Maaz Khan, Maaz Khan, Umar Nawaz Kayani, Mrestyal Khan · 7 authors
Across the globe, COVID-19 has disrupted the financial markets, making them more volatile. Thus, this paper examines the market volatility and asymmetric behavior of Bitcoin, EUR, S&P 500 index, Gold, Crude Oil, and Sugar during the COVID-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1, 1), and EGARCH (1, 1) econometric models on the daily time series returns data ranging from 27 November 2018 to 15 June 2021. The empirical findings show a high level of volatility persistence in all the financial markets during the COVID-19 pandemic. Moreover, the Crude Oil and S&P 500 index shows significant positive asymmetric behavior during the pandemic. Apart from this, the results also reveal that EGARCH is the most appropriate model to capture the volatilities of the financial markets before the COVID-19 pandemic, whereas during the COVID-19 period and for the whole period, each GARCH family evenly models the volatile behavior of the six financial markets. This study provides financial investors and policymakers with useful insight into adopting effective strategies for constructing portfolios during crises in the future.
This article aims to explain the effect of overconfidence, emotion, and experience on risk perception, using SEM-PLS Method. The expected findings are a negative relationship between overconfidence on risk perception, a positive relationship between emotion on risk perception, also a positive relationship between experience on risk perception. This study explains whether the unusual behaviors of generation Z cryptocurrency investors, during the COVID-19 pandemic, have a correlation with their risk perception. Researchers hope that this research can provide investors and practitioners with an understanding to better understand individual investor interests and consumer behavior toward generation Z cryptocurrency investors in the midst of the Covid-19 pandemic.
This paper explores the asymmetric effect of COVID-19 pandemic news, as measured by the coronavirus indices (Panic, Hype, Fake News, Sentiment, Infodemic, and Media Coverage), on the cryptocurrency market. Using daily data from January 2020 to September 2021 and the exponential generalized autoregressive conditional heteroskedasticity model, the results revealed that both adverse and optimistic news had the same effect on Bitcoin returns, indicating fear of missing out behavior does not prevail. Furthermore, when the nonlinear autoregressive distributed lag model is estimated, both positive and negative shocks in pandemic indices promote Bitcoin's daily changes; thus, Bitcoin is resistant to the SARS-CoV-2 pandemic crisis and may serve as a hedge during market turmoil. The analysis of frequency domain causality supports a unidirectional causality running from the Coronavirus Fake News Index and Sentiment Index to Bitcoin returns, whereas daily fluctuations in the Bitcoin price Granger affect the Coronavirus Panic Index and the Hype Index. These findings may have significant policy implications for investors and governments because they highlight the importance of news during turbulent times. The empirical results indicate that pandemic news could significantly influence Bitcoin's price.
The article explores the impact of unstable financial and economic factors on the development of blockchain technologies. In recent years, blockchain has emerged as a disruptive innovation with the potential to transform various sectors, including finance, supply chain management, and healthcare. This article sheds light on the interplay between the volatile financial and economic landscape and the evolution of blockchain technologies. The author emphasizes that unstable financial and economic conditions have significantly influenced the trajectory of blockchain development. The article argues that during periods of economic uncertainty, blockchain technology gains traction as a trusted and transparent alternative to traditional financial systems. Blockchain's decentralized nature, cryptographic security, and immutable recordkeeping capabilities make it an attractive solution for addressing issues such as fraud, corruption, and lack of transparency. Furthermore, the article delves into specific instances where blockchain adoption has been fueled by unstable financial and economic factors. For instance, in countries facing hyperinflation or economic crises, blockchain-based cryptocurrencies have provided individuals with a means to protect their wealth and conduct secure transactions. Similarly, in supply chain management, blockchain's ability to enhance transparency and traceability has gained momentum in the wake of widespread disruptions caused by global events such as the COVID-19 pandemic. The article also explores the potential challenges and limitations that arise from the relationship between unstable financial and economic factors and blockchain technologies. It acknowledges that while blockchain holds promise, regulatory uncertainties, scalability issues, and interoperability concerns can hinder its widespread adoption. In conclusion, this article highlights the intricate relationship between unstable financial and economic factors and the development of blockchain technologies. It provides valuable insights into the growing relevance of blockchain in addressing the shortcomings of traditional financial systems during times of economic instability. However, it also underscores the need for continued research, collaboration, and regulatory clarity to harness the full potential of blockchain technology in a rapidly evolving financial landscape. Overall, this article serves as a thoughtprovoking resource for researchers, policymakers, and industry professionals seeking to understand the dynamic interplay between unstable financial and economic factors and the development of blockchain technologies.
