Bitcoin’s price efficiency and safe haven properties during the COVID-19 pandemic: A comparison

As the COVID-19 outbreak became a global pandemic, traditional financial market indicators were significantly affected. We examine the price efficiency and net cross-correlations among Bitcoin, gold, a US dollar index, and the Morgan Stanley Capital International World Index (MSCI World) during the four months after the World Health Organization officially designated COVID-19 as a global pandemic. Using intraday data, we find that Bitcoin prices were more efficient than the US dollar and MSCI World indices. Using a detrended partial-cross-correlation analysis, our results show that net cross-correlations vary across time scales. Our results suggest that when the time scale is greater than two months, gold can be considered as a safe haven for investors holding the MSCI World and US dollar indices and when the time scale exceeds three months, Bitcoin can be considered a safe haven for the MSCI World index.     

Effect of twitter investor engagement on cryptocurrencies during the COVID-19 pandemic

This study aims to examine whether the prices and returns of two cryptocurrencies, Dogecoin and Ethereum, are affected by Twitter engagement following the COVID-19 pandemic. We use the autoregressive integrated moving average with explanatory variables model to integrate the effects of investor attention and engagement on Dogecoin and Ethereum returns using data from December 31, 2020, to May 12, 2021. The results provide evidence supporting the hypothesis of a strong effect of Twitter investor engagement on Dogecoin returns; however, no potential impact is identified for Ethereum. These findings add to the growing evidence regarding the effect of social media on the cryptocurrency market and have useful implications for investors and corporate investment managers concerning investment decisions and trading strategies.     

Information demand during the COVID-19 pandemic

We investigate the demand for financial information during the initial months of the COVID-19 pandemic. Using Google search data for individual stocks, we show that the Abnormal Google Search Volume Index declined significantly between March and June of 2020. We find a similar effect around earnings announcements dates, which confirms that the demand for financial information by retail investors declined during the pandemic. Our results are indicative of potentially important consequences for information diffusion, price discovery and market efficiency under extreme uncertainty. We discuss possible explanations for these results.     

World equity markets and COVID-19: Immediate response and recovery prospects

Following the spread of the COVID-19 pandemic, most global equity market indices experienced significant falls. Recognizing the severe economic impacts of the pandemic, starting from mid-March, many governments announced unprecedented economic rescue packages, which appear to restore investors’ confidence, given the recoveries recorded in most stock markets. However, the recovery performance significantly varies across countries. This paper provides an empirical analysis on what may explain this variation in the recovery performance observed in equity markets across countries. We find that among different types, fiscal stimulus supports seem to be strongly and positively associated with higher recovery that may justify more targeted fiscal supports for the real sector firms to restore investors’ confidence. We also find that the severity of the outbreak, reliance more on natural resource and tourism revenues are negatively associated with countries’ stock market recovery performance.     

Gold and US sectoral stocks during COVID-19 pandemic

In this study, we examine the hedging relationship between gold and US sectoral stocks during the COVID-19 pandemic. We employ a multivariate volatility framework, which accounts for salient features of the series in the computation of optimal weights and optimal hedging ratios. We find evidence of hedging effectiveness between gold and sectoral stocks, albeit with lower performance, during the pandemic. Overall, including gold in a stock portfolio could provide a valuable asset class that can improve the risk-adjusted performance of stocks during the COVID-19 pandemic. In addition, we find that the estimated portfolio weights and hedge ratios are sensitive to structural breaks, and ignoring the breaks can lead to overestimation of the hedging effectiveness of gold for US sectoral stocks. Since the analysis involves sectoral stock data, we believe that any investor in the US stock market that seeks to maximize risk-adjusted returns is likely to find the results useful when making investment decisions during the pandemic.     

