Modern health pandemic crises and stock price crash risk

Pan, Zikui; Yao, Chialing; Zhao, Chenfang; Ho, Kung‐Cheng

doi:10.1016/j.eap.2022.03.010

Cited by 10 publications

(4 citation statements)

References 61 publications

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“…David et al compared financial sentiment during H1N1 and COVID-19 [8]. Ho et al synthesized the impact of a series of health epidemics of SARS, H1N1, MERS, Ebola, and Zika virus on the crash of company stock price risk [9].…”

Section: Overview Of Several Crisis Eventsmentioning

confidence: 99%

A Comparative Study of Chinese and American Stock Markets in the Context of the COVID-19- A Comparative Analysis of Several Crises

Cai

2023

AEMPS

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In the context of COVID-19, this paper compares the stock market performance and financial policies between China and the United States, as well as the similarities and differences of SARS in 2002, the U.S. subprime mortgage crisis in 2008, the U.S.-China trade frictions in 2018 and the COVID-19 in terms of these events impact on stock markets. By reviewing literature and event studies, this paper conducts a cross-sectional comparison and a longitudinal comparison of the Chinese and U.S. stock markets respectively. The study shows that the impact of COVID-19 on China is far less than that of the U.S. China adopted a more accommodative and longer-lasting financial policy which increased the stock markets independence significantly through sudden crisis events. The findings will help scholars to understand the performance of the U.S. and Chinese stock markets under several crisis events and the changes in the Chinese stock market over time.

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Section: Overview Of Several Crisis Eventsmentioning

confidence: 99%

A Comparative Study of Chinese and American Stock Markets in the Context of the COVID-19- A Comparative Analysis of Several Crises

Cai

2023

AEMPS

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“…Given the long history of the Dow Jones Industrial Average, other stock markets had not been established when certain financial crisis events occurred; thus, no data is available to analyze those events. 2, 19702, , to December 29, 19782, (2273January 3, 1984, to December 31, 1991(2022and January 3, 1995, to December 31, 2004(2519 (since the speculative Internet bubble was mainly related to small and medium-sized scientific and technological innovation enterprises, it is more appropriate to use the Nasdaq index than the Dow Jones Industrial Average). Since the stock price index shows a certain trend, and we want to analyze abrupt changes in the endogenous structure of the market before a crash, we first use the detrend function in MATLAB to remove the linear trend of the Dow Jones Industrial Average.…”

Section: Rqa Of Stock Market Bubbles and Crashesmentioning

confidence: 99%

Research on Monitoring Method of Stock Market Systematic Crash Based on Market Transaction Data

2023

Journal of Organizational and End User Computing

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Sharp rises and falls in stock prices have become increasingly frequent in recent years. Stock market crashes bring great risks to the stability of the securities markets. Using recurrence plot theory and a heuristic segmentation algorithm for detecting abrupt changes in nonlinear time series, this study investigates the problem of detecting abrupt endogenous structural changes before a stock market crash. Based on an analysis of crash events in 12 developed and 10 emerging countries and regions, the authors find the following: (1) The market laminar flow (LAM) value will fall greatly before a stock market crash; (2) the LAM sequence of the US stock market during the 2008 financial crisis presents a fractal-like self-similar structure, and blank bands appears in the recurrence plot, indicating a phase transition in the LAM sequence before the crash; and. (3) using a heuristic segmentation algorithm to detect abrupt changes in nonlinear time series, this study finds that before a crash, the endogenous structure of the market continuously experiences abnormal abrupt changes, and abnormal abrupt change time.

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“…The findings also demonstrate that investors overreact to other shocks that change stock values while underreacting to fundamental news. Ho et al (2022) look into how modern health pandemics affect a company's chance of a stock price fall. Early results suggest that pandemic crises reduce the likelihood of stock market crashes.…”

Section: Introductionmentioning

confidence: 99%

Impacts of U.S. Stock Market Crash on South African Top Sector Indices, Volatility, and Market Linkages: Evidence of Copula-Based BEKK-GARCH Models

Mudiangombe

Mwamba

2023

IJFS

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This paper examines the effects of the Standard and Poor’s 500 (SP500) stock index crash during the global financial crisis and the COVID-19 pandemic periods on the South African top sector indices (basic materials, consumer goods, consumer services, financials, healthcare, industrials, technology, and telecommunication). The results of a copula-based BEKK-GARCH approach technique demonstrate the existence of price and volatility spillover during times of stock crashes. We discover that during a stock crisis, strong shocks and higher volatility spillover effects from the United States (U.S.) SP500 index to the top sector indices of the South African Johannesburg Stock Exchange (JSE) markets are more significant. However, there is no integrated economy, as the results did not show any spillover effects from South Africa to U.S. markets. Furthermore, the Gumbel copulas have higher dependence parameters, implying that extreme co-movements occur in the upper tails, suggesting the possibility of a large transmission of shocks from the SP500 to the eight top sector indices of the JSE and showing an asymmetric dependence between these markets. This result is important for investors willing to invest in the South African sector of equity markets to develop hedging strategies to prevent risk spillover from developed markets.

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Modern health pandemic crises and stock price crash risk

Cited by 10 publications

References 61 publications

A Comparative Study of Chinese and American Stock Markets in the Context of the COVID-19- A Comparative Analysis of Several Crises

A Comparative Study of Chinese and American Stock Markets in the Context of the COVID-19- A Comparative Analysis of Several Crises

Research on Monitoring Method of Stock Market Systematic Crash Based on Market Transaction Data

Impacts of U.S. Stock Market Crash on South African Top Sector Indices, Volatility, and Market Linkages: Evidence of Copula-Based BEKK-GARCH Models

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