also evaluates efficient portfolio management strategies shaped during the COVID-19 pandemic using the estimated results of the DCC-GARCH approach. © 2023

Hedge and safe-haven properties of FAANA against gold, US Treasury, bitcoin, and US Dollar/CHF during the pandemic period

The sudden market crash around 20 February 2020 on the dawn of the COVID-19 pandemic has accelerated the digitalization of all human communication and revived the interest for risk mitigation during stress periods. Interestingly, FAANA (Facebook, Apple, Amazon, Netflix, and Alphabet) stocks exhibited positive returns with remarkable resilience throughout the pandemic period, suggesting a change in their investing risk. In this paper, we take a different step from the existing literature and examine the hedging, diversifying, and safe haven properties of FAANA stocks against four alternative assets, namely gold, U.S. Treasury bonds, Bitcoin, and U.S. Dollar/CHF. Our analysis covers an extended sample period comprising the heightened uncertainty during the recent pandemic period. It involves conditional correlations, optimal weights, hedge ratios, and hedging effectiveness for the pairs of FAANA stock and alternative asset during the full sample period and the COVID-19 pandemic period. The results show that the majority of FAANA stocks serve as weak/strong safe havens against gold, Treasury bonds, Bitcoin, and Dollar/CHF in the full sample period. Further, few FAANA stocks serve as strong safe havens against the U.S. Treasury and Dollar/CHF during the pandemic. Our findings suggest that FAANA, once thought as risky high growth tech stocks, have gained maturity and became a safe blanket during the latest turbulent period. © 2022 Elsevier Inc.

Connectedness between travel & tourism tokens, tourism equity, and other assets

We examine the return and volatility connectedness between travel & tourism tokens and other financial assets, including travel and tourism stocks, energy (WTI oil), cryptocurrency (bitcoin) and bonds, gold, the US dollar, using a generalized vector autoregressive framework. Findings show, in normal economic periods, only weak static spillovers between travel & tourism tokens and other assets. However, dynamic analysis reveals increased intensity of spillovers between travel & tourism tokens and other assets during COVID-19. Results are consistent with travel & tourism tokens offering diversification, including surprisingly to equity of the travel and tourism industry, during downturns that particularly impact tourism. © 2022 Elsevier Inc.

Returns and volatility spillover between agricultural commodities and emerging stock markets: new evidence from COVID-19 and Russian-Ukrainian war

Purpose: This study investigate the return and volatility spillover among agricultural commodities and emerging stock markets during various crises, including the COVID-19 pandemic and the Russian-Ukrainian war. Design/methodology/approach: This return and volatility spillover is estimated using Diebold and Yilmaz (2012, 2014) approach. Findings: The results reveal the weak connectedness between agricultural commodities and emerging stock markets. Corn and sugar are the highest and lowest transmitters, respectively, whereas soya bean and coffee are the largest and smallest recipients of spillover over time. Most equity indices are the net recipient except for India, China, Indonesia, Argentina and Mexico, during the entire sample period. Most commodities are net transmitters of volatility spillover except coffee and soya bean. At the same time, major equity indices are the net recipient of the volatility spillover except for India, Indonesia, China, Argentina, Malaysia and Korea. In addition, the return and volatility spillover increase during various crises like the COVID-19 pandemic and the Russian-Ukrainian war, but the major increase in spillovers occurs during the COVID-19 pandemic. Practical implications: The empirical results show a weak relationship between agricultural commodities and emerging stock markets which is helpful for investors and portfolio managers in the construction and reallocation of their portfolios under different periods, most notably under COVID-19 and the Russian-Ukrainian war. Originality/value: It is an original paper. © 2023, Emerald Publishing Limited.

Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19

In this paper, we study the long memory behavior of the hourly cryptocurrency returns during the COVID-19 pandemic period. Initially, we apply different tests against the spurious long memory, with the results indicating the presence of true long memory for most cryptocurrencies. Yet, using the multivariate test, the series are found to be contaminated by level shifts or smooth trends. Then, we adopt the wavelet-based multivariate long memory approach suggested by Achard and Gannaz (2016) to model their long memory connectivity. The findings indicate a change in persistence for all series during the sample period. The fractal connectivity clustering indicates a similarity among Ethereum (ETH) and Litecoin (LTC), Monero (XMR), Bitcoin (BTC), and EOC token (EOS), while Stellar (XLM) is clustered away from the remaining series, indicating the absence of any interdependence with other crypto returns. Overall, shocks arising from COVID-19 crisis have led to changes in long-run correlation structure. © 2022 Elsevier B.V.