In search of safe haven assets during COVID-19 pandemic: An empirical analysis of different investor types

This study assesses the role of gold, crude oil and cryptocurrency as a safe haven for traditional, sustainable, and Islamic investors during the COVID-19 pandemic crisis. Using Wavelet coherence analysis and spillover index methodologies in bivariate and multivariate settings, this study examines the correlation of these assets for different investment horizons. The findings suggest that gold, oil and Bitcoin exhibited low coherency with each stock index across almost all considered investment horizons until the onset of the COVID-19. Conversely, with the outbreak of the pandemic, the return spillover is more intense across financial assets, and a significant pairwise return connectedness between each equity index and hedging asset is observed. Hence, gold, oil, and Bitcoin do not exhibit safe-haven characteristics. However, by decomposing the time-varying co-movements into different investment horizons, we find that total and pairwise connectedness among the assets are primarily driven by a higher-frequency band (up to 4 days). It indicates that investors have diversification opportunities with gold, oil, and Bitcoin at longer horizons. The results are robust over different types of equity investors (traditional, sustainable, and Islamic) and various investment horizons.     

Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic

The COVID-19 pandemic provided the first widespread bear market conditions since the inception of cryptocurrencies. We test the widely mooted safe haven properties of Bitcoin, Ethereum and Tether from the perspective of international equity index investors. Bitcoin and Ethereum are not a safe haven for the majority of international equity markets examined, with their inclusion adding to portfolio downside risk. Only investors in the Chinese CSI 300 index realized modest downside risk benefits (contingent on very limited allocations to Bitcoin or Ethereum). As Tether successfully maintained its peg to the US dollar during the COVID-19 turmoil, it acted as a safe haven investment for all of the international indices examined. We caveat the latter findings with a warning that Tether's dollar peg has not always been maintained, with evidence of impaired downside risk hedging properties earlier in our sample.     

Work,Care and Gender during the COVID-19 Crisis*

We explore the effects of the COVID-19 crisis and the associated restrictions to economic activity on paid and unpaid work for men and women in the United Kingdom. Using data from the COVID-19 supplement of Understanding Society, we find evidence that labour market outcomes of men and women were roughly equally affected at the extensive margin, as measured by the incidence of job loss or furloughing. But, if anything, women suffered smaller losses at the intensive margin, experiencing slightly smaller changes in hours and earnings. Within the household, women provided on average a larger share of increased childcare needs, but in an important share of households fathers became the primary childcare providers. These distributional consequences of the pandemic may be important to understand its inequality legacy over the longer term.     

COVID-19 and Inequalities*

This paper brings together evidence from various data sources and the most recent studies to describe what we know so far about the impacts of the COVID-19 crisis on inequalities across several key domains of life, including employment and ability to earn, family life and health. We show how these new fissures interact with existing inequalities along various key dimensions, including socio-economic status, education, age, gender, ethnicity and geography. We find that the deep underlying inequalities and policy challenges that we already had are crucial in understanding the complex impacts of the pandemic itself and our response to it, and that the crisis does in itself have the potential to exacerbate some of these pre-existing inequalities fairly directly. Moreover, it seems likely that the current crisis will leave legacies that will impact inequalities in the long term. These possibilities are not all disequalising, but many are.     

The Mental Health Effects of the First Two Months of Lockdown during the COVID-19 Pandemic in the UK*

In this paper, we estimate the effects of the COVID-19 pandemic on mental health in the UK. We use longitudinal micro data for the UK over the period 2009–20 to control for pre-existing trends in mental health and construct individual-specific counterfactual predictions for April 2020, against which the COVID-19 mental health outcomes can be assessed. Our analysis reveals substantial effects at the population level, approximately equal in magnitude to the pre-pandemic differences between the top and bottom quintiles of the income distribution. This overall effect was not distributed equally in the population – the pandemic had much bigger effects for young adults and for women, which are groups that already had lower levels of mental health before COVID-19. Hence inequalities in mental health have been increased by the pandemic. Even larger effects are observed for measures of mental health that capture the number of problems reported or the fraction of the population reporting any frequent or severe problems, which more than doubled. Pre-existing health vulnerabilities had no predictive power for subsequent changes in mental health.     

