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The directional spillover effects and time-frequency nexus between stock markets, cryptocurrency, and investor sentiment during the COVID-19 pandemic

Open Access
Hayet Soltani, Jamila Taleb, Mouna Boujelbène Abbes
Journal: European Journal of Management and Business Economics
European Journal of Management and Business Economics (2025) 34 (1): 23–46.
https://doi.org/10.1108/EJMBE-09-2022-0305
Published: 24 May 2023
...Hayet Soltani; Jamila Taleb; Mouna Boujelbène Abbes Purpose This paper aims to analyze the connectedness between Gulf Cooperation Council (GCC) stock market index and cryptocurrencies. It investigates the relevant impact of RavenPack COVID sentiment on the dynamic of stock market indices...
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