Exploring the Driving Forces of Stock-Cryptocurrency Comovements during COVID-19 Pandemic: An Analysis Using Wavelet Coherence and Seemingly Unrelated Regression

Exploring the Driving Forces of Stock-Cryptocurrency Comovements during COVID-19 Pandemic: An Analysis Using Wavelet Coherence and Seemingly Unrelated Regression

This paper estimates the comovement between two leading cryptocurrencies and the G7 stock markets. It then attempts to explain the comovement with the rational investment theory by examining whether it is driven by market uncertainty measures, public attention to COVID-19, and the government’s conta...

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Bibliographic Details
Main Authors: Ruzita Abdul-Rahim, Airil Khalid, Zulkefly Abdul Karim, Mamunur Rashid
Format: Article
Language:English
Published: MDPI AG 2022-06-01
Series:Mathematics
Subjects:
containment and Health Index
COVID-19 pandemic
hedge
investor sentiment
market uncertainties
public’s attention
Online Access:https://www.mdpi.com/2227-7390/10/12/2116

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