Examining the Impact of COVID-19 Panic Index on Cryptocurrencies and Stock Market Indices: A Comparative Study of Egypt and USA

نوع المستند : تجاریة کل ما یتعلق بالعلوم التجاریة

المؤلف

School of Management and Technology, Arab Academy for Science, Technology & Maritime Transport (AAST),

المستخلص

Similar to (Cervantes et al., 2022), this paper examines the relationship between the stock markets of emerging and developed economies, cryptocurrencies, and the fear triggered by the COVID -19 pandemic crisis from January 2020 to May 2021. The potential relations are analysed in terms of causal models.

The study assumes that the COVID-19 panic index, VIX index, WTI index, gold index, COVID-19 confirmed cases, death cases, and fatality ratio are the independent variables, while the dependent variables are the stock returns for the two indices (EGX30 and S&P500), the returns for the five cryptocurrencies (Bitcoin, Ethereum, Litecoin, Ripple, and Tether), the market risk.

Overall, our Structural Equation Model analysis results suggest that changes in panic indices resulting from the COVID-19 pandemic have a significant positive relationship with daily S&P500 stock risk, daily Bitcoin risk, daily Litcoin risk, and daily Ripple risk. Furthermore, there is a significant positive relationship between the daily WTI Oil index returns and daily EGX30 stock returns. Our results show a significant positive relationship between daily VIX volatility index returns and daily Tether returns.

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