Acceso usuarios
Jamila Taleb Hayet Soltani, Mouna Boujelbéne
Purpose– This paper aims to analyze the connectedness between Gulf Cooperation Council (GCC) stock market index and cryptocurrencies. It investigates the relevant impact of RavenPack COVID sentiment on the dynamic of stock market indices and conventional cryptocurrencies as well as their Islamic counterparts during the onset of the COVID-19 crisis. Design/methodology/approach–Theauthorsrelyonthemethodology ofDieboldand Yilmaz(2012,2014) to construct network-associated measures. Then, the wavelet coherence model was applied to explore co-movements between GCC stock markets, cryptocurrencies and RavenPack COVID sentiment. As a robustnesscheck,theauthorsusedthetime-frequencyconnectednessdevelopedbyBarunikandKrehlik(2018) to verify the direction and scale connectedness among these markets. Findings–Theresultsillustrate the effect of COVID-19 onall cryptocurrency markets. The time variations of stock returns display stylized fact tails and volatility clustering for all return series. This stressful period increased investor pessimism and fears and generated negative emotions. The findings also highlight a high spillover of shocks between RavenPack COVID sentiment, Islamic and conventional stock return indices and cryptocurrencies. In addition, we find that RavenPack COVID sentiment is the main net transmitter of shocks for all conventional market indices and that most Islamic indices and cryptocurrencies are net receivers. Practicalimplications–Thisstudyprovidestwomaintypesofimplications: Ontheonehand,ithelpsfund managersadjusttheriskexposureoftheirportfoliobyincludingstocksthatsignificantlyrespondtoCOVID-19 sentiment and those that do not. On the other hand, the volatility mechanism and investor sentiment can be interesting for investors as it allows them to consider the dynamics of each market and thus optimize the asset portfolio allocation. Originality/value– This finding suggests that the RavenPack COVID sentiment is a net transmitter of shocks. It is considered a prominent channel of shock spillovers during the health crisis, which confirms the behavioral contagion. This study also identifies the contribution of particular interest to fund managers and investors. In fact, it helps them design their portfolio strategy accordingly.