This paper tests the safe-haven property of Bitcoin for South African stocks using Full and Diagonal BEKK-GARCH models. The study uses the Johannesburg stock exchange Top40 index, and bitcoin returns data before COVID-19 (August 2018 to December 2019) and during COVID-19 (January 2020 to June 2021). The results show that bitcoin cannot be considered as safe-haven for stocks in South Africa since it is weakly correlated with stock and had a high volatility during the Pandemic. Therefore, the safe-haven hypothesis of bitcoin on South African stocks is not true for the period under study. The policy implication is that bitcoin is not an appropriate safe-haven asset on South African stocks because it lacks store of value properties.
Bitcoin and Ethereum are the top two cryptocurrencies in the first and the second places respectively. This study looks to examine the inter and intra dynamics and relationship between Bitcoin price (BTCP), Ethereum price (ETHP), Bitcoin volume (BTCV) and Ethereum volume (ETHV). This study utilizes the Johansen Cointegration Test as well as the Vector Error Correction Model (VECM) to determine the long-run relationship between Bitcoin price (BTCP), Ethereum price (ETHP), Bitcoin volume (BTCV) and Ethereum volume (ETHV) before and during the COVID-19 pandemic and to determine whether the pandemic has any effect on the changes in prices and volumes of these cryptocurrencies. The study also utilizes daily data extracted from coinmarketcap.com for Bitcoin price and volume as well as for Ethereum price and volume from August 8, 2015 up to February 28, 2021 extracted on March 1, 2021. We find that the COVID-19 pandemic has no effect on the long run relationship between Bitcoin price (BTCP), Ethereum price (ETHP), Bitcoin volume (BTCV) and Ethereum volume (ETHV) for all the specifications. We also find that the pandemic has no effect on the prices of Bitcoin and Ethereum but has an effect on their trading volumes in the short run. We find that the price of Bitcoin is positively related with the Bitcoin trading volume and positively related with the trading volume of Ethereum whereas the Ethereum price is negatively related with the Bitcoin trading volume and positively related with the trading volume of Ethereum. We also find that the price of Bitcoin is positively related with the trading volume of Bitcoin and negatively related with the trading volume of Ethereum. On the other hand, the price of Ethereum is positively related with trading volume of Bitcoin and positively related with the trading volume of Ethereum.
Purpose - The paper summarizes the theoretical and empirical knowledge on the use and transactions of cryptocurrencies in tourism and examines the use of cryptocurrencies as a means of payment in Croatian tourism. Methodology/Design/Approach – The empirical research examines the attitudes and opinions of tourists in Croatian tourism regarding their willingness to pay with cryptocurrencies while travelling. Findings - The research results show a low level of payment for tourism services with cryptocurrencies in the Republic of Croatia, but a fairly open acceptance of cryptocurrencies as a means of payment for tourism services. The study found no correlation between the profile of respondents and the motivation to pay with cryptocurrencies. However, a correlation was found between the age of the respondents and the intention to pay, but there were no statistically significant differences in the intention to pay according to the age group of the respondents. No correlation was also found between motivation and intention to pay with cryptocurrencies. Originality of the research – The study can serve as a basis for further research on the use of cryptocurrencies in tourism. It helps to expand knowledge about the motivation and intention to use cryptocurrencies on a tourism trip and to understand tourists’ behavior.
