Foreign Exchange Market Shocks in the Context of the Global Pandemic (COVID-19)

Dias, Rui; Carvalho, Luísa Cagica

doi:10.4018/978-1-7998-6643-5.ch020

Cited by 2 publications

(2 citation statements)

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“…Bulgaria and Croatia maintained their level of integration (1 out of 8 possible). These findings are in line with the evidence suggested by , , Dias and Carvalho (2021), and Dias et al (2022) that in periods of extreme volatility markets tend towards integration thus calling into question the hypothesis of efficient portfolio diversification.…”

Section: Source: Own Elaborationsupporting

confidence: 89%

International Scientific Conference ERAZ - Knowledge Based Sustainable Development

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Following the Revolution of Dignity in Ukraine in 2014, Russia annexed Crimea, while separatist forces supported by the Russian government seized part of the Donbas region in south-eastern Ukraine. Since the beginning of 2021, a build-up of Russian military presence has occurred along the Russia-Ukraine border. The United States and other countries have accused Russia of planning an invasion of Ukraine. On February 24th, Putin announced a "special military operation," supposedly to "demilitarize" and "denazify" Ukraine. In light of these events, the global economy and consequently the financial markets had significant structural breaks; based on these facts, this paper aims to analyze the synchronizations between the capital markets of Austria (Austrian Traded), Budapest (BUX), Bulgaria (SE SOFIX), Croatia (CROBEX), Russia (MOEX), Czech Republic (Prague SE PX), Romania (BET), Slovakia (SAX 16), and Slovenia (SBI TOP), in the period from January 2nd, 2017 to May 6th, 2022. To perform this analysis and to get more robust results we divided the sample into two sub-periods: The first from January 2nd, 2017, to December 31st, 2019, with the second sub-period called capital markets stress comprising the time lapse from January 1st, 2020, to May 6th, 2022. In order to answer the research question, we aim to find out, whether the Russian invasion of Ukraine accentuated interdependencies in Central/Eastern European financial markets. The time series do not show normal distributions, with the Russian market showing the highest risk; we find that the markets broke down significantly, mostly in March 2022 arising from instability in the global economy. The results obtained suggest very significant levels of integration during the stress period in the capital markets analyzed, and we see that during the quiet period the Slovakian market tends to be highly integrated (8 out of 8 possible), while the Slovenian market shows no integration with its regional peers, which shows that we are dealing with a segmented market. These findings suggest that markets tend toward integration in periods of extreme volatility, calling into question the implementation of efficient portfolio diversification strategies.

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Section: Source: Own Elaborationsupporting

confidence: 89%

International Scientific Conference ERAZ - Knowledge Based Sustainable Development

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“…It is also conceivable to see rather volatile behaviour throughout the first and third quarters of 2021, which will be particularly noticeable in the DOGE cryptocurrency. The authors Santos (2020a, 2020b), , and Dias and Carvalho (2021) also demonstrate a significant dispersion in international financial markets compared to the average induced by the 2020 global pandemic. Table 3 shows the results of statistical measures such as the mean, standard deviation, asymmetry, and kurtosis applied to the 6 cryptocurrencies under consideration, namely Bitcoin (BTC), Cardano (ADA), Binance Coin (BNB), Dogecoin (DOGE), Ethereum (ETH), and Ripple (XRP), from January 1 st , 2018, to November 10 th , 2022.…”

Section: Resultsmentioning

confidence: 95%

Managing Circular Economy with a Strategic-Risk Approach

Gennari¹

2022

International Scientific-Business Conference – LIMEN 2022: Vol 8. Selected Papers

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The debate about the criticalities of the traditional linear economy-based business model is leading to a more sustainable way of production and consumption which is the circular economy (CE), defined as an economy capable of regenerating itself. However, there is an area of concern related to the risks arising from the changes that CE requires in processes, organization, governance, and relations within the supply chain and with stakeholders. This paper focuses on the main risk areas firms should manage for a successful strategic transition to CE, suggesting a conceptual framework for CE risk identification according to a strategic-based approach.

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Foreign Exchange Market Shocks in the Context of the Global Pandemic (COVID-19)

Cited by 2 publications

References 42 publications

International Scientific Conference ERAZ - Knowledge Based Sustainable Development

International Scientific Conference ERAZ - Knowledge Based Sustainable Development

Managing Circular Economy with a Strategic-Risk Approach

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