Impacts of the global pandemic on returns and volatilities of cryptocurrencies

Kumar, Varun; Kumari, Vineeta

doi:10.55429/ijabf.v1i1.21

Cited by 11 publications

(7 citation statements)

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“…, 2015; Maitra and Dey, 2012; Miyajima and Yafeh, 2007; Pandey et al. , 2022; Rai and Kumari, 2022).…”

Section: Notesmentioning

confidence: 99%

What makes firms vulnerable to the Russia–Ukraine crisis?

Abbassi¹,

Kumari²,

Pandey³

2022

JRF

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PurposeThis study examines the impact of the Russia–Ukraine war on the constituent firms of the leading stock market indices of the G7 countries to provide insights into the vulnerability of firms to war events.Design/methodology/approachThis study employs the event study method on a sample of 531 firms covering the period from 02 March 2021 to 08 March 2022 and conducts a cross-sectional analysis of cumulative abnormal returns and country- and firm-specific variables.FindingsRisk exposure and trade dependence trigger invasion-generated negative abnormal returns. The authors demonstrate that stock prices are fragile to geopolitical risks and trade dependence. Consistent with previous literature, the authors find evidence of a size anomaly and high risk associated with a higher book-to-market ratio.Research limitations/implicationsThis study has implications for policymakers identifying the firm-specific variables driving event-induced returns. While providing insights into the geographical diversification of funds, this study shows the heterogeneous characteristics of firms operating in these countries.Originality/valuePrevious studies on the Russia–Ukraine war have been limited to analyzing the behavior of leading stock market indices without examining firm-level variations triggered by the war. This study fills this gap and contributes to the growing literature on the Russia–Ukraine crisis in two ways: first, it provides firm-level evidence from the G7 countries in addition to how global stock market indices have reacted to the invasion and second, it uses cross-sectional analysis to provide evidence of the characteristics that make firms resilient to wars.HighlightsWe are the first to report firm-level evidence of the Russia–Ukraine war effectsFirms in France and the United States are unaffectedStock prices are fragile to geopolitical risks and considerable dependence on tradeHigher book-to-market exposes the firms to the risk of exogenous shocksSmaller firms outperform large firms in the G7 stock markets

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“…, 2015; Maitra and Dey, 2012; Miyajima and Yafeh, 2007; Pandey et al. , 2022; Rai and Kumari, 2022).…”

Section: Notesmentioning

confidence: 99%

What makes firms vulnerable to the Russia–Ukraine crisis?

Abbassi¹,

Kumari²,

Pandey³

2022

JRF

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“…Nanda and Ross (2012) analysed the impact of property disclosure laws on the quarterly appreciation in house prices. Rai and Kumari (2022) used a similar methodology to study the pandemic announcement's impact on cryptocurrencies. Similarly, Chortane and Pandey (2022) and Hayward (2018) investigated the influence of speculative sentiments on exchange rates.…”

Section: Methodsmentioning

confidence: 99%

Russia–Ukraine conflict and its impact on global inflation: an event study-based approach

Maurya

Bansal

Mishra

2023

JES

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PurposeThis study investigates how the conflict between Russia and Ukraine impacts global inflation.Design/methodology/approachThe study uses monthly consumer price index (CPI) data from 60 countries for 30 months, from January 2020 to June 2022. An event study methodology has been employed to check abnormal variation in the CPI, after classifying country-specific monthly data into nine groups.FindingsThe outcome revealed that Russia's full-scale invasion of Ukraine triggered inflation globally. However, the severity of inflation in the sample countries is determined by their geographical proximity and trading activity with the countries in conflict. A significant rise in inflation was observed among major European economies during the invasion. As the war continues, the increase in the price of essential commodities is evident worldwide.Originality/valueThe war literature till now has concentrated on stock markets, energy markets, exchange rates and precious metals. Since no previous research has attempted to quantify the abnormal effect of the war on domestic and global inflation, the current study will shed much-needed light on the subject.

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“…3.2.1 Event study analysis. Several recent studies have utilized event study methodology to investigate the effects of various events on different financial markets (Abbassi et al, 2023;Boubaker et al, 2015;Chortane and Pandey, 2022;Goodell and Huynh, 2020;Goyal and Soni, 2023;Jaiswal and Dubey, 2022;Kumari et al, 2023a, b;Pandey et al, 2023a;Pandey and Kumari, 2021;Rai and Kumari, 2022). Following it, the present study employed the most widely used market model of event study methodology (Buigut and Masinde, 2022;Kumari et al, 2023a, b;Pandey et al, 2023c;Pandey and Kumari, 2022) to explore the impact of the event on the Indian banking and financial services sector stocks.…”

Section: Methodsmentioning

confidence: 99%

“…, 2023a, b; Pandey et al. , 2023a; Pandey and Kumari, 2021; Rai and Kumari, 2022). Following it, the present study employed the most widely used market model of event study methodology (Buigut and Masinde, 2022; Kumari et al.…”

Section: Methodsmentioning

confidence: 99%

The impact of Credit Suisse takeover on Indian banking and financial services sector stocks: an event study analysis

Goyal,

Soni

2023

JES

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PurposeThe present study aims to comprehensively examine the impact of the Union Bank of Switzerland (UBS) takeover of Credit Suisse on the banking and financial services sector in the Indian stock market. To fully comprehend the impact of the event, the study separately investigates the response of private sector banks, public sector banks, overall banking companies and financial services companies to the takeover of the second-largest financial institution in Switzerland.Design/methodology/approachThe study employs event study methodology, using the market model, to analyze the event's impact on Indian banking and financial services sector stocks. The data consists of daily closing prices of companies included in the Nifty Private Bank Index, Nifty PSU Bank Index, Nifty Bank Index and Nifty Financial Services Index from the National Stock Exchange (NSE). Furthermore, cross-sectional regression analysis has been conducted to explore the factors that drive abnormal returns.FindingsThe empirical findings of the study suggest the event had a heterogeneous impact on the stock prices of Indian banks and financial services companies. While public sector banks experienced a significant negative impact on select days within the event window, the overall Indian banking sector and financial services companies also witnessed notable declines. In contrast, Indian private sector banks were relatively resilient, exhibiting minimal effects. However, the cumulative effect is found to be insignificant for all four categories across different event windows. The study also observed that the cumulative abnormal returns (CARs) were significantly influenced by certain variables during different event windows.Originality/valueTo the best of the authors' knowledge, the present study is the earliest attempt that investigates the impact of the UBS takeover of Credit Suisse on the Indian banking and financial services sector using event study methodology and cross-sectional regression model.

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Impacts of the global pandemic on returns and volatilities of cryptocurrencies

Cited by 11 publications

References 50 publications

What makes firms vulnerable to the Russia–Ukraine crisis?

What makes firms vulnerable to the Russia–Ukraine crisis?

Russia–Ukraine conflict and its impact on global inflation: an event study-based approach

The impact of Credit Suisse takeover on Indian banking and financial services sector stocks: an event study analysis

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