Learning from SARS: Return and volatility connectedness in COVID-19

Abstract

Highlights We examine the impact of COVID-19 on stock return and volatility connectedness. We assess if connectedness measures behave differently for countries with SARS 2003 experience. Both stock return and volatility connectedness increase across the phases of the COVID-19. Both connectedness is more pronounced as the severity of the pandemic builds up. The degree of connectedness is lower in countries with SARS 2003 death experience.

How do equity markets react to COVID-19? Evidence from emerging and developed countries

“… Topcu and Gulal (2020) investigate the impact of COVID-19 in 26 emerging equity markets and find that the pandemic's negative impact has decreased by mid-April. Bissoondoyal-Bheenick, Do, Hu, and Zhong (2020) examine the connectedness between stock returns and volatility and find that the connectedness is more pronounced when the severity of the COVID-19 pandemic was rising, indicating that there is a time-varying effect of COVID-19 on the stock return and volatility. El-Khatib and Samet (2020) find that COVID-19 adversely affects the emerging market index and increases volatility and premiums on their sovereign credit default swaps.…”

COVID−19 and oil price risk exposure

“…Since the onset of the COVID–19 crisis, academic literature and industry reports on the effect of the pandemic have been growing on a fast pace (e.g., Akhtaruzzaman, Boubaker, & Sensoy, 2020 ; International Energy Agency, 2020 ). Most of the studies focus on the effects of the COVID–19 on the aggregate financial markets and financial assets such as gold, cryptocurrencies (e.g., Akhtaruzzaman, Boubaker, Lucey, & Sensoy, 2020 ; Baker et al, 2020 ; Bissoondoyal-Bheenick, Do, Xu and Zhong, 2020 ; Chiah and Zhong, 2020 ; Corbet, et. al, 2020a ; Corbet, et.…”

How does the impact of the COVID-19 pandemic on Indonesia's Islamic stock returns?

“…This is because the former group of investors is more concerned with similar risks encountered in the past, while the latter group tends to overlook certain risks. Finally,Bissoondoyal-Bheenick et al (2020),Zaremba et al (2020), Al-Awadhi et al…”

“…Bissoondoyal-Bheenick et al (2020) argue that as compared to those who have never experienced a similar pandemic like (SARS), investors with previous experience react faster and better to COVID-19. This is because the former group of investors is more concerned with similar risks encountered in the past, while the latter group tends to overlook certain risks.…”