Decoupling Between the Energy and Semiconductor Sectors During the Pandemic: New Evidence from Wavelet Analysis

Mariya Gubareva, Zaghum Umar, Tamara Teplova and Dang K. Tran

Emerging Markets Finance and Trade, 2023, vol. 59, issue 6, 1707-1719

Abstract: We study the impact of COVID-19 on the pairwise dependence between three indices, the COVID-19 Media Coverage Index, MSCI World Semiconductor Index, and the MSCI World Energy Index, as well as investigate the respective volatility spillovers. We find intervals of weak, moderate, and strong coherence between the Media Coverage Index and returns and volatility of semiconductor and energy sector companies. Low coherence intervals indicate a diversification potential of investments in these sectors and in their volatility-based products during periods of systemic crises such as the financial turmoil induced by COVID-19. Our results provide evidence that after the escalation of the pandemic in early 2020, the energy sector cedes its leading role in terms of volatility to the semiconductor industry. We report on appealing hedging attributes related to the decoupling between the trends in the global semiconductor industry and the global energy sector accelerated by the COVID-19 triggered crisis.

Date: 2023
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://hdl.handle.net/10.1080/1540496X.2022.2149258 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:59:y:2023:i:6:p:1707-1719

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

DOI: 10.1080/1540496X.2022.2149258

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().