The Return and Volatility Connectedness of NFT Segments and Media Coverage: Fresh Evidence Based on News About the COVID-19 Pandemic.

We study the relationship between return and volatility of non-fungible tokens (NFT) segments and media coverage during the outbreak of the COVID-19 pandemic in a connectedness framework. We document media coverage as a net transmitter of spillover for both the return and volatility of NFT segments. We find that NFTs representing the Utilities segment is a major transmitter of spillover. Our findings have important implications for portfolio managers, regulators, and policymakers.

Return and volatility connectedness of the non-fungible tokens segments

Non-fungible tokens (NFTs) have garnered attention from investors and the general public. This pioneering study analyzes the connectedness of five NFT segments by employing the TVP-VAR based connectedness approach of Antonakakis et al. (2020) to identify the transmitter and receivers of spillover for both return and volatility of NFT segments. Our results show that Utility NFTs are the main transmitter of spillover, whereas the collectible NFTs are the main recipient of spillover for both return and volatility. Our findings have important implications for both investors and policy makers.

Sail Away to a Safe Harbor? COVID-19 Vaccinations and the Volatility of Travel and Leisure Companies

This paper examines the impact of vaccination programs on the stock market volatility of the travel and leisure sector. Using daily data from 56 countries over the period from January 2020 to March 2021, we find that vaccination leads to a decrease in the investment risk of travel and leisure companies. Vaccination results in a decrease in the volatility of stock prices of travel and leisure companies. The drop in volatility is robust to many alternative estimation techniques, different volatility measures, and various proxies for vaccinations. Moreover, this effect cannot be explained by an array of control variables;this includes the pandemic itself and both the containment and closure policies that followed. Furthermore, the beneficial role of vaccinations is relatively stronger in emerging markets than in developed ones.

COVID-19 Vaccinations and the Volatility of Energy Companies in International Markets

The COVID-19 pandemic has elevated both the risk and volatility of energy companies. Can mass vaccinations restore stability within this sector? To answer this question, we investigate stock market data from fifty-eight countries from January 2020 to April 2021. We document that vaccination programs assist in decreasing the volatility of energy stocks around the world. The drop in volatility is statistically and economically significant and robust to many considerations. The observed phenomenon survives a broad battery of control variables;it is also independent of the employed regression model or the volatility measurement approach. Moreover, the effect is not driven by the dynamics of the pandemic itself or the associated government interventions. Finally, we find the influence of vaccinations on energy stock volatility to be more pronounced in developed markets rather than in emerging ones. Our findings bear clear practical implications: policy makers around the world should consider the essential role of vaccinations in the energy sector.

Immunizing markets against the pandemic: COVID-19 vaccinations and stock volatility around the world.

The COVID-19 pandemic has exerted a noteworthy impact on stock market volatility around the world. Can vaccination programs revert these adverse effects? To answer this question, we scrutinize daily data from 66 countries from January 1, 2020 to April 30, 2021. We provide convincing evidence that COVID-19 vaccination assists in stabilizing the global equity markets. The drop in volatility is robust to many considerations and does not result solely from either the pandemic itself or the government policy responses-the negative correlation remains significant after controlling for these factors. The impact of vaccinations is relatively stronger within developed markets than in emerging ones.

Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets.

We explore the impact of the COVID-19 pandemic on the term structure of interest rates. Using data from developed and emerging countries, we demonstrate that the expansion of the disease significantly affects sovereign bond markets. The growth of confirmed cases significantly widens the term spreads of government bonds. The effect is independent of government policy and monetary responses to COVID-19 and robust to many considerations.

Who Should be Afraid of Infections? Pandemic Exposure and the Cross-Section of Stock Returns

Does past stock price reaction to pandemics contain information about future returns? To answer this, we estimate firm exposure to a pandemic index representing global concerns of infectious diseases. We demonstrate that such a pandemic beta reliably predicts the cross-section of future stock returns. The highest pandemic beta decile outperforms the lowest pandemic beta decile by about 1% per month on a risk-adjusted basis. The effect is not explained by well-known return predictors and is robust to many considerations. Our findings indicate that investors do not correctly price information stemming from firms’ reactions to pandemics.

Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic.

Effective government policies may reduce uncertainty in sovereign bond markets. Can policy responses help to curb bond market volatility during the COVID-19 pandemic? To answer this, we examine data from 31 developed and emerging markets during the coronavirus outbreak in 2020. We demonstrate that government interventions substantially reduce local sovereign bond volatility. The effect is mainly driven by economic support policies; the containment and closure regulations and health system interventions play no major role.

The Quest for Multidimensional Financial Immunity to the COVID-19 Pandemic: Evidence from International Stock Markets

What determines a country’s financial immunity to a global pandemic? To answer this question, we investigate the behavior of 67 equity markets around the world during the COVID-19 outbreak in 2020. We consider a multidimensional data set that includes factors from finance, economics, demographics, technological development, healthcare, governance, culture, and law. Our study also accounts for government interventions, such as containment and closure policies, and economic stimuli. We apply machine learning techniques, panel regression, and factor analysis to ascertain sources of financial immunity to the coronavirus pandemic. Our findings demonstrate that stock markets in countries with low unemployment rates and populated with firms with conservative investment policies and low valuations relative to expected profits tend to be more immune to the healthcare crisis. We also find that firm government policy responses tend to support stock markets in times of the pandemic.

How to survive a pandemic: The corporate resiliency of travel and leisure companies to the COVID-19 outbreak.

What protects travel and leisure companies from a global pandemic, such as COVID-19? To answer this question, we investigate data on over 1200 travel and leisure companies in 52 countries. We consider 80 characteristics, such as company financial ratios, macroeconomic variables, and government policy responses. Using regressions and machine learning tools, we demonstrate that firms with low valuations, limited leverage, and high investments have been more immune to the pandemic-induced crash. We also find a beneficial effect of stringent containment and closure policies. Finally, our results indicate that countries with less individualism may be better positioned to cope with the pandemic. Our findings have implications for regulatory bodies, managers, and investors concerning future pandemic outbreaks.

COVID-19, government policy responses, and stock market liquidity around the world: A note.

Unprecedented non-pharmaceutical interventions targeted to curb the spread of COVID-19 exerted a dramatic impact on the global economy and financial markets. This study is the first attempt to investigate the influence of these government policy responses on global stock market liquidity. To this end, we examine daily data from 49 countries for the period January-April 2020. We demonstrate that the impact of the interventions is limited in scale and scope. Workplace and school closures deteriorate liquidity in emerging markets, while information campaigns on the novel coronavirus facilitate trading activity.

The impact of policy responses to COVID-19 on U.S. travel and leisure companies

This paper analyzes the impact of government restrictions arising from the COVID-19 pandemic on stock returns of U.S. travel and leisure companies. We demonstrate that the stringency of government restrictions has a negative impact on stock returns even after controlling for the pandemic itself. Moreover, stock prices of travel and leisure firms with a smaller size, less tangibility, and higher cash reserves are more resilient to the COVID-19 related government restrictions. Restrictions have the highest impact on airlines, followed by travel and tourism and casinos and gambling sectors. Our empirical findings provide valuable policy implications for travel and leisure firm managers, financial investors, and policymakers.

Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe.

Do government interventions aimed at curbing the spread of COVID-19 affect stock market volatility? To answer this question, we explore the stringency of policy responses to the novel coronavirus pandemic in 67 countries around the world. We demonstrate that non-pharmaceutical interventions significantly increase equity market volatility. The effect is independent from the role of the coronavirus pandemic itself and is robust to many considerations. Furthermore, two types of actions that are usually applied chronologically particularly early-information campaigns and public event cancellations-are the major contributors to the growth of volatility.