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Global uncertainty and potential shelters : gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets

Feder-Sempach, Ewa; Szczepocki, Piotr; Bogołębska, Joanna - In: Financial innovation : FIN 10 (2024), pp. 1-23

This article investigates fve safe-haven asset responses from 2014 to 2022, includ‑ ing the unprecedented COVID-19 crisis, Russian invasion of Ukraine, and sharp US inter‑ est rate increases of 2015 and 2022. We apply the unique approach of the multivariate factor stochastic volatility (MSV)...

Persistent link: https://www.econbiz.de/10014541628

Impact of global macroeconomic factors on spillovers among Australian sector markets : fresh findings from a wavelet-based analysis

Jiang, Zhuhua; El Khoury, Rim; Alshater, Muneer Maher; … - In: Australian economic papers 63 (2024) 1, pp. 78-105

Persistent link: https://www.econbiz.de/10014540228

The causal effect of political risk on the stock market : evidence from a natural experiment

Li, Zhibing; Liu, Jia; Liu, Jie; Liu, Xiaoyu; Zhu, Yinglun - In: Australian economic papers 63 (2024) 1, pp. 145-162

Persistent link: https://www.econbiz.de/10014540240

Dynamic connectedness and hedging opportunities of the commodity and stock markets in China : evidence from the TVP-VAR and cDCC-FIAPARCH

Li, Binlin; Haneklaus, Nils; Rahman, Mohammad Mafzur - In: Financial innovation : FIN 10 (2024), pp. 1-30

This study examines the dynamic connectedness and hedging opportunities between CSI300 (China Security Index 300) and copper, gold, PTA (purifed terephthalic acid), and soybean in China from January 09, 2008, to June 30, 2023. A TVP-VAR and cDCC-FIAPARCH modeling framework was used for the...

Persistent link: https://www.econbiz.de/10014540575

The effects of the COVID-19 pandemic on stock market performance in Africa

Raifu, Isiaka Akande; Kumeka, Terver Theophilus - In: Journal of business and economic analysis : (JBEA) 6 (2023) 1, pp. 109-136

The aim of this research is to examine how the daily growth in COVID-19 confirmed cases and deaths in 15 African nations affects stock market returns, employing both time series and panel methods. This study uses robust ordinary least squares (ROLS) and dynamic ordinary least squares (DOLS) for...

Persistent link: https://www.econbiz.de/10014540618

Volatility contagion between cryptocurrencies, gold and stock markets pre-and-during COVID-19 : evidence using DCC-GARCH and cascade-correlation network

Ibrahim, Bassam A.; Elamer, Ahmed A.; Alasker, Thamir H.; … - In: Financial innovation : FIN 10 (2024), pp. 1-28

The rapid rise of Bitcoin and its increasing global adoption has raised concerns about its impact on traditional markets, particularly in periods of economic turmoil and uncertainty such as the COVID-19 pandemic. This study examines the extent of the volatility contagion from the Bitcoin market...

Persistent link: https://www.econbiz.de/10014540621