Return and volatility connectedness between gold and energy markets: Evidence from the pre- and post-COVID vaccination phases

Using a two-step VAR asymmetric BEKK GARCH model, this research explores the asymmetric return and volatility connectedness between gold and several energy markets during three subperiods: pre-COVID, before vaccination, and after vaccination. Gold's returns and volatility spillover are generally found to be time- and energy-dependent. In addition, the optimal weights, hedge ratios, and hedging effectiveness of energy commodity and gold pairs are calculated during the three subperiods. The results of optimal weights show that investors should increase their investment in energy commodities more than gold (energy commodities) during the after-vaccination period (the pre-vaccination period). Moreover, the hedging strategy would only be effective within the COVID-19 vaccination period, which could have implications for the strategic asset allocation of policy-makers and international investors. Finally, we examine the potential determinants of conditional correlations between gold and energy markets. VIX, EPU, and new confirmed cases are found to be the main predictors of correlations for most energy commodity–gold pairs during the examined period. © 2022 Economic Society of Australia, Queensland

Impact of covid-19 on volatility spillovers across international markets: Evidence from var asymmetric bekk garch model

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. © 2022 World Scientific Publishing Company.

Herding behaviour in the Islamic bank market: evidence from the Gulf region

Purpose: This study examines herding in Islamic bank equity markets under various market conditions (up/down, high/low trading and high/low volatility) and during events such as Organization of the Petroleum Exporting Countries (OPEC) meeting days, Ramadan, the Gulf Cooperation Council (GCC) crisis of 2017 and the COVID-19 pandemic. The authors also look at the impact of rising and falling oil prices on herding behaviour. Design/methodology/approach: This study uses the model of Chang et al. (2000) to estimate herding behaviour in the Islamic bank markets. Findings: First, the authors estimate herding at the GCC region level, and the results reveal an absence of herding under all market conditions and during all the events considered, except for the GCC crisis of 2017. Second, the authors investigate herding in four Gulf countries (Saudi Arabia, United Arab Emirates [UAE], Qatar and Kuwait) separately and find that herding is evident in all these countries during various market conditions. During Ramadan, herding appears in the Saudi Arabia and Kuwait Islamic bank equity markets. Herding is not prevalent during OPEC meeting days in any of the markets, whereas herding is evident in Saudi Arabia, UAE and Kuwait Islamic bank equity markets during the GCC crisis of 2017 and the COVID-19 pandemic. Lastly, the rising and falling oil prices do not influence herding at either GCC region or country level. Practical implications: From the practitioner's perspective, this study provides useful insights for investors in Islamic banks and policymakers, in terms of asset pricing, portfolio diversification, trading strategies and market stability. Originality/value: Many studies explore herding in the equity markets of Muslim majority countries, but not specifically in the Islamic bank market. This study fills this literature gap by comprehensively examining herding in Islamic bank equity markets under various market conditions (up/down, high/low trading and high/low volatility) and during events, such as OPEC meeting days, Ramadan, the GCC crisis of 2017 and the COVID-19 pandemic. © 2022, Emerald Publishing Limited.

NASOPHARYNGEAL SPECIMEN COLLECTION FROM SUSPECTED COVID-19 CASES, MAKING THE PROCEDURE SAFE

Objective: To comparison was made between standard (control group) nasopharyngeal sample collection technique for RT-PCR and modified technique and the outcome was compared in terms of the proportion of positive results of Rt-PCR tests. Study Design: Double blinded randomized clinical trial. Place and Duration of Study: Pakistan Naval Ship Shifa Hospital Karachi Pakistan, from June and July 2020. Methodology: This study was a newly developed modified technique for nasopharyngeal sampling for RT-PCR tests of COVID-19 suspects. Target population included all patients who developed COVID-19 related symptoms and/or also had history of recent travel or closed contact with Covid-19 patients. Total 1500 nasopharyngeal PCR tests were done by a team of trained technicians. Systemetic probability sampling technique was utilized. Subjects were divided into two groups by using even and odd serial numbers. Proportion of positive test results were compared between two groups by using chi square test. Results: Results were collected for 3000 nasopharyngeal swab sample for RT-PCR testing. Mean age was 31.68 ± 11.89 years. In study group with modified technique, 470 tests were found positive for a total of 1500 samples while only 297 out of 1500 samples were detected positive in control group with standard technique. Chi square test applied to assess the difference between this proportion and it proved that the difference was highly statistically significant (p-value <0.00). Conclusion: we interpret that modified samples collection technique is relatively safe for sample collector of Covid-19 PCR which has got potential benefits to get more genuine results of these samples. © 2021, Army Medical College. All rights reserved.

