Measuring systemic risk during the COVID-19 period: A TALIS3 approach [0.03%]
COVID-19时期的系统性风险测度：TALIS3法
Massimiliano Caporin,Laura Garcia-Jorcano,Juan-Angel Jimenez-Martin
Massimiliano Caporin
The rapid spread of COVID-19 has had severe impacts on financial markets. We analyzed the systemic impact of the COVID-19 pandemic in different supersectors of STOXX600 North America and the STOXX600 Europe, using the TrAffic Light System f...
Household investment diversification amid Covid-19 pandemic: Evidence from Chinese investors [0.03%]
新冠肺炎疫情下中国投资者的家庭资产配置分散化分析
Yezhou Sha,Yong Zhang,Xiaomeng Lu
Yezhou Sha
This paper finds the degree of investor's investment diversification is found to be positively correlated with confirmed cases in the city where they live. This relationship is a result of stricter quarantine policy adopted by cities hit wi...
Voluntary disclosure of pandemic exposure and stock price crash risk [0.03%]
新冠肺炎疫情信息披露与股价崩盘风险——来自A股市场的证据
Justin Jin,Yi Liu,Zehua Zhang et al.
Justin Jin et al.
We examine whether a firm's voluntary disclosure of pandemic exposure increases stock price crash risk in a turbulent stock market caused by the spread of COVID-19 and other epidemic diseases. Pandemic risk is an unprecedented type of econo...
Systemic risk-sharing framework of cryptocurrencies in the COVID-19 crisis [0.03%]
新冠疫情下的加密货币系统性风险共担框架
Md Akhtaruzzaman,Sabri Boubaker,Duc Khuong Nguyen et al.
Md Akhtaruzzaman et al.
We use the Conditional Value-at-Risk (CoVaR) model to develop the systemic contagion index (SCI) for cryptocurrencies and examine their spillover effects. The SCI exhibits the highest value during the COVID-19 period, indicating evidence of...
Kam Fong Chan,Zhuo Chen,Yuanji Wen et al.
Kam Fong Chan et al.
Global stock markets react positively when different phases of human clinical trials on COVID-19 vaccines begin. The average abnormal stock return on the first day of the trials is both statistically and economically significant at 8.08 bas...
The price of political polarization: Evidence from municipal issuers during the coronavirus pandemic [0.03%]
政治极化带来的代价：来自疫情期间市政发行人的证据
Zhiwei Chen,Zhaoyuan Li,Sibo Liu
Zhiwei Chen
This study estimates the financial costs imposed by political polarization among citizens on U.S. local governments during the COVID-19 pandemic. We measure local political polarization by using citizens' voting results in the presidential ...
Corporate governance and financial reporting quality during the COVID-19 pandemic [0.03%]
新冠疫情时期的公司治理与财务报告质量
Yu-Lin Hsu,Ya-Chih Yang
Yu-Lin Hsu
This paper analyzes whether COVID-19 affects the financial reporting quality of companies and whether corporate governance has a mitigating effect. Using data from UK listed companies, we show that the quality of companies' financial report...
Tail event-based sovereign credit risk transmission network during COVID-19 pandemic [0.03%]
新冠肺炎疫情下的尾部事件主权信用风险传染网络
Nader Naifar,Syed Jawad Hussain Shahzad
Nader Naifar
This paper investigates the interconnectedness between sovereign credit risk based on the tail event and network dynamics technique. Specifically, we examine the interdependence in upper tails of sovereign credit default swap in the case of...
Paresh Kumar Narayan
Paresh Kumar Narayan
Using a dynamic VAR model fitted to hourly data, we evaluate the evolution of spillover shocks from exchange rates returns of EURO, Yen, CAD and GBP. We find that over the COVID-19 sample: (a) total exchange rate shock spillovers explain ar...
Md Akhtaruzzaman,Sabri Boubaker,Zaghum Umar
Md Akhtaruzzaman
This study examines the dynamic connectedness between COVID-19 media coverage index (MCI) and ESG leader indices. Our findings provide evidence that MCI plays a role in facilitating the transmission of contagion to advanced and emerging equ...