Decoupling Between the Energy and Semiconductor Sectors During the Pandemic: New Evidence from Wavelet Analysis

We study the impact of COVID-19 on the pairwise dependence between three indices, the COVID-19 Media Coverage Index, MSCI World Semiconductor Index, and the MSCI World Energy Index, as well as investigate the respective volatility spillovers. We find intervals of weak, moderate, and strong coherence between the Media Coverage Index and returns and volatility of semiconductor and energy sector companies. Low coherence intervals indicate a diversification potential of investments in these sectors and in their volatility-based products during periods of systemic crises such as the financial turmoil induced by COVID-19. Our results provide evidence that after the escalation of the pandemic in early 2020, the energy sector cedes its leading role in terms of volatility to the semiconductor industry. We report on appealing hedging attributes related to the decoupling between the trends in the global semiconductor industry and the global energy sector accelerated by the COVID-19 triggered crisis.

Analysis of the dynamic return and volatility connectedness for non-ferrous industrial metals during the COVID-19 pandemic crisis

PurposeThis paper aims to examine the dynamic return and volatility connectedness for six major industrial metals (tin, lead, nickel, zinc, copper and aluminium) and the coronavirus media coverage index (MCI).Design/methodology/approachTo that purpose, this study applies the fresh time-varying parameter vector autoregression methodology (TVP–VAR model) during the sample period between 2 January, 2020, and 16 April, 2021, that is, covering the three waves of the COVID-19 pandemic crisis.FindingsThis study's results show interesting findings. First, dynamic total return and volatility connectedness changes over time, highlighting a significant increase during the third wave of the pandemic. Second, the MCI index is a leading net transmitter in terms of return and volatility at the introduction of the SARS-CoV-2 coronavirus crisis. Third, this study clearly distinguishes two profiles among industrial metals: copper and tin/zinc as net transmitters and lead and aluminium as net receivers. Finally, the most relevant differences between them are concentrated not only at the beginning of the COVID-19 pandemic (first wave) but also during the second and third waves of the coronavirus outbreak.Originality/valueTo the best of the authors' knowledge, this is the first research that explores the dynamic return and volatility connectedness in the industrial metal market, applying the TVP–VAR methodology during the first waves of the COVID-19 pandemic crisis.

Connectedness between the COVID-19 related media coverage and Islamic equities: The role of economic policy uncertainty

This paper examines the static and dynamic return and volatility connectedness among Islamic equity indices and a Coronavirus coverage index over the ongoing COVID-19 pandemic crisis. We employ ten major sectoral equity indices covering main economic sectors and the Coronavirus media coverage index (MCI) and apply the time-varying parameter vector autoregressive methodology (TVP-VAR). The results show a high degree of connectedness between the return and volatility series of the different sectoral indices. Moreover, the information transmission between these indices and the media coverage index shows that Islamic equities are net receivers of shocks from the coronavirus MCI. Additionally, we investigate the causality between the different connectedness measures and the Economic Policy Uncertainty (EPU). Our results indicate that EPU has predictive power on the net connectedness between the Islamic sectoral equities and the Coronavirus MCI. © 2022 Elsevier B.V.

Emerging market debt and the COVID‐19 pandemic: A time–frequency analysis of spreads and total returns dynamics

We apply wavelet analyses to study the impact of COVID‐19 pandemic on the performance of emerging market bonds, in both investment grade and high yield ranges of creditworthiness. Our results show varying level of coherence ranging from low, medium and high between the Coronavirus Media Coverage index and the price moves of the emerging market USD‐denominated debt. We attribute the intervals of low coherence levels to the diversification potential during a systemic pandemic such as COVID‐19 of investments in bonds issued by developing economies. We document differences in patterns exhibited by various indices describing behaviour of option‐adjusted spreads and total returns as a function of credit quality of issuers form emerging market economies. We report well‐defined zones of the regime switching between the lead and lag roles of the emerging market bonds vis‐à‐vis the media coverage.

