Infectious disease (COVID-19)-related uncertainty and the safe-haven features of bonds markets

IF 1.9 Q2 BUSINESS, FINANCE

Review of Behavioral Finance Pub Date : 2022-02-17 DOI:10.1108/rbf-04-2021-0069

Shoaib Ali, I. Yousaf, Zaghum Umar

{"title":"Infectious disease (COVID-19)-related uncertainty and the safe-haven features of bonds markets","authors":"Shoaib Ali, I. Yousaf, Zaghum Umar","doi":"10.1108/rbf-04-2021-0069","DOIUrl":null,"url":null,"abstract":"Purpose This study aims to examine the hedge, diversifier and safe-haven properties of bonds against infectious disease-related equity market volatility (IDEMV), like COVID-19.Design/methodology/approach The authors apply wavelet coherence methodology on the daily data of IDEMV and bond market (US, UK, Japan, Switzerland, Canada, Australia, Sweden, China and Europe) indices from 1 January 2000 to 14 February 2021.Findings The results show no significant co-movement between these bond indices and IDEMV, thus confirming that they serve as a hedge against IDEMV. However, during the turbulent period like COVID-19, the authors find that the US, UK, Japan, Switzerland, Canada, Australia, Sweden, China and European bond markets act as safe-haven against IDEMV, whereas the UK, US, Japan and Canadian bond markets demonstrate an in-phase and positive co-movement with IDEMV during COVID-19, suggesting their role as a diversifier.Research limitations/implications The study findings are important for investors and portfolio managers regarding risk management, portfolio diversification and investment strategies.Originality/value The authors contribute to the fast growing body of work on the financial impacts of COVID-19 as well as to ongoing consideration of whether a bond is a safe-haven investment.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":null,"pages":null},"PeriodicalIF":1.9000,"publicationDate":"2022-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"21","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Behavioral Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/rbf-04-2021-0069","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 21

Abstract

Purpose This study aims to examine the hedge, diversifier and safe-haven properties of bonds against infectious disease-related equity market volatility (IDEMV), like COVID-19.Design/methodology/approach The authors apply wavelet coherence methodology on the daily data of IDEMV and bond market (US, UK, Japan, Switzerland, Canada, Australia, Sweden, China and Europe) indices from 1 January 2000 to 14 February 2021.Findings The results show no significant co-movement between these bond indices and IDEMV, thus confirming that they serve as a hedge against IDEMV. However, during the turbulent period like COVID-19, the authors find that the US, UK, Japan, Switzerland, Canada, Australia, Sweden, China and European bond markets act as safe-haven against IDEMV, whereas the UK, US, Japan and Canadian bond markets demonstrate an in-phase and positive co-movement with IDEMV during COVID-19, suggesting their role as a diversifier.Research limitations/implications The study findings are important for investors and portfolio managers regarding risk management, portfolio diversification and investment strategies.Originality/value The authors contribute to the fast growing body of work on the financial impacts of COVID-19 as well as to ongoing consideration of whether a bond is a safe-haven investment.

查看原文本刊更多论文

传染病(COVID-19)相关的不确定性和债券市场的避险特征

本研究旨在检验债券对传染病相关股票市场波动(IDEMV)(如COVID-19)的对冲、多元化和避险特性。作者将小波相干性方法应用于2000年1月1日至2021年2月14日期间IDEMV和债券市场(美国、英国、日本、瑞士、加拿大、澳大利亚、瑞典、中国和欧洲)指数的每日数据。结果表明，这些债券指数与IDEMV之间没有显著的共同运动，从而证实它们可以对冲IDEMV。然而，在像COVID-19这样的动荡时期，作者发现，美国、英国、日本、瑞士、加拿大、澳大利亚、瑞典、中国和欧洲债券市场充当了对抗IDEMV的避风港，而英国、美国、日本和加拿大债券市场在COVID-19期间与IDEMV表现出同步和积极的共同运动，表明它们具有多元化的作用。研究结果对投资者和投资组合管理者在风险管理、投资组合多样化和投资策略方面具有重要意义。作者为关于COVID-19金融影响的快速增长的工作以及对债券是否为避险投资的持续考虑做出了贡献。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Review of Behavioral Finance BUSINESS, FINANCE-

CiteScore

4.70

自引率

5.00%

发文量

期刊介绍： Review of Behavioral Finance publishes high quality original peer-reviewed articles in the area of behavioural finance. The RBF focus is on Behavioural Finance but with a very broad lens looking at how the behavioural attributes of the decision makers influence the financial structure of a company, investors’ portfolios, and the functioning of financial markets. High quality empirical, experimental and/or theoretical research articles as well as well executed literature review articles are considered for publication in the journal.

文献相关原料

公司名称	产品信息	采购帮参考价格