Inequalities in Children's Experiences of Home Learning during the COVID-19 Lockdown in England*

This paper combines novel data on the time use, home-learning practices and economic circumstances of families with children during the COVID-19 lockdown with pre-lockdown data from the UK Time Use Survey to characterise the time use of children and how it changed during lockdown, and to gauge the extent to which changes in time use and learning practices during this period are likely to reinforce the already large gaps in educational attainment between children from poorer and better-off families. We find considerable heterogeneity in children's learning experiences – amount of time spent learning, activities undertaken during this time and availability of resources to support learning. Concerningly, but perhaps unsurprisingly, this heterogeneity is strongly associated with family income and in some instances more so than before lockdown. Furthermore, our analysis suggests that any impacts of inequalities in time spent learning between poorer and richer children are likely to be compounded by inequalities not only in learning resources available at home, but also in those provided by schools.     

Exploring the relationship between cryptocurrencies and hedge funds during COVID-19 crisis

In this paper, we investigated the relationship between cryptocurrency market and hedge funds in two different ways. First, we focus on the dependence between Cryptocurrency hedge funds and conventional hedge funds strategies using VAR and VECM models, while analyzing the impact of COVID-19 on the hedge funds' values. Secondly, we choose between ARDL and ARDL-ECM models to study the effects of cryptocurrency price changes on Crypto- Currency hedge funds' values during COVID-19 crisis. Our empirical findings demonstrate that there is substantial interactions between Crypto-Currency and conventional hedge funds. The COVID-19 pandemic has significant negative impact on the performance of the following hedge funds: Event Driven, Relative Value and Distressed Debt fund strategies, this has reflected in a significant drop in their values during this critical period. However, we demonstrate that COVID-19 pandemic did not affect the relationship between crypto-currency hedge funds and both bitcoin and Ethereum. These findings hold profound implications for hedge funds managers, cryptocurrency market main players and policy makers. Our study is crucial in forecasting the performance of these markets especially during global pandemics.     

Innovation as recovery strategy for SMEs in emerging economies during the COVID-19 pandemic

The quarantine and disruption of non-essential activities as measure to contain the COVID-19 pandemic has negatively affected all economies around the World. This has had a deeper impact on small and medium enterprises (SMEs) in emerging economies because they have very limited resources and vulnerable supply chain and business-to-business/business-to-clients relationships. In this context, it is expected that after the pandemic many of these enterprises will disappear as the “new normality” will require changes in business and infrastructure management. To reduce this risk, innovation is identified as a key aspect of business recovery in the ongoing and post-COVID-19 pandemic period. This work presents a multidisciplinary methodological approach to guide these enterprises to innovate their products for new markets and making a better use of their limited available resources. As an example of this approach, the research-supported development of a new product for a family-owned SME was performed in a zone with high COVID-19 risk. The results provide insight regarding innovation as a survival tool for SMEs during and after the COVID-19 contingency, and the use of digital resources is identified as the main facilitator for networking and research-based design of innovative products within the “social distance” context.     

High frequency momentum trading with cryptocurrencies

Over the past few years, cryptocurrencies have increasingly been discussed as alternatives to traditional fiat currencies. These digital currencies have garnered significant interest from investment banks and portfolio managers as a potential option to diversify the financial risk from investing in other assets. This interest has also extended to the general public who have seen cryptocurrencies as a way of making a quick profit. This paper provides a first insight into the applicability of high frequency momentum trading strategies for cryptocurrencies. We implemented two variations of a signal-based momentum trading strategy: (i) a time series method; (ii) a cross sectional method. These strategies were tested on a selection of seven of the largest cryptocurrencies ranked by market capitalization. The results show that there exists potential for the momentum strategy to be used successfully for cryptocurrency trading in a high frequency setting. A comparison with a passive portfolio strategy is proposed, which shows abnormal returns when compared with the momentum strategies. Furthermore, the robustness of our results are checked through the application of the momentum strategies other sample periods. We also compare the performances of the signal-based momentum strategies with returns-based versions of the strategies. It is shown that the signal-based strategy outperforms the returns-based strategy. However, there appears to be no single parameterization of the signal-based strategies that can generate the greatest cumulative return over all sample periods.     

