Media coverage of COVID-19 and its relationship with climate change indices : a dynamic connectedness analysis of four pandemic waves
This study explores the impact of the COVID-19 media coverage index (MCI) on the return and volatility connectedness of five MSCI Climate Changes Indices (the USA, Emerging Markets (EMU), Japan, Europe, and the Asia Pacific). The sample period was from 11 March 2020–19 January 2022, divided into sub...
محفوظ في:
| المؤلف الرئيسي: | |
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| مؤلفون آخرون: | , , |
| التنسيق: | article |
| منشور في: |
2023
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| الوصول للمادة أونلاين: | http://hdl.handle.net/10725/14975 https://doi.org/10.1016/j.jclimf.2023.100010 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://www.sciencedirect.com/science/article/pii/S2949728023000068 |
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| _version_ | 1864513470061346816 |
|---|---|
| author | Polat, Onur |
| author2 | El Khoury, Rim Alshater, Muneer M. Yoon, Seong-Min |
| author2_role | author author author |
| author_facet | Polat, Onur El Khoury, Rim Alshater, Muneer M. Yoon, Seong-Min |
| author_role | author |
| dc.creator.none.fl_str_mv | Polat, Onur El Khoury, Rim Alshater, Muneer M. Yoon, Seong-Min |
| dc.date.none.fl_str_mv | 2023-08-28T12:55:38Z 2023-08-28T12:55:38Z 2023 2023-05-02 |
| dc.identifier.none.fl_str_mv | 2949-7280 http://hdl.handle.net/10725/14975 https://doi.org/10.1016/j.jclimf.2023.100010 Polat, O., El Khoury, R., Alshater, M. M., & Yoon, S. M. (2023). Media coverage of COVID-19 and its relationship with climate change indices: A dynamic connectedness analysis of four pandemic waves. Journal of Climate Finance, 2. http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://www.sciencedirect.com/science/article/pii/S2949728023000068 |
| dc.language.none.fl_str_mv | en |
| dc.relation.none.fl_str_mv | Journal of Climate Finance |
| dc.rights.*.fl_str_mv | info:eu-repo/semantics/openAccess |
| dc.title.none.fl_str_mv | Media coverage of COVID-19 and its relationship with climate change indices : a dynamic connectedness analysis of four pandemic waves |
| dc.type.none.fl_str_mv | Article info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | This study explores the impact of the COVID-19 media coverage index (MCI) on the return and volatility connectedness of five MSCI Climate Changes Indices (the USA, Emerging Markets (EMU), Japan, Europe, and the Asia Pacific). The sample period was from 11 March 2020–19 January 2022, divided into sub-samples based on four waves of the COVID-19 pandemic. Thus, we use the time-varying parameter vector autoregression (TVP-VAR) model besides the frequency-dependent connectedness network approach. The key findings are as follows. First, the results demonstrate that the MCI is a net receiver of shocks in all waves, and the highest level of connectedness occurs in the first wave. The findings concerning volatility are similar, with the majority of MSCI Climate Change Indices being net transmitters, potentially indicating the severity of the pandemic. Second, estimating the short-, medium-, and long-term return network connectedness indicates the dominance of strong-term connectedness suggesting the spread of shocks within a week. Our results are robust by replacing MCI with Panic Index (PI). These results have implications for investors and policymakers. |
| eu_rights_str_mv | openAccess |
| format | article |
| id | LAURepo_68781d4094cb9fcdc279a23661eebbb4 |
| identifier_str_mv | 2949-7280 Polat, O., El Khoury, R., Alshater, M. M., & Yoon, S. M. (2023). Media coverage of COVID-19 and its relationship with climate change indices: A dynamic connectedness analysis of four pandemic waves. Journal of Climate Finance, 2. |
| language_invalid_str_mv | en |
| network_acronym_str | LAURepo |
| network_name_str | Lebanese American University repository |
| oai_identifier_str | oai:laur.lau.edu.lb:10725/14975 |
| publishDate | 2023 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Media coverage of COVID-19 and its relationship with climate change indices : a dynamic connectedness analysis of four pandemic wavesPolat, OnurEl Khoury, RimAlshater, Muneer M.Yoon, Seong-MinThis study explores the impact of the COVID-19 media coverage index (MCI) on the return and volatility connectedness of five MSCI Climate Changes Indices (the USA, Emerging Markets (EMU), Japan, Europe, and the Asia Pacific). The sample period was from 11 March 2020–19 January 2022, divided into sub-samples based on four waves of the COVID-19 pandemic. Thus, we use the time-varying parameter vector autoregression (TVP-VAR) model besides the frequency-dependent connectedness network approach. The key findings are as follows. First, the results demonstrate that the MCI is a net receiver of shocks in all waves, and the highest level of connectedness occurs in the first wave. The findings concerning volatility are similar, with the majority of MSCI Climate Change Indices being net transmitters, potentially indicating the severity of the pandemic. Second, estimating the short-, medium-, and long-term return network connectedness indicates the dominance of strong-term connectedness suggesting the spread of shocks within a week. Our results are robust by replacing MCI with Panic Index (PI). These results have implications for investors and policymakers.Published2023-08-28T12:55:38Z2023-08-28T12:55:38Z20232023-05-02Articleinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article2949-7280http://hdl.handle.net/10725/14975https://doi.org/10.1016/j.jclimf.2023.100010Polat, O., El Khoury, R., Alshater, M. M., & Yoon, S. M. (2023). Media coverage of COVID-19 and its relationship with climate change indices: A dynamic connectedness analysis of four pandemic waves. Journal of Climate Finance, 2.http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.phphttps://www.sciencedirect.com/science/article/pii/S2949728023000068enJournal of Climate Financeinfo:eu-repo/semantics/openAccessoai:laur.lau.edu.lb:10725/149752024-07-10T11:20:27Z |
| spellingShingle | Media coverage of COVID-19 and its relationship with climate change indices : a dynamic connectedness analysis of four pandemic waves Polat, Onur |
| status_str | publishedVersion |
| title | Media coverage of COVID-19 and its relationship with climate change indices : a dynamic connectedness analysis of four pandemic waves |
| title_full | Media coverage of COVID-19 and its relationship with climate change indices : a dynamic connectedness analysis of four pandemic waves |
| title_fullStr | Media coverage of COVID-19 and its relationship with climate change indices : a dynamic connectedness analysis of four pandemic waves |
| title_full_unstemmed | Media coverage of COVID-19 and its relationship with climate change indices : a dynamic connectedness analysis of four pandemic waves |
| title_short | Media coverage of COVID-19 and its relationship with climate change indices : a dynamic connectedness analysis of four pandemic waves |
| title_sort | Media coverage of COVID-19 and its relationship with climate change indices : a dynamic connectedness analysis of four pandemic waves |
| url | http://hdl.handle.net/10725/14975 https://doi.org/10.1016/j.jclimf.2023.100010 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://www.sciencedirect.com/science/article/pii/S2949728023000068 |