Unlike the current extensive literature, which discusses which assets can avoid the risks caused by the COVID-19 pandemic, this study examines whether the characteristics of different assets affect the extreme risk transmission of the COVID-19 crisis. This study explores the effects of COVID-19 pandemic–related risk factors (i.e., pandemic severity, pandemic regulations and policies, and vaccination-related variables) on the risk of extreme volatility in asset returns across eight assets. These eight assets belong to the following classes: virtual, financial, energy, commodities, and real assets. To consider the different possible aspects of the COVID-19 impact, this study adopts both empirical methods separately, considering variables related to the pandemic as exogenous shocks and endogenous factors. Using these methods, this study enabled a systematic analysis of the relationship between the features of different asset types and the effects of extreme risk transmission during the COVID-19 crisis. The results show that different types of asset markets are affected by different risk factors. Virtual and commodity assets do not exhibit extreme volatility induced by the COVID-19 pandemic. The energy market, including crude oil, is most affected by the negative impact of the severity of the pandemic, which is unfavorable for investment at the beginning of the pandemic. However, after vaccinations and pandemic regulations controlled the spread of infection, the recovery of the energy market made it more conducive to investment. In addition, this study explains the differences between the hedging characteristics of Bitcoin and gold. The findings of this study can help investors choose asset types systematically when faced with different shocks.

中文翻译：

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COVID-19危机期间不同资产类型的特征及极端风险传导

与目前大量文献讨论哪些资产可以规避COVID-19大流行带来的风险不同，本研究考察了不同资产的特征是否影响了COVID-19危机的极端风险传播。本研究探讨了与 COVID-19 大流行相关的风险因素（即大流行严重程度、大流行法规和政策以及疫苗接种相关变量）对八种资产的资产回报极端波动风险的影响。这八种资产属于以下几类：虚拟资产、金融资产、能源资产、商品资产和实物资产。为了考虑COVID-19影响的不同可能方面，本研究分别采用两种实证方法，将与大流行相关的变量视为外生冲击和内生因素。利用这些方法，本研究能够系统分析 COVID-19 危机期间不同资产类型的特征与极端风险传导影响之间的关系。结果表明，不同类型的资产市场受到不同风险因素的影响。虚拟资产和商品资产不会表现出由 COVID-19 大流行引起的极端波动。包括原油在内的能源市场受疫情严重程度的负面影响影响最大，疫情初期不利于投资。然而，在疫苗接种和疫情监管控制了感染蔓延之后，能源市场的复苏使其更有利于投资。此外，这项研究还解释了比特币和黄金的避险特性之间的差异。本研究的结果可以帮助投资者在面对不同的冲击时系统地选择资产类型。