Dynamic connectedness between COVID-19 news sentiment, capital and commodity markets

被引：11

作者：

Apergis, Nicholas ^{[1
]}

Chatziantoniou, Ioannis ^{[2
]}

Gabauer, David ^{[3
]}

机构：

[1] Univ Piraeus, Dept Banking & Financial Management, Piraeus, Greece

[2] Hellen Mediterranean Univ, Dept Accounting & Finance, Lab Accounting & Financial Management LAFIM, Iraklion, Greece

[3] Software Competence Ctr Hagenberg, Data Anal Syst, Hagenberg, Austria

来源：

APPLIED ECONOMICS | 2023年 / 55卷 / 24期

关键词：

COVID-19 sentiment news; volatility indices; tvp-var; dynamic connectedness; joint connectedness; IMPULSE-RESPONSE ANALYSIS; ASYMMETRIC CONNECTEDNESS; INVESTOR SENTIMENT; EFFICIENT TESTS; GOOD VOLATILITY; STOCK; SPILLOVERS; MEDIA; BAD;

D O I：

10.1080/00036846.2022.2104804

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study investigates the dynamic transmission mechanism between COVID-19 news sentiment (Google Trends Index), and S&P100, crude oil and gold volatility indices using the recently developed time-varying parameter vector autoregressive (TVP-VAR)-based extended joint connectedness approach. This framework corrects for the Generalized Forecast Error Variance Decomposition (GFEVD) normalization problem. The obtained empirical results suggest that dynamic total connectedness is heterogeneous over time and severely affected by COVID-19. More importantly, we identify COVID-19 news sentiment to be the main driver of spillover shocks indicating that it is indeed an important predictor of the volatility indices employed in our study. Thus, our findings have important implications for policymakers, private investors, as well as for portfolios and risk managers.

引用

页码：2740 / 2754

页数：15

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