COVID-19 and the march 2020 stock market crash. Evidence from S&P1500 [0.03%]
COVID-19与2020年3月的股市崩溃。来至于S&P1500的证据
Mieszko Mazur,Man Dang,Miguel Vega
Mieszko Mazur
This paper investigates the US stock market performance during the crash of March 2020 triggered by COVID-19. We find that natural gas, food, healthcare, and software stocks earn high positive returns, whereas equity values in petroleum, re...
Muhammad Suhail Rizwan,Ghufran Ahmad,Dawood Ashraf
Muhammad Suhail Rizwan
Banking sectors across the globe are under immense stress due to the evolving COVID-19 situation and policy responses thereto. This study investigates how COVID-19 impacted the systemic risk in the banking sectors of eight of the most COVID...
Orhan Erdem
Orhan Erdem
•The number of Covid-19 pandemic cases per million has significant negative effects on global financial markets.•The adverse effects of the coronavirus on the stock markets are less in freer countries. In other words, the stock markets of...
COVID-19's disasters are perilous than Global Financial Crisis: A rumor or fact? [0.03%]
新冠病毒的灾难比全球金融海啸更危险：谣言还是事实？
Khurram Shehzad,Liu Xiaoxing,Hayfa Kazouz
Khurram Shehzad
This investigation employed the Asymmetric Power GARCH model and found that COVID-19 substantially harms the US and Japan's market returns. Moreover, COVID-19 has influenced the variance of the US, Germany, and Italy's stock markets more th...
Quang Vu,Tuyen Quang Tran
Quang Vu
Using the Färe-Primont index and instrumental variable fixed effect estimation for the data of small and medium-sized enterprises (SMEs), this study considers if receiving government financial support enables SMEs in Vietnam to become more...
Rating Announcements, CDS Spread and Volatility During the European Sovereign Crisis [0.03%]
欧洲主权债务危机期间的信用评级公告，CDS波动幅度与溢价关系研究
Philippe Raimbourg,Federica Salvadè
Philippe Raimbourg
This paper analyzes the evolution of CDS spread and CDS volatility around European sovereign rating announcements over the period 2008-13. We show that the effect of the announcement differs depending on the credit quality of the issuer (In...
Xuelian Li,Panpan Lin,Jyh-Horng Lin
Xuelian Li
This paper develops a down-and-out call option model by introducing a structural break in volatility to capture the coronavirus (COVID-19) outbreak. The life insurer's equity and its board's utility are evaluated at the optimal guaranteed r...
Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil [0.03%]
股市收益和新闻在COVID-19金融动荡中的非对称依赖关系
Cosmin-Octavian Cepoi
Cosmin-Octavian Cepoi
•I investigate the stock market's reaction to coronavirus news in the top six most affected countries by the pandemic.•The fake news exerts a negative nonlinear influence on the inferior and the middle quantiles throughout the distributio...
Price reaction, volatility timing and funds' performance during Covid-19 [0.03%]
COVID-19期间的价格反应、波动性时机与基金表现
Nawazish Mirza,Bushra Naqvi,Birjees Rahat et al.
Nawazish Mirza et al.
In this paper we assess the price reaction, performance and volatility timing of European investment funds during the outbreak of Covid-19. We analyze the time period between January and June 2020 and demonstrate that while most of the inve...
The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach [0.03%]
COVID-19对依赖程度和风险收益关系结构的影响：分位数回归方法
Asil Azimli
Asil Azimli
This paper examines the impact of the novel coronavirus (COVID-19) on the degree and structure of risk-return dependence in the US. The results from quantile regression (QR) indicate a left-tailed asymmetric dependence structure of sectoral...