Pas disponible en français
Murad Harasheh
- 21 April 2025
- WORKING PAPER SERIES - No. 3050Details
- Abstract
- The primary objective of this study is to explore the dynamic relationships between equity returns or volatility and sentiment factors in European markets during both the periods preceding the COVID-19 pandemic, the COVID-19 itself, and the Russia-Ukraine war. We achieve this by applying the network methodology initially introduced by Diebold & Yilmaz (2014), along with its extensions based on realized measures and generalized forecast error variance decomposition, as proposed by Baruník & Křehlík (2018) and Chatziantoniou et al. (2023). Additionally, we investigate how the global sentiment factor influences the overall connectedness index by employing a quantile-on-quantile approach, following the methods outlined by Sim & Zhou (2015) and Bouri et al. (2022). To conduct our analysis, we utilize daily-frequency data encompassing the period from January 1, 2011, to December 31, 2023, covering the entirety of the COVID-19 pandemic in 2020 and the Russia-Ukraine conflict in 2022 across six European stock indices. Our primary discovery is the interconnectedness of both returns and sentiment. Furthermore, our resultsindicate that during the COVID-19 and Russia-Ukraine war, there is a notable increase in volatility spillovers among the analyzed stock indices, driven by the heightened interconnectedness between stock market returns.
- JEL Code
- G11 : Financial Economics→General Financial Markets→Portfolio Choice, Investment Decisions
G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
G14 : Financial Economics→General Financial Markets→Information and Market Efficiency, Event Studies, Insider Trading
G40 : Financial Economics