Purpose -Cryptocurrency in the digital economy plays a vital role and is growing exponentially.This article aims to review cryptocurrency in the digital economy.Method -A narrative synthesis was employed.Moreover, the researchers conducted a systematic documentary review and used content analysis to analyse the data.The literature was reviewed systematically to describe cryptocurrency in the digital economy.The literature and information were obtained from various books and research articles on EBSCO, Google Scholar, Scopus, Web of Science, and ScienceDirect.The inclusion criteriaResearch Implications -This review article contributed to the existing literature on cryptocurrency in the digital economy.Hence, it could guide future research on cryptocurrency in the digital economy.Moreover, the implications could be applied to any sector to better understand and implement appropriate strategies regarding cryptocurrency in the digital economy.
With the continuous improvement of productivity, people's living standards have continued to rise, but the problem of income disparity has become increasingly serious. This article focuses on the income disparities in China's industry and study the impact of digital financial inclusion on the it. The income disparities between employees in 29 provinces in the China Statistical Yearbook was used for analysis, and the parameters were estimated by benchmark regression analysis. Based on the results of the study, it was found that digital financial inclusion had a large impact on the five decentralized industries selected. In view of these results, this paper analyzes the reasons and draws the reasons why digital finance has contributed to the reduction of the income gap in the industry.
Mustafa Özer, Serap Kamışlı, Fatih Temi̇zel, Melik Kamışlı
The aim of this study was to investigate the causal relations between COVID-19 economic supports and Bitcoin markets. For this purpose, we first determined the degree of the integration of variables by implementing Fourier Augmented Dickey–Fuller unit root tests. Then, we carried out both linear (Bootstrap Toda–Yamamoto) and non-linear (Fractional Frequency Flexible Fourier form Toda–Yamamoto) causality tests to consider the nonlinearities in variables, to determine if the effects of multiple structural breaks were temporary or permanent, and to evaluate the unidirectional causality running from COVID-19-related economic supports and the price, volatility, and trading volume of Bitcoin. Our study included 158 countries, and we used daily data over the period from 1 January 2020 and 10 March 2022. The findings of this study provide evidence of unidirectional causalities running from COVID-19-related economic supports to the price, volatility, and trading volume of Bitcoin in most of the countries in the sample. The application of non-linear causality tests helped us obtain more evidence about these causalities. Some of these causalities were found to be permanent, and some of them were found to be temporary. The results of the study indicate that COVID-19-related economic supports can be considered a major driver of the surge in the Bitcoin market during the pandemic.
Hassan Obeid, Aymen TURKI, Ahmed Jeribi, Sahar Loukil
This study examines information dissemination across G7 markets for Bitcoin, stocks, and oil before and during the COVID-19 pandemic. We used a vector autoregressive model and impulse response function to analyze data. Our findings suggest that the pandemic has had a considerable effect on increasing the directional causalities and time-varying connectedness between Bitcoin, oil, and G7 stock indices during the crisis. Bitcoin significantly influences oil and stock returns during the pandemic. Moreover, the response of Bitcoin to shocks in stocks returns is more pronounced for France, Germany, Italy, and the United Kingdom than Japan, the United States, and Canada. The results could aid investors with portfolio diversification and hedging strategy in different G7 stock markets.
Emmanuel Joel Aikins Abakah, Guglielmo Maria Caporale, Luis A. Gil‐Alana
This paper assesses the impact of US policy responses to the Covid-19 pandemic on various technology-related assets such as cryptocurrencies, financial technology, and artificial intelligence stocks using fractional integration techniques. More precisely, it analyzes the behavior of the percentage returns in the case of nine major coins (Bitcoin—BITC, Stella—STEL, Litecoin—LITE, Ethereum—ETHE, XRP (Ripple), Dash, Monero—MONE, NEM, Tether—TETH) and two technology-related stock market indices (the KBW NASDAQ Technology Index—KFTX, and the NASDAQ Artificial Intelligence index—AI) over the period 1 January 2020–5 March 2021. The results suggest that fiscal measures such as debt relief and fiscal policy announcements had positive effects on the series examined during the pandemic, when an increased mortality rate tended instead to drive them down; by contrast, monetary measures and announcements appear to have had very little impact and the Covid-19 containment measures none at all.
