Global evidence of the COVID-19 shock on real equity prices and real exchange rates: A counterfactual analysis with a threshold-augmented GVAR model

In the past, it was believed that investors may generate abnormal returns (AR) for trading stocks by employing technical trading rules. However, since the COVID-19 pandemic broke out, stock markets around the world seem to suffer a serious impact. Therefore, whether investors can beat the markets by applying technical trading rules during the period of COVID-19 pandemic becomes an important issue for market participants. The purpose of this study is to examine the profitability of trading stocks with the use of technical trading rules under the COVID-19 pandemic. By trading the constituent stocks of DJ 30 and NASDAQ 100, we find that almost all of the trading rules employed in this study fail to beat the market during the COVID-19 pandemic period, which is different from the results in 2019. The revealed findings of this study may shed light on that investors should adopt technical trading with care when stock markets are seriously affected by black swan events like COVID-19.

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Global evidence of the COVID-19 shock on real equity prices and real exchange rates: A counterfactual analysis with a threshold-augmented GVAR model

Cited by 5 publications

References 34 publications

Artificial neural network (ANN)-based estimation of the influence of COVID-19 pandemic on dynamic and emerging financial markets

Artificial neural network (ANN)-based estimation of the influence of COVID-19 pandemic on dynamic and emerging financial markets

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