Decoupling Between the Energy and Semiconductor Sectors During the Pandemic: New Evidence from Wavelet Analysis

We study the impact of COVID-19 on the pairwise dependence between three indices, the COVID-19 Media Coverage Index, MSCI World Semiconductor Index, and the MSCI World Energy Index, as well as investigate the respective volatility spillovers. We find intervals of weak, moderate, and strong coherence between the Media Coverage Index and returns and volatility of semiconductor and energy sector companies. Low coherence intervals indicate a diversification potential of investments in these sectors and in their volatility-based products during periods of systemic crises such as the financial turmoil induced by COVID-19. Our results provide evidence that after the escalation of the pandemic in early 2020, the energy sector cedes its leading role in terms of volatility to the semiconductor industry. We report on appealing hedging attributes related to the decoupling between the trends in the global semiconductor industry and the global energy sector accelerated by the COVID-19 triggered crisis.

Connectedness between the COVID-19 related media coverage and Islamic equities: The role of economic policy uncertainty

This paper examines the static and dynamic return and volatility connectedness among Islamic equity indices and a Coronavirus coverage index over the ongoing COVID-19 pandemic crisis. We employ ten major sectoral equity indices covering main economic sectors and the Coronavirus media coverage index (MCI) and apply the time-varying parameter vector autoregressive methodology (TVP-VAR). The results show a high degree of connectedness between the return and volatility series of the different sectoral indices. Moreover, the information transmission between these indices and the media coverage index shows that Islamic equities are net receivers of shocks from the coronavirus MCI. Additionally, we investigate the causality between the different connectedness measures and the Economic Policy Uncertainty (EPU). Our results indicate that EPU has predictive power on the net connectedness between the Islamic sectoral equities and the Coronavirus MCI.

Analysis of the dynamic return and volatility connectedness for non-ferrous industrial metals during the COVID-19 pandemic crisis

Purpose: This paper aims to examine the dynamic return and volatility connectedness for six major industrial metals (tin, lead, nickel, zinc, copper and aluminium) and the coronavirus media coverage index (MCI). Design/methodology/approach: To that purpose, this study applies the fresh time-varying parameter vector autoregression methodology (TVP–VAR model) during the sample period between 2 January, 2020, and 16 April, 2021, that is, covering the three waves of the COVID-19 pandemic crisis. Findings: This study’s results show interesting findings. First, dynamic total return and volatility connectedness changes over time, highlighting a significant increase during the third wave of the pandemic. Second, the MCI index is a leading net transmitter in terms of return and volatility at the introduction of the SARS-CoV-2 coronavirus crisis. Third, this study clearly distinguishes two profiles among industrial metals: copper and tin/zinc as net transmitters and lead and aluminium as net receivers. Finally, the most relevant differences between them are concentrated not only at the beginning of the COVID-19 pandemic (first wave) but also during the second and third waves of the coronavirus outbreak. Originality/value: To the best of the authors’ knowledge, this is the first research that explores the dynamic return and volatility connectedness in the industrial metal market, applying the TVP–VAR methodology during the first waves of the COVID-19 pandemic crisis. © 2022, Emerald Publishing Limited.

Covid-19 Çöküşü Sırasında Salgın ile ilgili Haberlerin Borsa Getirileri Üzerindeki Etkisi: Uluslararası Piyasalar Örneği

