The Contagion of Covid-19 Pandemic on The Volatilities of International Crude Oil Prices, Gold, Exchange Rates and Bitcoin

• 발행기관: 한국유통과학회
• 저자명: M. Busra Engin OZTURK Seyma Caliskan CAVDAR
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.3, 171~179쪽, 전체 9쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.03.30

영문 초록

In the international markets, financial variables can be volatile and may affect each other, especially in the crisis times. COVID-19, which began in China in 2019 and spread to many countries of the world, created a crisis not only in the global health system but also in the international financial markets and economy. The purpose of this study is to analyze the contagious effect of the COVID-19 pandemic on the volatility of selected financial variables such as Bitcoin, gold, oil price, and exchange rates and the connections between the volatilities of these variables during the pandemic. For this aim, we use the ARMA-EGARCH model to measure the impact of volatility and shocks. In other words, it is aimed to measure whether the impact of the shock on the financial variables of the contagiousness of the epidemic is also transmitted to the markets. The data was collected from secondary and daily data from September 2th 2019 to December 20th, 2020. It can be said that the findings obtained have statistically significant effects on the conditional variability of the variables. Therefore, there are findings that the shocks in the market are contaminated with each other.

목차

1. Introduction

2. Literature Review

3. Methodology

4. Results

5. Discussion

6. Conclusions

References

키워드

COVID-19 Exchange Rate Crude Oil Gold. Bitcoin