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In times of exogenous systemic shocks, such as the COVID-19 pandemic, it is important to identify hedge or safe haven assets. Therefore, this paper analyzes changes in the idiosyncratic risk of Bitcoin in a portfolio of commodities and global stocks. For this purpose, the M-GARCH model employed considers the interdependence among all the portfolio...
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... **, and *** mean confidence levels at 90%, 95%, and 99%, respectively. Figure 3 details the dynamic behavior of systemic risk explained by the interaction between the Bloomberg Commodity Index (BCOM) and the S&P Global Broad Market Index (BMI). In 2020, on average, the risk generated from the systemic explanatory factors tends to dampen during the height of the COVID-19 pandemic. ...
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... Figure 3 the effect during the first year of the pandemic is noticeable when compared with the behavior of systemic risk in previous periods. For example, the average idiosyncratic risk for Bitcoin for 2016,2017,2018, and 2019 was 85.63%, 85.76%, 88.38%, and 85.43%, respectively, and for 2020 and the fraction of 2021, the unique risk of Bitcoin was 92.97% and 96.86%, respectively. ...
Citations
... Several kinds of research on consumer reactions to pandemics have been carried out (Donthu and Gustafsson, 2020). Fallon and Sarmiento (2021) explored the relationship between pandemic cases and stock market trends. Machmuddah et al. (2020) predicted a 50% security value drop during the pandemic, but a fast recovery thereafter once the short-term shock of labor supply in the market eased. ...
The objective of this study is to investigate the impact of the COVID-19 pandemic and stock market psychology on investor investment decisions in different business units operating in the Shandong stock market. The sample size of the study consists of 5,000 individuals from six different business units. The study used the event study statistical technique to analyze the market reaction to newly released information from the stock market perspective to assess whether the number of COVID-19 positive cases impacted it. With a Z score value of 40.345 and a P-value of 0.000, the Wilcoxon test indicated that stock prices before and after the pandemic were quite different. The test showed a positive relationship between the pandemic and the stock market. Further, the results indicated that COVID-19 and stock market psychology had a significant positive impact on investor investment decisions in cosmetic and beauty, consumer household, textiles and apparel, and consumer electronics industries; however, in the sporting and consumer appliance industries, it had an insignificant negative impact. This study serves to guide investors to make suitable changes in their stock market trading practices to counter these challenges to increase their required rate of return from their specific stock market investment. The findings have important insights for various stakeholders including governments, regulatory bodies, practitioners, academia, industry, and researchers.