Bu çalışma salgın haberlerinin uluslararası piyasaların getirileri üzerindeki etkisini kantil regresyon yöntemi kullanarak araştırmaktadır. Analiz için RavenPack veri platformu tarafından sağlanan medyatiklik endeksi, sahte haber endeksi, ülke duyarlılık endeksi, infodemi endeksi ve medya ilgi endeksi kullanılmıştır. Bu araştırmada 22 Ocak 2020’den 17 Nisan 2020’ye kadar günlük verilerle 80 ülkeden 2.996 gözlem kullanılmıştır. Analiz sonuçlarına göre Covid-19 ile ilgili haberlerin piyasa getirileri üzerindeki etkisinin kantiller arasında farklılık gösterdiğini, diğer bir deyişle haberler ve finansal piyasalar arasında asimetrik bir bağımlılık bulunmuştur. Medyada salgın ile haberlerin artmasıyla birlikte piyasa getirileri üzerindeki olumsuz etkisi düşük kantillerden yüksek kantillere doğru düşüş eğilimi göstermektedir. Covid-19’un neden olduğu finansal çöküşü hafifletmek için etkili iletişim kanallarının daha yoğun kullanılması gerekmektedir. Haberlerin finansal piyasalar üzerindeki etkisini yakalamak için, bu çalışma aynı zamanda ülkeleri Morgan Stanley Sınıflandırma Índeksine göre (MSCI, n.d.), gelişmiş, gelişmekte olan, sınır pazarları ve bağımsız pazarlar olarak ve coğrafi konumuna göre Avrupa, Kuzey ve Güney Amerika, Asya ve Ortadoğu ülkeleri olarak sınıflandırmıştır. Sonuçlar önceki bulgular ile tutarlılık göstermiş ve haberler ile finansal piyasalar arasındaki asimetrik bağımlılık sürmüştür.Alternate : This study investigates the effect of pandemic-related news on stock market returns in international markets using the quantile regression method. The media hype index, fake news index, country sentiment index, infodemic index, and media coverage index provided by the RavenPack data platform are used for the analysis. In this research, 2,996 observations from 80 countries, consisting of daily data from January 22, 2020, to April 17, 2020, were used. The results show that the impact of Covid-19-related news on market returns varies among the quantiles of the stock market;in other words, there is an asymmetric dependency between the news and financial markets. With the increase in coverage about the pandemic in the media, the negative impact on market returns exhibits a decreasing trend from low quantiles to high quantiles. More intense use of effective communication channels is required to alleviate the financial crash caused by Covid-19. To capture the effect of the news on financial markets, this analysis also categorized countries according to the Morgan Stanley Classification Index (MSCI, n.d.), such as by developed, emerging, standalone, and frontier markets and by geographical location, including Europe, Africa, North and South America, Asia, and the Middle East. The results are consistent with the previous findings and the dependency between the news and financial markets remains asymmetric.

The impact of COVID-19-related media coverage on the return and volatility connectedness of cryptocurrencies and fiat currencies.

This research explores the impact of COVID-19-related media coverage on the dynamic return and volatility connectedness of the three dominant cryptocurrencies (Bitcoin (BTC), Ethereum (ETH) and Ripple (XRP)) and the fiat currencies of the euro, GBP and Chinese yuan. The sample period covers the first and second devasting waves of the COVID-19 pandemic crisis and ranges from January 1, 2020, to December 31, 2020. The dynamic return and volatility connectedness measures are estimated using the time varying parameter-VAR approach. Our return connectedness analysis shows that the media coverage index (only before the first wave) and the cryptocurrencies are the net transmitters of shocks while the fiat currencies are the net receivers of shocks. Similar results are obtained in terms of volatility, except for the euro, which shows a clear net receiver profile in January and February. This fiat currency (the euro) became a net transmitter in March and during the first wave of the COVID-19 crisis, which possibly shows the virulence of the pandemic on the European continent. Moreover, the most relevant differences between the net dynamic (return and volatility) connectedness of these two groups of currencies are focused on the beginning of the sample period, just before the first wave of the SARS-CoV-2 pandemic crisis, although some differences are observed during the first and second waves of the coronavirus outbreak.

COVID-19 media coverage and ESG leader indices.

This study examines the dynamic connectedness between COVID-19 media coverage index (MCI) and ESG leader indices. Our findings provide evidence that MCI plays a role in facilitating the transmission of contagion to advanced and emerging equity markets during the pandemic. The connectedness between MCI and ESG leader indices is more pronounced around March and April 2020 at the peak of the pandemic. The US is a net receiver of shocks reaffirming that it was the most affected country during the pandemic. Our results provide implications for investors, portfolio managers, and policymakers in mitigating financial risks during the pandemic.