The Link between Asset Value and Fear Sentiment during Covid-19 Pandemic

Year 2022, Volume: 30 Issue: 53, 137 - 153, 29.07.2022

İsmail Canöz

https://doi.org/10.17233/sosyoekonomi.2022.03.07

Cited By: 5

Abstract

This article explores the role of global financial instruments as hedging or safe-haven assets in the Covid-19 pandemic crisis, which has weakened the global economy, by linking it to the investor’s fear sentiment perspective. Correspondingly, it analyses the effects of shocks in the VIX index, which represents the global investor’s fear sentiment, on shocks in some investment assets during the ongoing pandemic. Eight major financial instruments from different asset classes are tested along with the VIX index to achieve this goal. The analysis covers a 156-week time series and assays the variables from symmetric and intertemporal perspectives. The findings show that the most robust asset is the American Dollar fiat currency, followed partly by the Euro and gold. BTC also has been safe for a short time.

Keywords

Covid-19 Pandemic, Fear Sentiment, Financial Assets, Safe-Haven, Portfolio Selection, the Rolling Window Estimation

Covid-19 Pandemisi Boyunca Varlık Değeri ve Korku Hissiyatı Arasındaki Bağlantı

Abstract

Bu makale, küresel ekonomiyi zayıflatan Covid-19 pandemi krizinde riskten korunma veya güvenli liman varlıkları olarak küresel finansal araçların rolünü yatırımcının korku hissiyatı perspektifiyle ilişkilendirerek araştırmaktadır. Buna bağlı olarak, küresel yatırımcının korku hissiyatını temsil eden VIX endeksindeki şokların, devam eden pandemi sırasında bazı yatırım varlıklarındaki şoklar üzerindeki etkilerini analiz etmektedir. Bu amaca ulaşmak için farklı varlık sınıflarından sekiz ana finansal araç, VIX endeksi ile birlikte test edilmektedir. Analiz, 156 haftalık bir zaman serisini kapsamakta ve değişkenleri simetrik ve zamanlar arası perspektiflerden tahlil etmektedir. Bulgular, en sağlam varlığın Amerikan Doları itibari para birimi olduğunu, ardından kısmen Euro ve altının geldiğini göstermektedir. BTC’nin ise kısa süreliğine sağlam durduğu söylenebilir.

Keywords

Covid-19 Pandemisi, Korku Hissiyatı, Finansal Varlıklar, Güvenli Liman, Portföy Seçimi, Hareketli Pencere Tahmini

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