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- W4293208604 abstract "This study investigates an important approach to assess the impact of the COVID-19 confirmed cases surprises and creation pronouncements used for the correlation among returns and volatilities of energy commodities and Bitcoin. To evaluate empirically the unanticipated factor of the COVID-19 confirmed cases surprises in China and in USA, we use the (Kuttner 2001) approach, and we employ the total of the COVID-19 confirmed cases in China and in USA to calculate the surprise element. Econometrically, we apply the GARCH-DCC(1,1) model as established by Engle (2002). The empirical findings of this article recommend important and significant correlation among energy commodities and Bitcoin indices if COVID-19 pandemic shocks are integrated in variance estimations. Also, these findings prove the financialization phenomena of energy commodities and Bitcoin indices. We remark that the correlation among energy commodities and Bitcoin indices begin to react significantly further in the case of COVID-19 in China than COVID-19 in USA. Finally, our research contributes to the financial literature on assessing the influence of the COVID-19 surprises on the correlation among returns and volatilities of energy commodities and Bitcoin through the period of study since July 01, 2019 to June 30, 2020." @default.
- W4293208604 created "2022-08-27" @default.
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- W4293208604 date "2022-01-01" @default.
- W4293208604 modified "2023-09-27" @default.
- W4293208604 title "COVID-19 Surprises in China and in the USA: Which Is Useful in Explaining the Dynamic Nexus Among Energy Commodities and Bitcoin?" @default.
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- W4293208604 doi "https://doi.org/10.1007/978-981-19-1036-4_4" @default.
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