Corporate vulnerability in the US and China during COVID-19: A machine learning approach

Khan, Muhammad Asif; Segovia, Juan E.Trinidad; Bhatti, M.Ishaq; Kabir, Asif

doi:10.1016/j.jeca.2023.e00302

Cited by 6 publications

(3 citation statements)

References 61 publications

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“…Notably, heightened uncertainty within the cryptocurrency market directly influences investor returns (Bashir and Kumar 2023). Thus, cryptocurrency uncertainty indices act as instruments that highlight the shift in the cryptocurrency market in response to various events, such as COVID-19 pandemic (Khan et al 2023). This research sheds light on the impact of cryptocurrency uncertainty on the broader financial market, particularly during periods of crisis.…”

Section: Introductionmentioning

confidence: 92%

“…With the increase in systematic risk during the COVID-19 outbreak, market participants were interested in obtaining information about volatility transmission among various financial assets for portfolio diversification. Investors re-balanced their portfolios during the financial turmoil by switching from risky to safe-haven assets (Bouri et al 2021b;Choudhry et al 2015;Ha and Dai 2022;Khan et al 2023;Ghouse et al 2023).…”

Section: Introductionmentioning

confidence: 99%

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Interconnectedness of Cryptocurrency Uncertainty Indices with Returns and Volatility in Financial Assets during COVID-19

Asiri,

Alnemer,

Bhatti

2023

JRFM

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This paper investigates the dynamic relationship between cryptocurrency uncertainty indices and the movements in returns and volatility across spectrum of financial assets, comprising cryptocurrencies, precious metals, green bonds, and soft commodities. It employs a Time-Varying Parameter Vector Autoregressive (TVP-VAR) connectedness approach; the analysis covers both the entire sample period spanning August 2015 to 31 December 2021 and the distinct phase of COVID-19 pandemic. The findings of the study reveal the interconnectedness of returns within these asset classes during the COVID-19 pandemic. In this context, cryptocurrency uncertainty indices emerge as influential transmitters of shocks to other financial asset categories and it significantly escalates throughout the crisis period. Additionally, the outcomes of the study imply that during times of heightened uncertainty, exemplified by events such as the COVID-19 pandemic, the feasibility of portfolio diversification for investors might be constrained. Consequently, the amplified linkages between financial assets through both forward and backward connections could potentially compromise financial stability. This research sheds light on the impact of cryptocurrency uncertainty on the broader financial market, particularly during periods of crisis. The findings have implications for investors and policymakers, emphasizing the need for a comprehensive understanding of the interconnectedness of financial assets and the potential risks associated with increased interdependence. By recognizing these dynamics, stakeholders can make informed decisions to enhance financial stability and manage portfolio risk effectively.

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Section: Introductionmentioning

confidence: 92%

Section: Introductionmentioning

confidence: 99%

Interconnectedness of Cryptocurrency Uncertainty Indices with Returns and Volatility in Financial Assets during COVID-19

Asiri,

Alnemer,

Bhatti

2023

JRFM

View full text Add to dashboard Cite

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“…The recent eruption of the pandemic COVID-19 has resulted in a discontinuity of economic and financial policies in China (Khan et al, 2023;McKibbin & Fernando, 2020). This global epidemic outbreak has also incapacitated the world's largest superpower USA and the European continent (S. R. Baker et al, 2020).…”

Section: Introductionmentioning

confidence: 99%

Effect of Economic Policy Uncertainty on China’s Stock Price Index: A Comprehensive Analysis Using Wavelet Coherence Approach

Bagh,

Waheed,

Khan

et al. 2023

Sage Open

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Amid China’s dynamic economic backdrop, Economic Policy Uncertainty (EPU) and stock market indices hold pivotal roles, this research delves into EPU and its connection with the stock price index (SPI). By uncovering patterns linking these variables, the study aims to provide a nuanced understanding of their relationship. We employ wavelet coherence analysis and a phase difference approach to investigate EPU impact on China’s SPI from 2010 to 2020. Through this lens, the interactions between these economic variables are illuminated. Using wavelet coherence analysis, the temporal dynamics of EPU and SPI are explored. The phase difference approach further highlights the temporal alignment of fluctuations, capturing the intricate relationship. The analysis reveals compelling findings. A robust correlation between EPU and the SPI emerges, particularly at low frequencies, underscoring a substantive connection. The phase difference analysis indicates a positive influence of EPU on stock prices, highlighting its impact on SPI. Besides, implications imply EPU shapes stock market behavior, moving beyond mere correlation. A causal link is established, emphasizing EPU’s proactive role in influencing stock prices. Bidirectional causation underscores the interdependence of EPU and stock price movements. This research enhances understanding of EPU’s effects on stock prices in China. Finally, this study provides important implications for investors, policymakers, and businesses, guiding strategic decisions amid a dynamic economic landscape.

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Integrating business and market intelligence to expedite service responsiveness: evidence from Malaysia

Hameed

Bhatti

2023

Qual Quant

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In today’s business world, Malaysian postal and courier companies are rapidly growing due to recent Covid-19 but they face various challenges due to intense competition in the use of high-tech e-services. The paper examines the role of business and market intelligence in expediting service innovation and responsiveness in Malaysia, which is considered the business hub of Asia. Primary survey data were collected from the 93 managerial staff of postal and courier companies in Malaysia. We employed PLS-SEM methodology to test the relationship between the selected variables of interest. The results indicate that market intelligence and business intelligence are the major contributors to service innovation and service responsiveness. Moreover, the role of knowledge management is crucial in better utilization of external and internal knowledge. Finally, this study provides practical guidelines to practitioners and policymakers of postal and courier companies to devise viable strategies for efficiently realizing service innovation and service responsiveness to the best satisfaction of the end customers.

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Corporate vulnerability in the US and China during COVID-19: A machine learning approach

Cited by 6 publications

References 61 publications

Interconnectedness of Cryptocurrency Uncertainty Indices with Returns and Volatility in Financial Assets during COVID-19

Interconnectedness of Cryptocurrency Uncertainty Indices with Returns and Volatility in Financial Assets during COVID-19

Effect of Economic Policy Uncertainty on China’s Stock Price Index: A Comprehensive Analysis Using Wavelet Coherence Approach

Integrating business and market intelligence to expedite service responsiveness: evidence from Malaysia

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