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PurposeThe Russian invasion of Ukraine generated unprecedented panic in the European financial system. As expected, the European Union (EU) felt most of the negative effects of the war due to geographical proximity to Ukraine and energy dependence on Russia. This study aims to investigate the influence of Brent crude oil (BCO), Dutch Title Transfer Facility Natural Gas, and CBOE Volatility Index (VIX) on Deutscher Aktien Index (DAX), Austrian Traded Index (ATX) and Milano Indice di Borsa (FTSEMIB). The German, Austrian and Italian equity indexes were chosen due to the heavy dependence of these countries on Russian gas and oil.Design/methodology/approachThe data cover the period from November 24, 2021, to June 24, 2022, including five months of the Russia–Ukraine war. To generate the intended results, vector autoregressive, structural vector autoregressive, vector error correction model, Johansen test and Granger causality test were used.FindingsThe results highlight that natural gas and the VIX carried negative effects on DAX, ATX and FTSEMIB. The BCO was expected to have influenced three selected equity indexes, while the results suggest that it was priced only in ATX.Originality/valueThis research provides modest evidence for the policymakers on the systemic risk that Russian gas has for the EU equity markets. From a managerial perspective, changes in oil and gas prices are a permanently integral part of portfolio risk analysis.
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This study examines the effect of COVID-19 pandemic on the efficiency of oil markets from February 2nd, 2020 to August 4th, 2021. By relying on dynamic conditional correlation GARCH and Wavelet coherence techniques, we able to provide correlations between the variables across time and frequency domains. Our empirical findings point to significant yet weak correlations between COVID-19 recovery/death rates for the time period extending from early February to early May even though we observe strong correlations between WTI prices and COVID-19 health statistics in mid-April. Moreover, during this identified time period, the length of frequency cycles within the correlations decreases from 16 days to 8 days. Altogether, these findings imply that oil markets were inefficient between February and early May and have since turned market efficient for the remaining duration of the pandemic. © 2023, Econjournals. All rights reserved.
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This article aims to analyse and measure the impact of the COVID-19 daily fatality cases, along with the BRENT prices and the financial volatility index (VIX) on the global economy, proxied by MSCI global market index (MXWO) both in the long run and the short-run, and discuss policy responses using the ARDL methodology. The study contributes to the literature as it is one of the first studies aimed at measuring the impact and direction of COVID-19 daily fatality cases on the global markets investigated through financial contagion. The ARDL model estimates indicated a significant and negative effect of the coronavirus crisis on MXWO. BRENT prices seem to have no direct effect on the global economy proxied by MXMO index, both in the long and the short term. But, it is likely to have an indirect effect through financial volatility as BRENT prices reacted sharply to the rise in financial volatility.
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The study attempts to understand the influence of Brent oil price per barrel (BOP), the general index of 30 stocks in Saudi Arabia (MSCI30), the number of Covid-19 new infected cases (NIC_19), ounce gold price (OGP), and US dollar base to Iraqi Dinar exchange rate (USD_IQD) upon Iraq stock exchange (ISX60) using the daily period (25 February 2020-15 July 2021) divided into three subperiod;whole period pre-during covid-19, pre-Covid-19 and during Covid-19 vaccination process. The results indicate the long-run relationship between the regressors and the Iraq stock exchange in the subperiod before Covid-19 and during the Covid-19 vaccination process but did not appear for the whole period pre-during the covid-19 vaccination process. The results reveal a positive influence of (MSCI30 and USD_IQD) on ISX60 in the long term for a period before the Covid-19 vaccination process. And, the results indicate a negative influence of (BOP and OGP) respectively on (ISX60) in the long term, and (MSCI30) positively leads ISX60 in the long term during the Covid-19 vaccination process. The results are crucial to governments, investors, and policymakers because the Iraqi economic movements and stock exchange development need more highlight in the further studies, especially the vaccine discovery consequences. © 2022, Econjournals. All rights reserved.
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Investigating the co-movements between crude oil futures helps to understand the integration of the global markets. This paper focuses on Shanghai crude oil futures (INE) and study its co-movements with the international benchmarks of WTI and Brent crude oil futures in intra-day day and night trading sessions. A complex network model framework is proposed to analyse the intra-day co-movement patterns labelled by a functional data clustering approach on intra-day return curves. Our findings indicate INE is more integrated with the global market during the night session, but it shows a regional fractional effect during the day session. Based on the revealed dynamics of co-movement patterns, we further design a pairs trading strategy between INE crude oil futures and the international benchmarks. The simulation results show that the pairs trading strategy can be promisingly profitable, even during market turmoil phases.
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This paper investigates the directional causal relationship and information transmission among the returns of West Texas Intermediate (WTI), Brent, major cryptocurrencies, and stablecoins by drawing on daily data from July 2019 to July 2020. Applying effective transfer entropy, a non-parametric statistic, the results show that the direction of the causal relationship and the nature of information spillovers changed after the COVID-19 pandemic. More precisely, our findings reveal that WTI and Brent are leading the prices of Bitcoin and Bitcoin Cash. Conversely, Bitcoin futures and stablecoins (TrueUSD and USD Coin) are leading WTI and Brent prices. In addition, the stablecoin Tether became a leader against Brent prices after the pandemic, although it is still following WTI prices. Moreover, Ethereum and USD coin preserved their position as leaders against Brent prices. Interestingly, our results also reveal that Ethereum, Litecoin, and Ripple preserved their position as leaders of WTI prices. The change in the nature of directional causality and the spillover effect after the COVID-19 crisis provide valuable information for practitioners, investors, and policymakers on how the ongoing pandemic influences the connection and network correlation among the energy, cryptocurrency, and stablecoin markets. © 2022 Elsevier Inc.
