COVID-19 and Tail-event Driven Network Risk in the Eurozone

Huynh, Toan Luu Duc; Foglia, Matteo; Doukas, John A.

doi:10.1016/j.frl.2021.102070

Cited by 36 publications

(21 citation statements)

References 32 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Therefore, the portfolio diversification strategy should account for the fact that the systemic risk of two asset classes also increases. Our study is also consistent with earlier studies that have found that the COVID-19 pandemic is associated with contagious risk (Huynh, Foglia, Doukas, 2021;Liu et al, 2021).…”

Section: Robustness Checksupporting

confidence: 94%

The nexus between black and digital gold: evidence from US markets

et al. 2021

Self Cite

View full text Add to dashboard Cite

In the context of the debate on cryptocurrencies as the ‘digital gold’, this study explores the nexus between the Bitcoin and US oil returns by employing a rich set of parametric and non-parametric approaches. We examine the dependence structure of the US oil market and Bitcoin through Clayton copulas, normal copulas, and Gumbel copulas. Copulas help us to test the volatility of these dependence structures through left-tailed, right-tailed or normal distributions. We collected daily data from 5 February 2014 to 24 January 2019 on Bitcoin prices and oil prices. The data on bitcoin prices were extracted from coinmarketcap.com. The US oil prices were collected from the Federal Reserve Economic Data source. Maximum pseudo-likelihood estimation was applied to the dataset and showed that the US oil returns and Bitcoin are highly vulnerable to tail risks. The multiplier bootstrap-based goodness-of-fit test as well as Kendal plots also suggest left-tail dependence, and this adds to the robustness of the results. The stationary bootstrap test for the partial cross-quantilogram indicates which quantile in the left tail has a statistically significant relationship between Bitcoin and US oil returns. The study has crucial implications in terms of portfolio diversification using cryptocurrencies and oil-based hedging instruments.

show abstract

Section: Robustness Checksupporting

confidence: 94%

The nexus between black and digital gold: evidence from US markets

et al. 2021

Self Cite

View full text Add to dashboard Cite

show abstract

“…The energy sector suffered from a higher risk perception during the COVID-19 pandemic. The COVID-19 crisis had an influence on the energy market structure [36,54]. COVID-19 has shown the importance and influence of electricity in our economy, financial markets, and society [55].…”

Section: Literature Reviewmentioning

confidence: 99%

“…Then, we compared the impact of these two specific announcements on the stock prices of both types of electricity production companies in European countries. The empirical evidence from the literature confirms that information from COVID-19 indicators play a significant role in spillover effects of financial markets and changes in the market structure of the energy sector [36]. We used the event study approach to analyse the stock market reactions to both specific events, using the Fama-French three-factor model [37,38].…”

Section: Introductionmentioning

confidence: 99%

Is ESG Relevant to Electricity Companies during Pandemics? A Case Study on European Firms during COVID-19

et al. 2022

View full text Add to dashboard Cite

The electricity sector was negatively impacted by the coronavirus disease (COVID-19), with considerable declines in consumption in the initial phase. Investors were in turmoil, and stock prices for these companies plummeted. The aim of this paper is to demonstrate the significant negative influence of the pandemic on abnormal returns for the electricity sector, specifically for traditional and renewable companies and the influence of ESG scores, using the event study approach and multi-variate regressions. Our results show that the pandemic indeed had a negative impact on the electricity sector, with renewable electricity companies suffering a sharper decline than traditional ones. Moreover, we find that ESG pillar scores affected electricity companies differently and are sector-specific. For renewable electricity companies, the returns were positively influenced by the environmental ESG scores and negatively by governance ESG scores.

show abstract

“…Concomitantly, this paper is motivated by uncertainties, which might cause tail interdependencies among different financial assets. Especially, the world has faced unprecedented events such as the COVID-19 pandemic (Huynh et al, 2021 ; Managi et al, 2022 ; Chai et al, 2022 ), Eurozone shocks (Foglia et al, 2022 ), and even the global network (Nguyen & Lambe, 2021 ). Hence, a detailed understanding of how the energy and financial markets are connected would identify the market structure during normal turbulence.…”

Section: Introductionmentioning

confidence: 99%

Tail risk connectedness in clean energy and oil financial market

2022

Self Cite

View full text Add to dashboard Cite

This research investigates the connectedness and the tail risk spillover between clean energy and oil firms, from January 2011 to October 2021. To this, we use the Tail-Event driven NETworks (TENET) risk model. This approach allows for a measurement of the dynamics of tail-risk spillover for each sector and firm. Hence, we can provide a detailed picture of the existing extreme relationships within these markets. We find that the total connection between the markets varies during the period analysed, showing how the uncertainty in oil price plays a critical role in the risk dynamics for oil companies. Also, we find that relationships between energy firms tend to be intrasectoral; that is, each sector receives (emits) risk from (to) itself. These results can have important practical implications for risk management and policymakers.

show abstract

COVID-19 and Tail-event Driven Network Risk in the Eurozone

Cited by 36 publications

References 32 publications

The nexus between black and digital gold: evidence from US markets

The nexus between black and digital gold: evidence from US markets

Is ESG Relevant to Electricity Companies during Pandemics? A Case Study on European Firms during COVID-19

Tail risk connectedness in clean energy and oil financial market

Contact Info

Product

Resources

About