Infectious disease (COVID-19)-related uncertainty and the safe-haven features of bonds markets

Purpose: This study aims to examine the hedge, diversifier and safe-haven properties of bonds against infectious disease-related equity market volatility (IDEMV), like COVID-19. Design/methodology/approach: The authors apply wavelet coherence methodology on the daily data of IDEMV and bond market (US, UK, Japan, Switzerland, Canada, Australia, Sweden, China and Europe) indices from 1 January 2000 to 14 February 2021. Findings: The results show no significant co-movement between these bond indices and IDEMV, thus confirming that they serve as a hedge against IDEMV. However, during the turbulent period like COVID-19, the authors find that the US, UK, Japan, Switzerland, Canada, Australia, Sweden, China and European bond markets act as safe-haven against IDEMV, whereas the UK, US, Japan and Canadian bond markets demonstrate an in-phase and positive co-movement with IDEMV during COVID-19, suggesting their role as a diversifier. Research limitations/implications: The study findings are important for investors and portfolio managers regarding risk management, portfolio diversification and investment strategies. Originality/value: The authors contribute to the fast growing body of work on the financial impacts of COVID-19 as well as to ongoing consideration of whether a bond is a safe-haven investment. © 2022, Emerald Publishing Limited.

Linkages between DeFi assets and conventional currencies: Evidence from the COVID-19 pandemic

This paper examines the static and dynamic returns connectedness between four renowned DeFi assets, namely, Chainlink, Maker, Basic Attention Token, and Synthetix, and four internationally important conventional currencies, being they Chinese Yuan, Japanese Yen, Euro, and Pound Sterling. We use the time-varying parameter vector autoregressions framework combined with the connectedness approach based on the generalized forecast error variance decomposition. Our static connectedness analysis evidences a low connection of the DeFi markets with the conventional currency markets. The results of our dynamic analysis reveal that the return spillovers are time-varying, with an abrupt increase in connectedness between the DeFi and currency markets in early 2020, during the initial escalation of the pandemic. However, the spillover from the Chinese Yuan to the system does not exhibit any hike due to the COVID-19-triggered meltdown, highlighting a pandemic-caused decoupling of the Chinese financial system from the other centralized and decentralized markets. We observe unprecedentedly high spillovers from the system to the DeFi markets at the beginning of the pandemic. However, we still find that the DeFi markets act predominantly as net innovation transmitters during the first COVID-19 year. Moreover, we detect the existence of a pairwise-like relationship between the net return spillover profiles and report on inversely symmetric profiles for the Maker - Euro, Basic Attention Token - Japanese Yen, and the Chainlink - Pound Sterling pairs. Given the time-varying transmission-reception patterns for all markets, investors and policymakers can make use of our spillover analysis to improve portfolio allocation and regulatory decisions. © 2022 Elsevier Inc.

Multifractality during upside/downside trends in the MENA stock markets: the effects of the global financial crisis, oil crash and COVID-19 pandemic

Purpose This paper examines asymmetric multifractality (A-MF) in the leading Middle East and North Africa (MENA) stock markets under different turbulent periods (global financial crisis [GFC] and European sovereign debt crisis [ESDC], oil price crash and COVID-19 pandemic). Design/methodology/approach This study applies the asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) method of Cao et al. (2013) to identify A-MF and MENA stock market efficiency during the COVID-19 pandemic. Findings The results show strong evidence of different patterns of MF during upward and downward trends. Inefficiency is higher during upward trends than during downward trends in most of the stock markets in the whole sample period, and the opposite is true during financial crises. The Turkish stock market is the least inefficient during upward and downward trends. A-MF intensifies with an increase in scales. The evolution of excessive A-MF for MENA stock returns is heterogeneous. Most of the stock markets are more inefficient during a pandemic crisis than during an oil crash and other financial crises. However, the inefficiency of the Saudi Arabia and Qatar stock markets is highly sensitive to oil price crashes. Overall, the level of inefficiency varies across market trends, scales and stock markets and over time. The findings of this study provide investors and policymakers with valuable insights into efficient investment strategies, risk management and financial stability. Originality/value This paper first explores A-MF in the MENA emerging stock markets. The A-MF analysis provides useful information to investors regarding asset allocation, portfolio risk management and investment strategies during bullish and bearish market states. In addition, this paper examines A-MF under different turbulent periods, such as the GFC, the ESDC, the 2014-2016 oil crash and the COVID-19 pandemic.

