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Purushartha ; 15(2):52-65, 2022.
Article in English | Scopus | ID: covidwho-20243227


Investors' trading activities are influenced by their financial attitudes. Even though existing research has recognized and investigated their relationship, behavioral assessments and financial attitude still poses questions. Furthermore, there is a lack of evidence about the trading activity of retail investors in the instance of a health crisis, like COVID-19 pandemic. The aim of study is to fill in the gaps in the existing literature by studying the relative impact of five dimensions of financial attitude on trading activity of retail investors' during the pandemic. We have used five dimensions to measure financial attitude such as financial anxiety, optimism of investors, financial security, self-control, and the need for precautionary savings. We collected 512 responses from retail investors with the help of a structured questionnaire. We analyzed financial attitude and trading activity using SEM to establish the structural relationship. The observed findings disclosed that self-control is the dominant variable followed by financial security, need for precautionary savings, financial anxiety, and optimism. © 2022, School of Management Sciences. All rights reserved.

European Journal of Finance ; 2023.
Article in English | Web of Science | ID: covidwho-20242863


This paper investigates the dynamics and drivers of informational inefficiency in the Bitcoin futures market. To quantify the adaptive pattern of informational inefficiency, we leverage two groups of statistics which measure long memory and fractal dimension to construct a global-local market inefficiency index. Our findings validate the adaptive market hypothesis, and the global and local inefficiency exhibits different patterns and contributions. Regarding the driving factors of the time-varying inefficiency, our results suggest that trading activity of retailers (hedgers) increases (decreases) informational inefficiency. Compared to hedgers and retailers, the role played by speculators is more likely to be affected by the COVID-19 crisis. Extremely bullish and bearish investor sentiment has more significant impact on the local inefficiency. Arbitrage potential, funding liquidity, and the pandemic exert impacts on the global and local inefficiency differently. No significant evidence is found for market liquidity and policy uncertainty related to cryptocurrency.

Annals of Operations Research ; : 30, 2022.
Article in English | Web of Science | ID: covidwho-1627732


In this paper, we examine extreme spillovers among the realized volatility of various energy, metals, and agricultural commodities over the period from September 23, 2008, to June 1, 2020. Using high-frequency (5-min) price data on commodity futures, we compute daily realized volatility and then apply quantile-based connectedness measures. The results show that the connectedness measures estimated at the lower and upper quantiles are much higher than those estimated at the median, implying that realized volatility shocks circulate more intensely during extreme events relative to normal periods, which endangers the stability of the system of volatility connectedness under extreme events such as the COVID19 outbreak. There is evidence of a strong asymmetry between the behaviour of volatility spillovers in lower and upper quantiles, given that the connectedness measures estimated at the upper quantile are the highest. The main results are robust to rolling window size and other alternative choices. Our analyses matter to investors and policy makers who are concerned with the stability of commodity markets.