Return connectedness across asset classes around the COVID-19 outbreak
Return connectedness across asset classes around the COVID-19 outbreak
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DOI：
10.1016/j.irfa.2020.101646
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发表时间：
2021-01-29
影响因子：
8.2
通讯作者：
Gupta, Rangan
中科院分区：
文献类型：
--
作者：
Bouri, Elie;Cepni, Oguzhan;Gupta, Rangan
在本文中，我们展示了COVID-19爆发前后各种资产（黄金、原油、全球股票、货币和债券）回报关联性的结构和时变模式发生巨大变化的证据。使用TVP-VAR连通性方法，结果显示，五项资产的动态总连通性在2020年初之前是适度且相当稳定的。在此之后，总的连通性激增，连通性网络的结构发生变化，这与COVID-19的爆发相吻合。股票和美元指数是疫情爆发前冲击的主要传递者，而债券指数则成为COVID-19疫情爆发期间冲击的主要传递者。不过，美元指数是疫情期间其他资产冲击的净接收者。此外，使用最近开发的基于报纸的传染病导致的金融市场不确定性指数来捕捉COVID-19的近期影响，我们发现连通性与该指数呈正相关，并且在连通性的较高水平（条件分位数）时增加。整体而言，我们的业绩反映COVID-19爆发带来的快速干扰影响，这对制定旨在实现金融稳定的政策至关重要。研究结果还表明，投资者的投资组合可能受到威胁，分散投资的好处可能会消失。
In this paper, we show evidence of a dramatic change in the structure and time-varying patterns of return connectedness across various assets (gold, crude oil, world equities, currencies, and bonds) around the COVID-19 outbreak. Using the TVP-VAR connectedness approach, the results show that the dynamic total connectedness across the five assets was moderate and quite stable until early 2020. After that, the total connectedness spikes and the structure of the network of connectedness alters, which concurs with the COVID-19 outbreak. The equity and USD indices are the primary transmitters of shocks before the outbreak, whereas the bond index becomes the main transmitters of shocks during the COVID-19 outbreak. However, the USD index is a net receiver of shocks to other assets during the outbreak period. Furthermore, using a recently developed newspaper-based index of uncertainty in financial markets due to infectious diseases to capture the recent impact of COVID-19, we find that connectedness is positively related to this index, and increases at higher levels (conditional quantiles) of connectedness. Overall, our results reflect the speedy disturbing effects of the COVID-19 outbreak, which matters to the formulations of policies seeking to achieve financial stability. The results also indicate a possibility to threaten investors' portfolios and fade the benefits of diversification.