Green investments: A luxury good or a financial necessity?

This study examines the diversification and hedging benefits of green investments for conventional stock portfolios in the context of the recent COVID-19 pandemic. While the findings confirm the status of gold as a strong hedge against stock market downturns, we find that clean energy investments, green bonds, in particular, have the potential to serve as a safe haven as well. In fact, compared to the other alternative and sustainable investments in our sample, green bonds are found to be the only asset that serves as a safe haven against large stock market fluctuations due to the COVID-19 pandemic. Portfolio analysis further shows that supplementing conventional stock portfolios with green bonds during the COVID-19 pandemic resulted in the highest risk-adjusted returns, compared to those supplemented with other alternative assets in the sample. Our findings support the emergence of green investments not as a luxury good, but a necessity for improved financial stability and performance, particularly during the turbulent market states driven by the recent pandemic. © 2021 Elsevier B.V.

The influence of illness perception, anxiety and depression disorders on students mental health during COVID-19 outbreak in Pakistan: a Web-based cross-sectional survey

Purpose Since the emergence of a coronavirus disease (2019-nCoV) in December 2019, the whole world is in a state of chaos. Isolation strategy with quarantine is a useful model in controlling transmission and rapid spread. As a result, people remained at home and disrupted their outside daily activities. It led to the closure of educational institutes, which is a source of many students to cope with numerous personal and familial issues. This study aims to focus on exploring the relationships and potential mediational pathways between mental health problems, illness perception, anxiety and depression disorders. Design/methodology/approach The study incorporated snowball sampling techniques through a cross-sectional, Web-based survey and recruited 500 students from different universities of twin cities, Rawalpindi and Islamabad from March 23 to April 15, 2020, during the coronavirus outbreak lockdown. The study used four instruments, Beck Depression Scale, Beck Anxiety Inventory, Revised Illness Perception Questionnaire and The Warwick-Edinburgh Mental Well-being Scale for assessing depression, anxiety, illness perception and mental health disorders. Findings The findings indicated normal (43.2%), mild (20.5%), moderate (13.6%) and severe (22.7%) levels of anxiety prevalence in students. Results specified a normal (65.9%), mild (9.10%), moderate (9.12%) and severe (15.90%) depression prevalence and findings stipulated that anxiety disorder prevalence was higher than depression disorder. The correlational results specified a negative and significant relationship between mental health, illness perception, anxiety and depression symptoms. The multiple regression analysis stated that anxiety and depression disorders mediated the relationship between mental health and present illness perception. The perception of illness exhibited a relation to depression and anxiety disorders. Originality/value The study proposed a model to address mental health problems during the lockdown. The (2019-nCoV) illness perception developed mental disorders, including anxiety and depression, which has declined individuals' mental health. There is an urgent need for ongoing clinical examination and management to address psychological disorders and findings suggest assessing mental health to combatting the pandemic worldwide. Findings recommend developing strategies to promote mental health-care facilities during COVID-19 wide-ranging disasters. These results highlight the impending importance of devising strategies to treat mental health problems.

Linkages between Stock and Cryptocurrency Markets during the Covid-19 Outbreak: An Intraday Analysis

This study explores the return and volatility spillovers between S and P 500 and cryptocurrencies [Litecoin (LTC), Bitcoin (BTC) and Ethereum (ETH)] during the pre-COVID-19 period and COVID-19 period using the VAR-BEKK-AGARCH model on hourly data. Furthermore, this study also quantifies the optimal portfolio weights and hedge ratios during both sample periods. The findings of study show that the return and volatility spillovers between the US stock and cryptocurrency markets are not significant during the pre-COVID-19 period. However, the study finds unidirectional return transmission from S and P 500 to all the cryptocurrencies during the COVID-19 period. During the COVID-19 period, the volatility spillover is unidirectional from S and P 500 to Litecoin, whereas the volatility transmissions are not significant for the pairs of S and P 500-Bitcoin and S and P 500-Ethereum. Based on optimal weights, the portfolio managers are recommended to slightly decrease their investments in S and P 500 for the portfolios of S and P 500/BTC, S and P 500/ETH and S and P 500/LTC during the COVID-19 period. Finally, during the COVID-19 period, all hedge ratios were found to be higher, implying higher hedging costs during the COVID-19 period compared to the pre-COVID-19 period. Our research offers valuable insights to the fund managers, investors and policymakers regarding diversification opportunities, hedging, optimal asset allocation and risk management. © 2021 World Scientific Publishing Company.