International stock market risk contagion during the COVID-19 pandemic

Liu, Yuntong; Wei, Yu; Wang, Qian; Liu, Yi

doi:10.1016/j.frl.2021.102145

Cited by 128 publications

(56 citation statements)

References 47 publications

(54 reference statements)

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“…S&P Green Bond Index (denoted by SPGB) is selected to represent the performance of green bands market (Nguyen et al, 2021 ). To reflect the clean energy (denoted by SPCE), we employ the S&P Global Clean Energy Index (Dawar et al, 2021 ; Liu, Wei, et al, 2021 ; Nguyen et al, 2021 ). The MSCI ACWI Index is designed to represent the performance of large and mid-cap stocks in 23 developed markets and 26 emerging markets.…”

Section: Methodsmentioning

confidence: 99%

“…A growing literature focuses on the relationship between green bond and clean energy. When Liu, Wei, et al ( 2021 ) estimate the dependence between green bonds and clean energy, they find there exists a positive connectedness between clean energy and green bonds. Nguyen et al ( 2021 ) employ the Rolling Window Wavelet Correlation and find green bonds display a high correlation with clean energy.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Ftiti et al ( 2021 ) find that the shock of COVID-19 increases the volatility of stock returns and the liquidity risks. Liu, Wei, et al ( 2021 ) indicate that the COVID-19 epidemic enhances the risk contagion effect of the stock market. With the international popularity of the green economy concept in recent decades, the impact of the COVID-19 epidemic on the relationship between green bonds, clean energy, and stock prices has become increasingly prominent.…”

Section: Introductionmentioning

confidence: 99%

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Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic

et al. 2022

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This paper uses weekly data from July 01, 2011 to July 09, 2021 to examine the dynamic nonlinear connectedness between the green bonds, clean energy, and stock price around the COVID-19 outbreak in the global markets. By building a time-varying parameter vector autoregression model (TVP-VAR), the comparison analyses of pre- and during the COVID-19 sample groups verify the existence of nonlinear and dynamic correlation among the three variables. First, prior to the COVID-19 pandemic, the simultaneous impacts of clean energy on stock price increased over time. Second, the results of impulse responses at different horizons indicate that green bonds lead to a short-term increase of clean energy, and it exerts an increasingly positive impacts after the COVID-19 outbreak. The COVID-19 has weakened the negative impacts of green bonds on stock price in the medium term. Finally, through the analysis of impulse responses at different points, we find that stock prices will rise when clean energy is subjected to a positive shock, and this positive effect is stronger during economic recovery period than in the other two periods.

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Section: Methodsmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic

et al. 2022

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“…Benlagha and El Omari [31] report the linkage between the major global equity markets (China, Germany, Japan, U.K. and U.S.) to have increased after COVID-19 outbreak. In addition, the risk spillovers from equity markets in American and European regions is found to have increased, following COVID-19 epidemic [33]; while Asian markets have been more resilient to the situation [34] -showing a decrease in the risk contagion effects [33]. In this respect, the negative effects of COVID-19 pandemic on Asian equity markets is reported to be less severe, compared to other regions of the world.…”

Section: Introductionmentioning

confidence: 94%

COVID-19: A Game-changer to Equity Markets?

Golmohammadi

Fazelabdolabadi²

2021

J. Hum. Earth Future

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This article applies the effective transfer entropy methodology to quantify the information flow between equities in major global equity markets in Australia, Brazil, Canada, China, Germany, Iran, Japan, Qatar, Saudi Arabia, South Africa, South Korea, United Kingdom, and the United States – a pool of 2200 companies included. To account for COVID-19 impacts, the period of the study was extended over two years. The results show changes to the information flow pattern after COVID-19, with the largest changes being encountered in Australia, Brazil, Canada, Japan, and the United States – for their largest market participants (by market capitalization). In comparison, the Asian markets show less noticeable changes in their information flow pattern after COVID-19. On a sector level, most of the markets studied have seen substantial changes in the functionality of their sectors – in terms of being a transmitter or receiver of information – after COVID-19 appearance. The fraction of sectors with a complete change in their influencing role since COVID-19 has been over 70% in Australia, Canada, South Africa, and the United States. The financial services sector has retained its role - as being the most influencing sector - in 6 out of 13 markets considered after COVID-19. For most of the markets, the basic materials, communications, energy, and utilities sectors have retained an intermediate position in the information flow diagram, after COVID-19. The German market has been the only market, in which the main information transmitter and receiver sectors have remained unchanged, since COVID-19. The results suggest drastic moves in major global equity markets, which have been concurrent with the virus outbreak. Doi: 10.28991/HEF-2021-02-01-05 Full Text: PDF

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“…A review study on CSP by Gillan et al, (2021) highlights the crucial role of CSP on firm financial situations and argues that CSP can bring various advantages to firms, e.g., reducing a firm's risk (see Hong and Kacperczyk, 2009 ; El Ghoul et al, 2011 ; Oikonomou et al, 2012 ; Albuquerqueet al, 2019 ), ultimately diminishing a firm's costs of capital (see Heinkel et al, 2001 ; Chava, 2014 ; Ng & Rezaee, 2015 ; Pástor et al, 2021 ), and improving the trust between a firm and its stakeholders ( Hong et al, 2019 ; Lins et al, 2017 ). On the other hand, the COVID-19 pandemic and the subsequent lockdown brought about an exogenous and unparalleled shock to firms that dramatically affect corporate financing (e.g., Bannigidadmath et al, 2022 , Liu et al, 2022 , Del Lo et al, 2022 ). For instance, Li et al, (2020) document an unprecedented increase in commercial loans on banks’ balance sheets during the COVID-19.…”

Section: Introductionmentioning

confidence: 99%

Corporate social performance and firm debt levels: Impacts of the covid-19 pandemic and institutional environments

Bai

2022

Finance Research Letters

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International stock market risk contagion during the COVID-19 pandemic

Cited by 128 publications

References 47 publications

Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic

Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic

COVID-19: A Game-changer to Equity Markets?

Corporate social performance and firm debt levels: Impacts of the covid-19 pandemic and institutional environments

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