The impact of operating flexibility on firms' performance during the COVID-19 outbreak: Evidence from China [0.03%]
操作灵活性在COVID-19爆发期间对业绩的影响：来自中国的证据
Hao Liu,Xingjian Yi,Libo Yin
Hao Liu
This paper investigates the effect of firm-level operating flexibility on stock performance during the COVID-19 outbreak in China. We find that firm-level operating flexibility is significantly positively correlated with the cumulative abno...
Trung Hai Le,Hung Xuan Do,Duc Khuong Nguyen et al.
Trung Hai Le et al.
This study provides evidence on the frequency-based dependency networks of various financial assets in the tails of return distributions given the extreme price movements under the exceptional circumstance of the Covid-19 pandemic, qualifie...
Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic? [0.03%]
比特币和以太坊能在新冠病毒疫情期间成为股市的安全避风港吗？
Christy Dwita Mariana,Irwan Adi Ekaputra,Zaäfri Ananto Husodo
Christy Dwita Mariana
Utilizing the WHO COVID-19 pandemic statement, we test Bitcoin and Ethereum as safe-havens for stocks. We find that the two largest cryptocurrencies are suitable as short-term safe-havens. The DCC and cDCC results show that their daily retu...
Learning from SARS: Return and volatility connectedness in COVID-19 [0.03%]
从SARS到COVID-19的收益率和波动性关联研究
Emawtee Bissoondoyal-Bheenick,Hung Do,Xiaolu Hu et al.
Emawtee Bissoondoyal-Bheenick et al.
Using a sample of the G20 countries, we examine the impact of COVID-19 on stock return and volatility connectedness, and whether the connectedness measures behave differently for countries with SARS 2003 experience. We find that both stock ...
How has the relationship between oil and the US stock market changed after the Covid-19 crisis? [0.03%]
新冠疫情危机后，石油与美国股票市场之间的关系发生了怎样的变化？
Yuji Sakurai,Tetsuo Kurosaki
Yuji Sakurai
In this paper, we investigate how the relationship between oil and the US stock market has changed after the onset of Covid-19 crisis. To do so, we compute upside and downside correlations between the two markets. Our findings are as follow...
Christian Espinosa-Méndez,Jose Arias
Christian Espinosa-Méndez
This article investigates whether COVID-19 pandemic had an effect on herding behaviour in Europe. Using a sample from the stock exchanges of France (Paris), Germany (Frankfurt), Italy (Milan), United Kingdom (London) and Spain (Madrid), ove...
Štefan Lyócsa,Tomáš Plíhal,Tomáš Výrost
Štefan Lyócsa
High-frequency data tend to be costly, subject to microstructure noise, difficult to manage, and lead to high computational costs. Is it always worth the extra effort? We compare the forecasting accuracy of low- and high-frequency volatilit...
Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis [0.03%]
COVID-19大流行引起的行业波动性和经济不确定性：小波相干分析的证据
Sun-Yong Choi
Sun-Yong Choi
This study investigates the impact of economic uncertainty due to the coronavirus (COVID-19) pandemic on the industrial economy in the US in terms of the interdependence and causality relationship. We apply wavelet coherence analysis to eco...
Spillover effects of RMB exchange rate among B&R countries: Before and during COVID-19 event [0.03%]
人民币汇率在一带一路国家中的溢出效应研究——疫情前后的对比分析
Zhixi Wei,Yu Luo,Zili Huang et al.
Zhixi Wei et al.
The proposal of "The Belt and Road" (The B&R) Initiative has promoted regional economic cooperation and financial integration. It is crucial to measure the volatility spillover effects among "The B&R" currency market. Results from the time-...
Alexander Kurov,Marketa Halova Wolfe,Thomas Gilbert
Alexander Kurov
Lucca and Moench (2015) document large average excess returns in U.S. equities before scheduled Federal Open Market Committee (FOMC) meetings from September 1994 to March 2011, leading to a puzzle not explained by standard asset pricing the...