Can COVID-19 deaths and confirmed cases predict the uncertainty indexes? A multiscale analysis

IF 2.3 Q2 BUSINESS, FINANCE

Studies in Economics and Finance Pub Date : 2023-04-13 DOI:10.1108/sef-11-2021-0488

Walid Mensi, V. Vo, S. Kang

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引用次数: 2

Abstract

Purpose This study aims to examine the multiscale predictability power of COVID-19 deaths and confirmed cases on the S&P 500 index (USA), CAC30 index (France), BSE index (India), two strategic commodity futures (West Texas intermediate [WTI] crude oil and Gold) and five main uncertainty indices Equity Market Volatility Ticker (EMV), CBOE Volatility Index (VIX), US Economic Policy Uncertainty (EPU), CBOE Crude Oil Volatility Index (OVX) and CBOE ETF Gold Volatility Index (GVZ). Furthermore, the authors analyze the impact of uncertainty indices and COVID-19 deaths and confirmed cases on the price returns of stocks (S&P500, CAC300 and BSE), crude oil and gold. Design/methodology/approach The authors used the wavelet coherency method and quantile regression approach to achieve the objectives. Findings The results show strong multiscale comovements between the variables under investigation. Lead-lag relationships vary across frequencies. Finally, COVID-19 news is a powerful predictor of the uncertainty indices at intermediate (4–16 days) and low (32–64 days) frequencies for EPU and at low frequency for EMV, VIX, OVX and GVZ indices from January to April 2020. The S&P500, CAC30 and BSE indexes and gold prices comove with COVID-19 news at low frequencies during the sample period. By contrast, COVID-19 news and WTI oil moderately correlated at low frequencies. Finally, the returns on equity and commodity assets are influenced by uncertainty indices and are sensitive to market conditions. Originality/value This study contributes to the literature by exploring the time and frequency dependence between COVID-19 news (confirmed and death cases) on the returns of financial and commodity markets and uncertainty indexes. The findings can assist market participants and policymakers in considering the predictability of future prices and uncertainty over time and across frequencies when setting up regulations that aim to enhance market efficiency.

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COVID-19死亡病例和确诊病例能否预测不确定性指标?多尺度分析

目的研究新冠肺炎死亡病例和确诊病例对标普500指数(美国)、CAC30指数(法国)、BSE指数(印度)、两种战略商品期货(西德克萨斯中质原油和黄金)以及股票市场波动指数(EMV)、芝加哥期权交易所波动指数(VIX)、美国经济政策不确定性(EPU)、芝加哥期权交易所原油波动指数(OVX)和芝加哥期权交易所ETF黄金波动指数(GVZ)的多尺度可预测性。此外，作者还分析了不确定性指数和COVID-19死亡和确诊病例对股票(标准普尔500指数，CAC300指数和BSE)，原油和黄金的价格回报的影响。设计/方法/方法作者使用小波相干法和分位数回归法来实现目标。研究结果表明，所研究的变量之间存在强烈的多尺度运动。超前-滞后关系因频率而异。最后，2019冠状病毒病新闻对2020年1月至4月期间EPU的中间频率(4-16天)和低频率(32-64天)以及EMV、VIX、OVX和GVZ指数的低频率不确定性指数具有强大的预测作用。在样本期间，标准普尔500指数、CAC30指数和BSE指数以及黄金价格与COVID-19新闻的波动频率较低。相比之下，COVID-19新闻与WTI原油在低频率下适度相关。最后，股票和商品资产的回报率受不确定性指数的影响，对市场状况很敏感。独创性/价值本研究通过探索COVID-19新闻(确诊病例和死亡病例)与金融和商品市场收益以及不确定性指标之间的时间和频率依赖关系，为文献做出贡献。研究结果可以帮助市场参与者和政策制定者在制定旨在提高市场效率的法规时，考虑未来价格的可预测性和时间和频率上的不确定性。

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来源期刊

Studies in Economics and Finance BUSINESS, FINANCE-

CiteScore

4.30

自引率

10.50%

发文量

期刊介绍： Topics addressed in the journal include: ■corporate finance, ■financial markets, ■money and banking, ■international finance and economics, ■investments, ■risk management, ■theory of the firm, ■competition policy, ■corporate governance.