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

Authors :: David Gabauer
Ioannis Chatziantoniou
Nicholas Apergis
Source :: Applied Economics. 55:2740-2754
Publication Year :: 2022
Publisher :: Informa UK Limited, 2022.
Abstract: Using a TVP-VAR connectedness approach, we investigate dynamic connectedness of either market returns or conditional volatility, between COVID-19 news sentiment (captured by the Google Trends Index), capital (SP however, they do not seem to have a prominent role as net transmitters of return spillovers.

Subjects :: History
Economics and Econometrics
Index (economics)
Polymers and Plastics
Coronavirus disease 2019 (COVID-19)
Financial economics
Social connectedness
Industrial and Manufacturing Engineering
Conditional volatility
Capital (economics)
Economics
Market return
Business and International Management
Volatility (finance)
Commodity (Marxism)

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