Cargando…
How does the crisis of the COVID-19 pandemic affect the interactions between the stock, oil, gold, currency, and cryptocurrency markets?
This study examines how the COVID-19 pandemic crisis affects the interactions between the stock, oil, gold, currency, and cryptocurrency markets. The impacts of the COVID-19 pandemic crisis on the optimal asset allocation and optimal hedged strategy are also discussed. Empirical results show that th...
Autores principales: | , |
---|---|
Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Frontiers Media S.A.
2022
|
Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9748152/ https://www.ncbi.nlm.nih.gov/pubmed/36530679 http://dx.doi.org/10.3389/fpubh.2022.933264 |
_version_ | 1784849762934063104 |
---|---|
author | Su, Jung-Bin Kao, Yu-Sheng |
author_facet | Su, Jung-Bin Kao, Yu-Sheng |
author_sort | Su, Jung-Bin |
collection | PubMed |
description | This study examines how the COVID-19 pandemic crisis affects the interactions between the stock, oil, gold, currency, and cryptocurrency markets. The impacts of the COVID-19 pandemic crisis on the optimal asset allocation and optimal hedged strategy are also discussed. Empirical results show that the volatility spillover significantly exists in most of the ten paired markets whereas the return spillover and correlation are significant only for the few paired markets. Moreover, the impact of the COVID-19 pandemic on the return spillover is the greatest followed by the correlation whereas the volatility spillover is not affected by the COVID-19 pandemic. Furthermore, the Quantitative easing (QE) implemented after the COVID-19 pandemic crisis increases the risk-adjusted return for each asset and minimum variance portfolio (MVP) and raises the correlation between two assets. In addition, most of the pairs of assets are not suitable to hedge each other except for a few pairs of assets. Regarding these few pairs of assets, the optimal hedge asset with the fewer hedge cost is accompanied by less risk reduction and vice versa. Finally, the investors should choose the euro to construct a portfolio to achieve risk diversification and to hedge gold or WTI to get the risk reduction. The above findings can help investors and fund managers make a useful investment strategy, optimal asset allocation, and effective hedged strategy. For example, the investors can use the volatility of one market to predict the volatility of another market and they can take a long position during the post-COVID-19 period but they should withdraw capital from the market when the QE tapering is executed. JEL CLASSIFICATION: C52; C53; G15. |
format | Online Article Text |
id | pubmed-9748152 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2022 |
publisher | Frontiers Media S.A. |
record_format | MEDLINE/PubMed |
spelling | pubmed-97481522022-12-15 How does the crisis of the COVID-19 pandemic affect the interactions between the stock, oil, gold, currency, and cryptocurrency markets? Su, Jung-Bin Kao, Yu-Sheng Front Public Health Public Health This study examines how the COVID-19 pandemic crisis affects the interactions between the stock, oil, gold, currency, and cryptocurrency markets. The impacts of the COVID-19 pandemic crisis on the optimal asset allocation and optimal hedged strategy are also discussed. Empirical results show that the volatility spillover significantly exists in most of the ten paired markets whereas the return spillover and correlation are significant only for the few paired markets. Moreover, the impact of the COVID-19 pandemic on the return spillover is the greatest followed by the correlation whereas the volatility spillover is not affected by the COVID-19 pandemic. Furthermore, the Quantitative easing (QE) implemented after the COVID-19 pandemic crisis increases the risk-adjusted return for each asset and minimum variance portfolio (MVP) and raises the correlation between two assets. In addition, most of the pairs of assets are not suitable to hedge each other except for a few pairs of assets. Regarding these few pairs of assets, the optimal hedge asset with the fewer hedge cost is accompanied by less risk reduction and vice versa. Finally, the investors should choose the euro to construct a portfolio to achieve risk diversification and to hedge gold or WTI to get the risk reduction. The above findings can help investors and fund managers make a useful investment strategy, optimal asset allocation, and effective hedged strategy. For example, the investors can use the volatility of one market to predict the volatility of another market and they can take a long position during the post-COVID-19 period but they should withdraw capital from the market when the QE tapering is executed. JEL CLASSIFICATION: C52; C53; G15. Frontiers Media S.A. 2022-11-30 /pmc/articles/PMC9748152/ /pubmed/36530679 http://dx.doi.org/10.3389/fpubh.2022.933264 Text en Copyright © 2022 Su and Kao. https://creativecommons.org/licenses/by/4.0/This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY). The use, distribution or reproduction in other forums is permitted, provided the original author(s) and the copyright owner(s) are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms. |
spellingShingle | Public Health Su, Jung-Bin Kao, Yu-Sheng How does the crisis of the COVID-19 pandemic affect the interactions between the stock, oil, gold, currency, and cryptocurrency markets? |
title | How does the crisis of the COVID-19 pandemic affect the interactions between the stock, oil, gold, currency, and cryptocurrency markets? |
title_full | How does the crisis of the COVID-19 pandemic affect the interactions between the stock, oil, gold, currency, and cryptocurrency markets? |
title_fullStr | How does the crisis of the COVID-19 pandemic affect the interactions between the stock, oil, gold, currency, and cryptocurrency markets? |
title_full_unstemmed | How does the crisis of the COVID-19 pandemic affect the interactions between the stock, oil, gold, currency, and cryptocurrency markets? |
title_short | How does the crisis of the COVID-19 pandemic affect the interactions between the stock, oil, gold, currency, and cryptocurrency markets? |
title_sort | how does the crisis of the covid-19 pandemic affect the interactions between the stock, oil, gold, currency, and cryptocurrency markets? |
topic | Public Health |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9748152/ https://www.ncbi.nlm.nih.gov/pubmed/36530679 http://dx.doi.org/10.3389/fpubh.2022.933264 |
work_keys_str_mv | AT sujungbin howdoesthecrisisofthecovid19pandemicaffecttheinteractionsbetweenthestockoilgoldcurrencyandcryptocurrencymarkets AT kaoyusheng howdoesthecrisisofthecovid19pandemicaffecttheinteractionsbetweenthestockoilgoldcurrencyandcryptocurrencymarkets |