The dynamics of volatility spillovers between oil prices and stock market returns at the sector level and hedging strategies: evidence from Pakistan

The purpose of this paper is to discuss the determinants of G7, and Chinese stock market returns during the COVID-19 outbreak. We find that Bitcoin and Ethereum can generate benefits from portfolio diversification and hedging strategies for G7 financial investors in early 2020. Our result reveals that Gold is neither hedge nor haven during the COVID-19 pandemic. In addition, the results indicated that the expected volatility of the US stock market has no effect on the Japanese and Chinese financial markets. Finally, our results suggest that the growth rate of confirmed COVID-19 cases and deaths has an impact only on the US stock market.

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Are Kuwaiti Stock Returns Affected by Fluctuations in Oil Prices?

International Journal of Financial Research ◽

10.5430/ijfr.v11n6p1 ◽

2020 ◽

Vol 11 (6) ◽

pp. 1

Author(s):

Salem Alshihab ◽

Nayef AlShammari

Keyword(s):

Stock Market ◽

Stock Returns ◽

Oil Prices ◽

Market Returns ◽

Macroeconomic Factors ◽

Stock Market Returns ◽

Long Run ◽

Short Run ◽

The Impact ◽

Adf Test

This paper examines the impact of fluctuations in the price of oil on Kuwaiti stock market returns for the month-to-month period of 2000 to 2020. The Augmented Dickey-Fuller (ADF) test for stationarity, the error correction model (ECM), and various cointegration test techniques were used to examine the estimated model. In an oil-based economy like Kuwait, the exposure to oil prices seems to affect the performance of the country’s stock market. Our main findings related to the long run showed that the price of oil is cointegrated with stock market returns. Interestingly, our ECM examination confirmed that changes in Kuwaiti stock market returns are only affected by oil price fluctuations in the short run. Further strategies are needed to better stabilize Kuwait’s capital market. This equilibrium can be achieved by pursuing more stability in other macroeconomic factors and providing a solid legal independence for the country’s financial market.

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Can cryptocurrencies be a safe haven during the novel COVID-19 pandemic? Evidence from the Tunisian Stock Market

Journal of Research in Emerging Markets ◽

10.30585/jrems.v3i1.555 ◽

2020 ◽

Vol 3 (1) ◽

pp. 14-31

Author(s):

Ahmed Jeribi ◽

Yasmin Snene Manzli

Keyword(s):

Growth Rate ◽

Stock Market ◽

Portfolio Diversification ◽

The Novel ◽

Safe Haven ◽

Market Returns ◽

Stock Market Returns ◽

Ols Regression ◽

Hedging Strategies ◽

The Us

In this paper, we discuss the behavior of stock market returns in Tunisia during the COVID-19 outbreak. Using the OLS regression, we find that Bitcoin act as a hedge and Ethereum as a diversifier for Tunisia’s stock market before the COVID-19 outbreak; however, Bitcoin and Ethereum cannot generate benefits from portfolio diversification and hedging strategies for financial investors during the COVID-19. Moreover, Dash, Monero, and Ripple act as hedges before the COVID-19 outbreak and as diversifiers during this pandemic. Our results reveal that gold acts as a hedge and diversifier before the pandemic, but it's neither hedge nor a haven during the COVID-19 pandemic. Besides, the results indicated that the expected volatility of the US stock market has an impact on the Tunisian stock market. Finally, our results indicate that the growth rate of the COVID-19 confirmed cases and deaths harms Tunisia's stock market.

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