Ahmed Bouteska, Petr Hájek, Mohammad Zoynul Abedin, Yizhe Dong
This study aims to examine whether the prices and returns of two cryptocurrencies, Dogecoin and Ethereum, are affected by Twitter engagement following the COVID-19 pandemic. We use the autoregressive integrated moving average with explanatory variables model to integrate the effects of investor attention and engagement on Dogecoin and Ethereum returns using data from December 31, 2020, to May 12, 2021. The results provide evidence supporting the hypothesis of a strong effect of Twitter investor engagement on Dogecoin returns; however, no potential impact is identified for Ethereum. These findings add to the growing evidence regarding the effect of social media on the cryptocurrency market and have useful implications for investors and corporate investment managers concerning investment decisions and trading strategies.
The COVID-19 pandemic and the bearish market have led investors to find a safe-haven asset during this financial turbulence. Gold, US Dollar, and Bitcoin traditionally could be safe-haven assets in previous financial crises. However, safe-haven assets are mainly different during each market crash. Therefore, this paper aims to examine gold, US dollars, and Bitcoin as safe-haven assets during the COVID-19 market turmoil in several South East Asian countries such as Indonesia, Malaysia, Singapore, and the Philippines. All variables use daily data time series from January 2020 - September 2020. This study will conduct an empirical analysis using Generalized Autoregressive Conditional Heteroscedasticity (GARCH). Our result shows that during the COVID-19 pandemic, US Dollar could act as a safe-haven asset in Indonesia, Malaysia, and the Philippines. It implies that when the condition is uncertain during a pandemic, many investors switch their investments to US dollars in those three countries. On the other hand, gold and bitcoin are not safe-haven assets, but they could only act as hedging for several countries in South-East Asia.
Abstract: We live in a digital age, and Pandemic has accelerated the development of new health care products and introduced new business models and health opportunities. In addition to tele-medicine, supply chain, payment, secure data exchange, and remote monitoring applications, there and they are the latest innovations in blockchain and non-fungible tokens (NFTs) that enable the exchange of value on fragmented networks. Futurists and technology experts are also exploring how Metaverse can play a role in various fields. This Commentary aims to explore how Metaverse can be used in the future to transform, improve, and possibly transform health care. The following areas covered are teamwork, education, clinical care, wellness, and monetization.
Aymen TURKI, Ahmed OBEID, Sahar Loukil, Ahmed Jeribi
This study examines the connectedness between G7 indices, Bitcoin, and oil during the COVID-19 pandemic. Based on daily data from January 1, 2016 to April 1, 2021, a vector auto-regression model and an impulse response function are employed to illustrate the time path of these assets following own and cross-shocks. Our study exhibits the considerable effect of the pandemic on increasing directional causalities and time-varying connectedness between G7 indices, Bitcoin, and oil. The findings indicate that G7 indices’ own shocks almost immediately lower forecasts of stock return urging the diversification to reduce risk. Moreover, the significant negative response of oil to shocks amid the pandemic reflects its high vulnerability during mitigated periods. Unlike other countries, we find a relative resilience of Bitcoin to S&P 500 shocks, and we consequently recommend Bitcoin as a diversifier to Americaninvestors during the pandemic. Our results are useful for both investors and policymakers who need to think ahead, rather than waiting to have a downside G7 returns movement in turbulent periods.
The study assessed the hedge or safe-haven property of five cryptocurrencies for stocks of three COVID-19 worst-hit African countries. We address two main concerns bordering on the predictive capacity of African stocks for cryptocurrency returns and the safe-haven property that cryptocurrencies could offer to African stocks. A distributed lag model, with explicitly incorporated salient statistical features, was adopted based on its efficient management of parameter proliferation and estimation biases. We ascertained the model’s in-sample predictability and evaluate its out-of-sample forecasts performance in comparison with the historical average model, using Clark and West statistics. While African stocks significantly predicted cryptocurrency returns, the cryptocurrency-stocks nexus revealed the diversifier and safe-haven property of cryptocurrencies for African stocks in periods of normalcy and crisis/pandemic, respectively. Our predictive model outperformed the historical average model in the out-of-sample. Our results may be sensitive to cryptocurrency-stocks nexus and sample periods but not the out-of-sample forecast horizons