Karamti Chiraz, Belhassine Olfa
Department of Quantitative Methods, Higher Institute of Business Administration (ISAAS), Sfax University, Tunisia.
Department of Finance and Accountancy, Univ. Manouba, ESCT., 2010, Tunisia.
Financ Res Lett. 2022 Mar;45:102136. doi: 10.1016/j.frl.2021.102136. Epub 2021 May 16.
This paper investigates the connectedness between the COVID-19 outbreak and major financial markets within a time-frequency framework. Wavelet coherency analysis unveils perceptual differences between the short-term and longer-term markets' reactions. In the short-run, we find strong co-movements during the first and second waves of the pandemic. During the first wave, longer-term investors were driven by the belief of future pandemic demise. They make use of time diversification that results in positive returns. The US being the new coronavirus epicenter, we also find that the US COVID-19 fear spills over into the international markets. Gold, SSE, and cryptocurrencies seem safer investments.
本文在时频框架内研究了新冠疫情爆发与主要金融市场之间的关联性。小波相干分析揭示了短期和长期市场反应之间的显著差异。在短期内，我们发现在疫情的第一波和第二波期间存在强烈的共同变动。在第一波疫情期间，长期投资者受到疫情未来会消退这一信念的驱动。他们利用时间分散化实现了正回报。美国作为新冠病毒的震中，我们还发现美国对新冠疫情的恐慌蔓延到了国际市场。黄金、上证综指和加密货币似乎是更安全的投资选择。