ABSTRACT
COVID-19'un başlangıcı, 2020'nin belirleyici olayı haline geldi ve kripto para birimleri de dahil olmak üzere tüm dünyadaki finansal piyasaları etkiledi. Bu süreçte, altın ve diğer emtialar gibi güvenli bir liman olarak görülmeye başlanan kripto para birimlerine ve diğer dijital varlıklara yatırıma olan ilgi arttı. Bu amaçla bu çalışmada Covid-19 sürecinde, altın ve petrol fiyatlarında meydana gelen şokların Bitcoin fiyatları üzerindeki asimetrik etkisi incelenmiştir. Çalışmada Doğrusal Olmayan Gecikmesi Dağıtılmış Otoregresif (NARDL) analiz yöntemi kullanılmıştır. Analizin sonucunda, uzun vadede altın fiyatlarında meydana gelen negatif şokların Bitcoin fiyatlarını olumlu etkilediği, petrol fiyatlarında meydana gelen negatif şokların ise Bitcoin fiyatlarını olumsuz etkilediği sonucuna ulaşılmıştır. Uzun vadede altın ve petrol fiyatlarında meydana gelen pozitif şokların ise Bitcoin fiyatları üzerinde istatistiki olarak anlamlı bir etkisinin olmadığı görülmüştür. Kısa vadede ise hem altın hem de petrol fiyatlarında meydana gelen pozitif şokların Bitcoin fiyatlarını olumlu etkilediği, negatif şokların ise olumsuz etkilediği tespit edilmiştir. Sonuç olarak, Bitcoin’in küresel yatırımcılar için finansal çeşitlendirmede ideal olabileceği ve yeni bir sanal altın olarak piyasalardaki yerini alabileceği görülmüştür.Alternate :The onset of COVID-19 has become the defining event of 2020 and has affected financial markets all over the world, including cryptocurrencies. In this process, the interest in investing in cryptocurrencies and other digital assets, which started to be seen as a safe haven like gold and other commodities, increased. For this purpose, in this study, the asymmetric effect of shocks in gold and oil prices on Bitcoin prices during the Covid-19 process was examined. Nonlinear Autoregressive Distributed Lag (NARDL) analysis method was used in the study. As the end of the analysis, it was concluded that negative shocks in gold prices in the long term affect Bitcoin prices positively, while negative shocks in oil prices affect Bitcoin prices negatively. It has been observed that positive shocks in gold and oil prices in the long term do not have a statistically significant effect on Bitcoin prices. In the short term, it has been determined that positive shocks in both gold and oil prices affect Bitcoin prices positively, while negative shocks have a negative impact on it. In conclusion, it is observed that Bitcoin can be ideal for financial diversification for global investors and take its place in the markets as a new virtual gold.
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In recent years, the relationship between agricultural commodities and crude oil has become increasingly close with the promotion of biofuel policies. This study examines the dynamic correlation between global crude oil futures and seven agricultural commodity futures by applying the consistent dynamic conditional correlation and dynamic equicorrelation models. The empirical results show that the dynamic correlation between the global crude oil futures market and China's agricultural futures market is weak compared to the global agricultural futures market. In particular, soybean oil has the strongest correlation with crude oil, while Dalian Commodity Exchange (DCE) corn and Zhengzhou Commodity Exchange wheat have the weakest correlation with crude oil. There is an indirect linkage between crude oil futures and DCE soybean meal and DCE soybean oil. Moreover, the dynamic correlation between crude oil and agricultural commodities increased during the financial crisis, the novel coronavirus (COVID-19) epidemic, and the crude oil crash crisis. Brent crude oil has a stronger co-movement with China's agricultural commodities than West Texas Intermediate crude oil and can better hedge the risk of agricultural commodities. The findings of this study provide some insights into the contagion risk management of crude oil futures and agricultural futures markets. © 2022 John Wiley & Sons Ltd.
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This introduction to the Special Issue on cringe humour briefly traces the starting point of the contemporary cringe boom, and it looks into the roots of awkwardness as a cultural phenomenon in the 1960s. Moreover, the introduction argues for the cathartic potential of cringe humour in the context of sociopolitical issues, and briefly presents the subsequent articles.
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The COVID-19 pandemic has seriously affected world economies. In this regard, it is expected that information level and sharing between equity, digital currency, and energy markets has been altered due to the pandemic outbreak. Specifically, the resulting twisted risk among markets is presumed to rise during the abnormal state of world economy. The purpose of the current study is twofold. First, by using Renyi entropy, we analyze the multiscale entropy function in the return time series of Bitcoin, S&P500, WTI, Brent, Gas, Gold, Silver, and investor fear index represented by VIX. Second, by estimating mutual information, we analyze the information sharing between these markets. The analyses are conducted before and during the COVID-19 pandemic. The empirical results from Renyi entropy indicate that for all market indices, randomness and disorder are more concentrated in less probable events. The empirical results from mutual information showed that the information sharing network between markets has changed during the COVID-19 pandemic. From a managerial perspective, we conclude that during the pandemic (i) portfolios composed of Bitcoin and Silver, Bitcoin and WTI, Bitcoin and Gold, Bitcoin and Brent, or Bitcoin and S&P500 could be risky, (ii) diversification opportunities exist by investing in portfolios composed of Gas and Silver, Gold and Silver, Gold and Gas, Brent and Silver, Brent and Gold, or Bitcoin and Gas, and that (iii) the VIX exhibited the lowest level of information disorder at all scales before and during the pandemic. Thus, it seems that the pandemic has not influenced the expectations of investors. Our results provide an insight of the response of stocks, cryptocurrencies, energy, precious metal markets, to expectations of investors in the aftermath of the COVID-19 pandemic in terms of information ordering and sharing.