Impacts of COVID-19 on global stock sectors: Evidence from time-varying connectedness and asymmetric nexus analysis

Dong, Zibing; Li, Yanshuang; Xin-tian, Zhuang; Wang, Jian

doi:10.1016/j.najef.2022.101753

Cited by 27 publications

(16 citation statements)

References 68 publications

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“…Turning to volatility connectedness across sectors, Laborda and Olmo (2021) reveal the volatility connectedness among US stock sectors spiked during the COVID-19 pandemic crisis. Similarly, Dong et al (2022) find a dramatic rise in the global stock sectors’ interconnectedness following the outbreak of COVID-19. Meanwhile, Shahzad et al (2021) reveal that both good and bad volatility transmission among Chinese stock market sectors is substantially intense during the COVID-19 outbreak.…”

Section: Literature Review and Hypothesis Developmentmentioning

confidence: 98%

Portfolio diversification during the COVID-19 pandemic: Do vaccinations matter?

Pham

Nguyen

Xuan

et al. 2023

Journal of Financial Stability

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Section: Literature Review and Hypothesis Developmentmentioning

confidence: 98%

Portfolio diversification during the COVID-19 pandemic: Do vaccinations matter?

Pham

Nguyen

Xuan

et al. 2023

Journal of Financial Stability

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“…Recent literature extensively investigates the impact of the COVID-19 pandemic on financial markets from diverse perspectives. Some empirical studies have delved into the volatility connectedness network of global stock markets (Ashraf, 2020;Cheng et al, 2022;Heyden & Heyden, 2021;Li et al, 2021), while others have specifically explored volatility spillovers across sectors (Choi, 2020(Choi, , 2021Costa, Matos, & Da Silva, 2022;Dong, Li, Zhuang, & Wang, 2022;Laborda & Olmo, 2021;Shahzad, Bouri, Kristoufek, & Saeed, 2021). Ashraf (2020) explored the response of stock markets to COVID-19, noting their swift reaction to the pandemic, with responses varying over time depending on the outbreak's stage.…”

Section: Literature Reviewmentioning

confidence: 99%

Analysis of the impact of COVID-19 on the dynamic volatility spillover network in the Saudi stock market

Belkhir,

Abbes

2024

5007

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This study investigates the risk spillover among the COVID-19-related news Panic Index, the insurance industry, the Tadawul All-Share Index, and sector indices in Saudi stock market. Volatility spillovers serve as an accurate indicator for the transmission of risk across various sectors. Our empirical findings show that, prior to the outbreak of COVID-19, the Tadawul All-Share stock market played a dominant role as a net transmitter of risk for sector indices, including insurance, media, pharma, retail, transport, and utilities. Furthermore, our analysis demonstrates that the COVID-19 Panic Index exerts significant influence on the net pairwise connectedness, particularly impacting the Tadawul All-Share Index, energy, banking, development, materials, real estate, transport, and utilities sectors. Additionally, our results indicate that the insurance sector acts as a net receiver of spillovers from the utilities, media, pharma, and retail sectors throughout the sample period, affirming the heightened impact of the pandemic on these sectors. The pandemic, being a health-related issue, led to a notable surge in the volatility of sectors associated with health, given their pivotal role in effectively addressing the crisis. These insights carry substantial implications for investors, portfolio managers, and policymakers, shedding light on the potential repercussions of the pandemic on the stock market.

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“…Moreover, R. Matthews et al reported a negative impact on the industrial sector [15]. For [16], the COVID-19 outbreak negatively influenced most sectors, except the health field and consumer staples, which were not affected.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Therefore, this study aims to evaluate the market reaction to COVID-19 and policy responses across different sectors in the ASEAN stock market, which contains Indonesia, Malaysia, the Philippines, Thailand, and Vietnam. In this case, the impact of government policies on several sectors [10] is also examined through previous related studies [13][14][15][16]. Furthermore, additional analysis is provided on the impact of firm characteristics on market reaction to COVID-19 and policy response.…”

Section: Introductionmentioning

confidence: 99%

Market Reaction to COVID-19 and Policy Response Across Different Sectors: An Event Study on ASEAN Stock Market

Lesmana,

Yudaruddin

2024

jour

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The purpose of the study is to investigate the market reaction to COVID-19 and the policy response in the ASEAN stock market. The subjects of this study are companies located in ASEAN countries (Indonesia, Malaysia, Thailand, the Philippines, and Vietnam) as many as 2349 companies. The basic methodology of this research uses the event study method using CAR (Cumulative Abnormal Return) as a measure of market reaction. We also regressed the effect of firm characteristics (SIZE, ROA, LEV, CASH, AGE) on market reaction. According to the paper’s results, the ASEAN stock market reacted negatively to the announcement of COVID-19 cases and deaths. In this condition, the markets in Malaysia, the Philippines, and Vietnam had the worst reactions to the pandemic outbreak. Moreover, the market negatively reacted to the policy response emphasizing the spread of this disease. We also find that several sectors also provided a negative reaction to COVID-19 and the policy response in the ASEAN stock market. In addition, the company’s characteristics significantly influenced the encouragement of market reactions to the pandemic and regulations. Practical implications were provided for policymakers regarding the need to consider market conditions in interventions in the spread of the health crisis. Investors should also consider the characteristics involved in handling the COVID-19 pandemic.

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Impacts of COVID-19 on global stock sectors: Evidence from time-varying connectedness and asymmetric nexus analysis

Cited by 27 publications

References 68 publications

Portfolio diversification during the COVID-19 pandemic: Do vaccinations matter?

Portfolio diversification during the COVID-19 pandemic: Do vaccinations matter?

Analysis of the impact of COVID-19 on the dynamic volatility spillover network in the Saudi stock market

Market Reaction to COVID-19 and Policy Response Across Different Sectors: An Event Study on ASEAN Stock Market

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