应对新冠肺炎疫情的财税政策选择

新冠肺炎疫情从武汉向全国的蔓延,对宏观经济、相关行业和经济活动主体都产生了严重影响.既有财税政策主要作用于鼓励防护救治、增加物资供应、促进公益捐赠和激励复工复产等方面,但在税收优惠政策的适用范围、政府与社会成员在税收领域的协商互动以及政府间事权与支出责任的划分等方面仍存在局限.未来的改革应进一步调整财政支出结构,提高财政资金使用效率,完善税收优惠政策,明确社会成员个体的权利以及各级政府的财政事权与支出责任.     

Downside risk in Dow Jones Islamic equity indices: Precious metals and portfolio diversification before and after the COVID-19 bear market

Besides great turmoil in financial markets, the COVID-19 pandemic also disrupted the global supply chain, putting the precious metal market into great uncertainty. In this study, we revisit the diversifying role of precious metals – gold, silver, and platinum – for six Dow Jones Islamic (DJI) equity index portfolios using a battery of tests: dynamic conditional correlations (DCCs), four-moment modified value at risk (VaR) and conditional VaR, and global minimum-variance (GMV) portfolio approach. Our empirical results exhibit drastically increased DCCs between sample assets during the COVID period; however, pairing gold with any of the DJI equity indices (except for the Asia-Pacific region) decreases the downside risk of these portfolios. Other precious metals (silver and platinum) do not provide such benefits. Furthermore, we find that a higher allocation of wealth in DJI Japanese equities and gold is required to achieve a GMV portfolio in the post-COVID-19 era, implying higher transaction (hedging) costs to rebalance portfolios (weights) accordingly. Our out-of-sample tests examining the global financial crisis, European debt crisis, and extended sample (2000–2020) periods yield similar findings as gold glitters across all market conditions. Overall, our findings provide notable practical implications for both domestic and international investors.     

The Impact of COVID-19 on Share Prices in the UK*

The spread of COVID-19, and international measures to contain it, are having a major impact on economic activity in the UK. In this paper, we describe how this impact has varied across industries, using data on share prices of firms listed on the London Stock Exchange, and how well targeted government support for workers and companies is in light of this.     

On equity market inefficiency during the COVID-19 pandemic

We show that during the weeks following the initiation of the COVID-19 pandemic, the United States equity market was inefficient. This is demonstrated by showing that utility maximizing agents over the time period ranging from mid-February to late March 2020 can generate statistically significant profits by utilizing only historical price and virus related data to forecast future equity ETF returns. We generalize Merton’s optimal portfolio problem using a novel method based upon a likelihood ratio in order to construct a dynamic trading strategy for utility maximizing agents. These strategies are shown to have statistically significant profitability and strong risk and performance statistics during the COVID-19 time-frame.     

COVID-19 and the US Safety Net*

We examine trends in employment, earnings and incomes over the last two decades in the United States, and how the safety net has responded to changing fortunes, including the shutdown of the economy in response to the COVID-19 pandemic. The US safety net is a patchwork of different programmes providing in-kind as well as cash benefits, and it had many holes prior to the pandemic. In addition, few of the programmes are designed explicitly as automatic stabilisers. We show that the safety net response to employment losses in the COVID-19 pandemic largely consists only of increased support from unemployment insurance and food assistance programmes, an inadequate response compared with the magnitude of the downturn. We discuss options to reform social assistance in the United States to provide more robust income floors in times of economic downturns.     

Direct and spillover portfolio effects of COVID-19

This paper investigates the direct and spillover portfolio effects from the global outbreak of COVID-19. We find that an increase of the newly added cases of one specific country causes investors to significantly decrease their portfolio allocations in the outbreak countries (direct effect). Simultaneously, investors also decrease their allocations to other countries (spillover effect). In addition, we provide evidence and documentation that the transmission mechanism underlying foreign exposures matter to the above-mentioned portfolio effect. Moreover, we provide evidence for phase heterogeneity. The first wave of the COVID-19 pandemic has significant direct and spillover portfolio effects, but the impacts are weakened in second wave of the pandemic. The capital reallocation effect occurs only when the disease becomes global. Finally, our heterogeneities analysis shows that both local and spillover effects are mitigated when the economies are more developed and democratic and when the country has better health care facilities.