J Eduardo Vera-Valdés
J Eduardo Vera-Valdés
This paper analyzes the long-term effects of COVID-19 on financial volatility. We estimate the long memory parameters before and after COVID-19 for the VIX and realized variances for several international markets. Our results show that vola...
Stock Return and the COVID-19 pandemic: Evidence from Canada and the US [0.03%]
COVID-19疫情对股票收益的影响—来自加拿大和美国的证据
Libo Xu
Libo Xu
We investigate the dynamic responses of stock return to the unexpected changes in the COVID-19 cases and the uncertainty associated with the pandemic. Using daily data from Canada and the US, we find there is a negative effect of an increas...
The COVID-19 outbreak and stock market reactions: Evidence from Australia [0.03%]
COVID-19疫情及股市反应：来自澳大利亚的证据
Md Lutfur Rahman,Abu Amin,Mohammed Abdullah Al Mamun
Md Lutfur Rahman
We examine how the Australian stock market responded to the uncertainties created by the COVID-19 pandemic and whether the stimulus package offered by the Government helped restore confidence in the market. This study finds a negative stock...
The unprecedented reaction of equity and commodity markets to COVID-19 [0.03%]
股票和商品市场对COVID-19史无前例的反应
Amine Ben Amar,Fateh Belaid,Adel Ben Youssef et al.
Amine Ben Amar et al.
Using a drifting spillover index approach (Diebold and Yilmaz, 2012) and a continuous time-frequency tool (Torrence and Webster, 1999), this paper attempts an empirical investigation of the spillovers and co-movements among commodity and st...
What caused global stock market meltdown during the COVID pandemic-Lockdown stringency or investor panic? [0.03%]
是什么导致了COVID大流行封锁期间的全球股市崩盘 - 锁定严格程度或投资者恐慌？
Shobhit Aggarwal,Samarpan Nawn,Amish Dugar
Shobhit Aggarwal
This paper isolates the different effects of COVID-19 on the stock market returns and identifies the channels through which each of the effects influences the returns. Using a sample of twelve countries with most liquid stock markets, we fi...
The impact of COVID-19 on the Chinese stock market: Sentimental or substantial? [0.03%]
COVID-19对中国股市的影响：情绪化的还是实质性的？
Yunchuan Sun,Mengyuan Wu,Xiaoping Zeng et al.
Yunchuan Sun et al.
We investigate the impact of COVID-19 on Chinese stock market by an event study and examine the effect of individual investor sentiment on returns. The pandemic has an overall negative effect on stock market during the post-event window, wh...
Flight-to-quality between global stock and bond markets in the COVID era [0.03%]
COVID时代全球股市和债市之间的避险现象分析
Stephanos Papadamou,Athanasios P Fassas,Dimitris Kenourgios et al.
Stephanos Papadamou et al.
We investigate the impact of the recent COVID-19 pandemic on the time-varying correlation between stock and bond returns. Using daily data on bond and stock returns for ten countries, covering Europe, Asia, US and Australia regions, we iden...
Nils Engelhardt,Miguel Krause,Daniel Neukirchen et al.
Nils Engelhardt et al.
We investigate if trust affects global stock market volatility during the COVID-19 pandemic. Using a sample of 47 national stock markets, we find the stock markets' volatility to be significantly lower in high-trust countries (in reaction t...
Massimiliano Frezza,Sergio Bianchi,Augusto Pianese
Massimiliano Frezza
Using the multifractional Brownian motion as a model of the price dynamics, we analyze the impact of the COVID-19 pandemic on the efficiency of fifteen financial markets from Europe, US and Asia. We find that Asian markets (Hang Seng, Nikke...
Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis [0.03%]
COVID-19与比特币的共同运动性：基于小波相干分析的证据
John W Goodell,Stephane Goutte
John W Goodell
We apply wavelet methods to daily data of COVID-19 world deaths and daily Bitcoin prices from 31th December 2019 to 29th April 2020. We find, especially for the period post April 5, that levels of COVID-19 caused a rise in Bitcoin prices. W...