期刊
JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE
卷 28, 期 -, 页码 -出版社
ELSEVIER
DOI: 10.1016/j.jbef.2020.100404
关键词
Covid-19 panic; Wavelet coherence; Wavelet phase difference; Cross-currency hedge strategies; Cryptocurrencies; Currency markets; Lead-lag effects; Causality
资金
- Fundacao para a Ciencia e Tecnologia (FCT), the Portuguese national funding agency for science, research and technology [UID/SOC/04521/2020]
- Lisbon Polytechnic Institute (IPL) as part of the IPL/2020/MacroRates/ISCAL project
We apply wavelet analyses to examine the impact of the Covid-19 fueled panic on the volatility of major fiat and cryptocurrency markets during January-May, 2020. There is high coherence between moves of the Coronavirus Panic Index and the price moves in Euro, British pound, and Renminbi currencies as well as movements of the Bloomberg Galaxy Crypto Index. The main conclusions for each index pair are quite similar and corroborate with our thesis that the cross-currency hedge strategies, which could work under normal market conditions, are likely to fail during the periods of global crisis, e.g., such as the Covid-19 pandemic. However, we document some important differences in currency markets behavior, which potentially could be used to design effective cross-currency hedges capable of withstanding adverse impacts of global financial and economic turmoil. Our findings could be of use for future development of financial policies and currency markets regulation rules. (C) 2020 Elsevier B.V. All rights reserved.
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