COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs
COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs
Did Covid19 induce market turmoil and impact the intraday volatility spillovers between energy and other ETFs? To examine this, we first estimate the realized volatility of ETFs using the 5-minute high-frequency data. Next, we employ time-varying parameter vector autoregressions (TVP-VAR). Finally, we utilize the wavelet coherence measure to test the time-frequency impact of COVID-induced sentiment on the spillovers by employing investors’ psychological and behavioural factors. We find that oil and stock markets are net transmitters while currency, bonds, and silver markets are net receivers. The wavelet analysis embarked significant impact of media coverage and fake news index towards shaping investors’ pessimism for their investments. We proposed useful implications for policymakers, governments, investors, and portfolio managers.
COVID-19, Intraday volatility, TVP-VAR, US ETF, Wavelet analysis, US ETFs
Naeem, Muhammad Abubakr
959d6cc4-53d1-47dc-8c3c-0354a08633d7
Karim, Sitara
1f712808-acf8-4b84-b157-0464f326704c
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
June 2023
Naeem, Muhammad Abubakr
959d6cc4-53d1-47dc-8c3c-0354a08633d7
Karim, Sitara
1f712808-acf8-4b84-b157-0464f326704c
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
Naeem, Muhammad Abubakr, Karim, Sitara, Yarovaya, Larisa and Lucey, Brian
(2023)
COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs.
Energy Economics, 122, [106677].
(doi:10.1016/j.eneco.2023.106677).
Abstract
Did Covid19 induce market turmoil and impact the intraday volatility spillovers between energy and other ETFs? To examine this, we first estimate the realized volatility of ETFs using the 5-minute high-frequency data. Next, we employ time-varying parameter vector autoregressions (TVP-VAR). Finally, we utilize the wavelet coherence measure to test the time-frequency impact of COVID-induced sentiment on the spillovers by employing investors’ psychological and behavioural factors. We find that oil and stock markets are net transmitters while currency, bonds, and silver markets are net receivers. The wavelet analysis embarked significant impact of media coverage and fake news index towards shaping investors’ pessimism for their investments. We proposed useful implications for policymakers, governments, investors, and portfolio managers.
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Accepted/In Press date: 11 April 2023
e-pub ahead of print date: 20 April 2023
Published date: June 2023
Additional Information:
© 2023 Elsevier B.V. All rights reserved.
Keywords:
COVID-19, Intraday volatility, TVP-VAR, US ETF, Wavelet analysis, US ETFs
Identifiers
Local EPrints ID: 476893
URI: http://eprints.soton.ac.uk/id/eprint/476893
ISSN: 0140-9883
PURE UUID: e1b89538-5cf7-46de-9c57-f2259a795ec2
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Date deposited: 18 May 2023 16:59
Last modified: 06 Jun 2024 02:05
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Contributors
Author:
Muhammad Abubakr Naeem
Author:
Sitara Karim
Author:
Brian Lucey
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