Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach [0.03%]
COVID-19危机期间的股票市场收益，波动性，相关性和流动性：来自马尔可夫转换方法的证据
Małgorzata Just,Krzysztof Echaust
Małgorzata Just
This paper investigates the relationship between US stock market returns (S&P500) and three indicators of the market, namely implied volatility, implied correlation and liquidity. It also considers the short range dependence between both to...
The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic [0.03%]
IDEMV在预测COVID-19疫情期间欧洲股市波动性中的作用
Yan Li,Chao Liang,Feng Ma et al.
Yan Li et al.
The main purpose of this paper is to investigate whether the Infectious Disease EMV tracker (IDEMV) proposed by Baker et al. (2020) has additional predictive ability for European stock market volatility during the COVID-19 pandemic. The thr...
Capped borrower credit risk and insurer hedging during the COVID-19 outbreak [0.03%]
疫情期间借贷者信用风险上限与保险公司套期保值研究
Shi Chen,Yang Yang,Jyh-Horng Lin
Shi Chen
In this paper, we apply the risk-neutral valuation methodology to evaluate a life insurer's equity. We model the features capped by the explicit treatment of the borrowing firm's credit risk, the optimal guaranteed rate-setting, and the cor...
Yuying Yang,Yan-Ran Ma,Min Hu et al.
Yuying Yang et al.
This paper investigates the risk spillover between China's crude oil futures and international crude oil futures by constructing upside and downside VaR connectedness networks. The findings show that China's crude oil futures behave as a ne...
Overshooting of sovereign emerging eurobond yields in the context of COVID-19 [0.03%]
新冠疫情背景下主权新兴欧元债券收益率的超调现象
Babacar Sène,Mohamed Lamine Mbengue,Mouhamad M Allaya
Babacar Sène
This paper illustrates the phenomenon of overshooting yields on eurobonds issued by emerging and developing countries in the context of COVID-19. Using panel data from 48 emerging and developing countries, the results show that daily report...
Seungho Baek,Sunil K Mohanty,Mina Glambosky
Seungho Baek
COVID-19 has had significant impact on US stock market volatility. This study focuses on understanding the regime change from lower to higher volatility identified with a Markov Switching AR model. Utilizing machine learning feature selecti...
Market reactions to the arrival and containment of COVID-19: An event study [0.03%]
市场对COVID-19的到来和控制的反应：事件研究法分析
Kim J Heyden,Thomas Heyden
Kim J Heyden
We study the short-term market reactions of US and European stocks during the beginning of the COVID-19 pandemic. Employing an event study, we document that stocks react significantly negatively to the announcement of the first death in a g...
Cetin Ciner
Cetin Ciner
We examine predictive ability of a relatively large number of variables from currency, bond and commodity markets for US stock returns during the COVID-19 crisis. As a novel contribution, we estimate robust Lasso predictive regressions with...
Štefan Lyócsa,Eduard Baumöhl,Tomáš Výrost et al.
Štefan Lyócsa et al.
Since the outbreak of the COVID-19 pandemic, stock markets around the world have experienced unprecedented declines amid high uncertainty. In this paper, we use Google search volume activity as a gauge of panic and fear. The chosen search t...
COVID-19 lockdowns, stimulus packages, travel bans, and stock returns [0.03%]
COVID-19封锁、经济刺激方案、旅行禁令与股票收益的关系研究
Paresh Kumar Narayan,Dinh Hoang Bach Phan,Guangqiang Liu
Paresh Kumar Narayan
This paper examines the effect of government responses of G7 countries to the coronavirus pandemic (COVID-19) on stock market returns. Using time-series data, we show that lockdowns, travel bans, and economic stimulus packages all had a pos...