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Author: Shaen Corbet Publisher: ISBN: Category : Languages : en Pages : 53
Book Description
Utilising Chinese-developed data based on long-standing influenza indices and the more recently-developed coronavirus and face-mask indices, we set out to test for the presence of volatility spillovers from Chinese financial markets during the outbreak of the COVID-19 pandemic upon a broad number of traditional financial assets. Such indices are used to specifically measure the performance of Chinese companies who are inherently involved in the R&D and production of materials and products used to mitigate the effects of influenza and coronavirus, therefore, such indices present a unique barometer of investor sentiment relating to COVID-19 in comparison to traditional Chinese influenza. Within days of the formal announcement of the COVID-19 outbreak, results indicate exceptionally pronounced and persistent impacts of coronavirus on Chinese financial markets compared to that of the traditional and long-standing influenza index. Further, in a novel finding to date, COVID-19 is found to have had a substantial effect on directional spillovers upon the Bitcoin market. Cryptocurrency-based confidence appears to have been instigated through government-developed education schemes, which are identified as one possible explanation for our results, which are found to remain robust across methodological variation.
Author: Shaen Corbet Publisher: ISBN: Category : Languages : en Pages : 53
Book Description
Utilising Chinese-developed data based on long-standing influenza indices and the more recently-developed coronavirus and face-mask indices, we set out to test for the presence of volatility spillovers from Chinese financial markets during the outbreak of the COVID-19 pandemic upon a broad number of traditional financial assets. Such indices are used to specifically measure the performance of Chinese companies who are inherently involved in the R&D and production of materials and products used to mitigate the effects of influenza and coronavirus, therefore, such indices present a unique barometer of investor sentiment relating to COVID-19 in comparison to traditional Chinese influenza. Within days of the formal announcement of the COVID-19 outbreak, results indicate exceptionally pronounced and persistent impacts of coronavirus on Chinese financial markets compared to that of the traditional and long-standing influenza index. Further, in a novel finding to date, COVID-19 is found to have had a substantial effect on directional spillovers upon the Bitcoin market. Cryptocurrency-based confidence appears to have been instigated through government-developed education schemes, which are identified as one possible explanation for our results, which are found to remain robust across methodological variation.
Author: Niklas Humann Publisher: GRIN Verlag ISBN: 3346635767 Category : Business & Economics Languages : en Pages : 26
Book Description
Essay from the year 2022 in the subject Business economics - Market research, grade: 1.3, University of Münster, language: English, abstract: The objective of this essay is to investigate the effects of Covid-19 on the volatility of individual asset markets as well as the correlation between those markets using the Dynamic Conditional Correlation GARCH methodology developed by Engle (2002). The investigated assets are the major world equity indices as well as oil, gold, and bitcoin. I have found significant volatility clustering over the entire spectrum of assets, as well as increases in the correlation between assets during the initial phase of the pandemic. Furthermore, gold and bitcoin are shown to exhibit relatively low correlations with the investigated equity markets and may hence act as important components of a robust portfolio during turbulent times. While no direct effect of Covid-19 related policy variables on the returns could be established for all assets, the results indicate that the response of financial markets was immediate and not dependent on the national exposure to the pandemic itself. Finally, all markets are shown to recover within a reasonably short time span.
Author: Stéphane Goutte Publisher: Springer Nature ISBN: 3030985423 Category : Business & Economics Languages : en Pages : 137
Book Description
This book analyses the impact of the COVID-19 pandemic in different areas of Finance emphasizing the contagion effect in capital markets. The volume presents evidence-based case studies from the global financial crisis that followed after the onset of the pandemic in March 2020.
Author: Francis X. Diebold Publisher: Oxford University Press ISBN: 0199338329 Category : Business & Economics Languages : en Pages : 285
Book Description
Connections among different assets, asset classes, portfolios, and the stocks of individual institutions are critical in examining financial markets. Interest in financial markets implies interest in underlying macroeconomic fundamentals. In Financial and Macroeconomic Connectedness, Frank Diebold and Kamil Yilmaz propose a simple framework for defining, measuring, and monitoring connectedness, which is central to finance and macroeconomics. These measures of connectedness are theoretically rigorous yet empirically relevant. The approach to connectedness proposed by the authors is intimately related to the familiar econometric notion of variance decomposition. The full set of variance decompositions from vector auto-regressions produces the core of the 'connectedness table.' The connectedness table makes clear how one can begin with the most disaggregated pair-wise directional connectedness measures and aggregate them in various ways to obtain total connectedness measures. The authors also show that variance decompositions define weighted, directed networks, so that these proposed connectedness measures are intimately related to key measures of connectedness used in the network literature. After describing their methods in the first part of the book, the authors proceed to characterize daily return and volatility connectedness across major asset (stock, bond, foreign exchange and commodity) markets as well as the financial institutions within the U.S. and across countries since late 1990s. These specific measures of volatility connectedness show that stock markets played a critical role in spreading the volatility shocks from the U.S. to other countries. Furthermore, while the return connectedness across stock markets increased gradually over time the volatility connectedness measures were subject to significant jumps during major crisis events. This book examines not only financial connectedness, but also real fundamental connectedness. In particular, the authors show that global business cycle connectedness is economically significant and time-varying, that the U.S. has disproportionately high connectedness to others, and that pairwise country connectedness is inversely related to bilateral trade surpluses.
Author: John Beirne Publisher: ISBN: Category : Stock exchanges Languages : en Pages : 42
Book Description
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.
Author: John Beirne Publisher: INTERNATIONAL MONETARY FUND ISBN: 9781451871449 Category : Languages : en Pages : 40
Book Description
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.
Author: Greg N. Gregoriou Publisher: CRC Press ISBN: 1420099558 Category : Business & Economics Languages : en Pages : 654
Book Description
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author: Cláudia Seabra Publisher: Emerald Group Publishing ISBN: 1800710704 Category : Business & Economics Languages : en Pages : 296
Book Description
Pandemics and Travel: COVID-19 Impacts in the Tourism Industry analyses the wider impacts of epidemics, diseases and virus outbreaks on tourism and mobility. Chapters examine a wide range of issues, including the concept of Health Risk and Tourism and the impacts of the COVID-19 crisis.
Author: Steve J. Bickley Publisher: ISBN: Category : Languages : en Pages :
Book Description
The current coronavirus pandemic has had far-reaching global effects on the health and wellbeing of individuals across each and every continent of the world. The economic and financial market response has been equally disastrous and turbulent with high levels of volatility observed across international financial markets. This study explores the temporal relation between the observed structural breaks, market volatility and government policy interventions for 28 countries and their respective market indices. We present results which indicate that the establishment of stay-at-home policies cause sharp discontinuities in 15 of the 28 markets (53.57%) and increase market efficiency in 30 of 49 stay-at-home policy establishment cases (61.22%). These results indicate a small, yet statistically significant degree of persistence and hence, predictability in international financial markets and their associated market indices in response to stay-at-home policies.
Author: Shaen Corbet
Author: Shaen Corbet
Author: Lorenzo Padella
Author: Niklas Humann
Author: Stéphane Goutte
Author: Francis X. Diebold
Author: John Beirne
Author: John Beirne
Author: Greg N. Gregoriou
Author: Cláudia Seabra
Author: Steve J. Bickley