COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs
| dc.contributor.author | Naeem, Muhammad Abubakr | |
| dc.contributor.author | Karim, Sitara | |
| dc.contributor.author | Yarovaya, Larisa | |
| dc.contributor.author | ETAL.. | |
| dc.date.accessioned | 2024-05-23T12:21:13Z | |
| dc.date.available | 2024-05-23T12:21:13Z | |
| dc.date.issued | 2023 | |
| dc.description | The uncertainty of the COVID-19 pandemic and its rapid spread across the globe due to high contagiousness created a doomscrolling crisis for the whole world. Officially declared a global pandemic by the World Health Organization. | |
| dc.description.abstract | Did Covid19 induce market turmoil impact the intraday volatility spillovers between energy and other ETFs?. To examine this, we first estimate the realized volatility of ETFs using the 5-min 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. Keywords: COVID-19, Intraday volatility, TVP-VAR, US ETFs, Wavelet analysis | en |
| dc.identifier.citation | Naeem, M. A., Karim, S., Yarovaya, L., & Lucey, B. M. (2023). COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs. Energy Economics, 122, 106677. | |
| dc.identifier.doi | https://doi.org/10.1016/j.eneco.2023.106677 | |
| dc.identifier.uri | https://dspace.adu.ac.ae/handle/1/5387 | |
| dc.language.iso | en | |
| dc.publisher | Elsevier | |
| dc.title | COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs | |
| dc.type | Article |