Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets

Kinateder, Harald; Campbell, Ross; Choudhury, Tonmoy

doi:10.1016/j.frl.2021.101951

Cited by 181 publications

(145 citation statements)

References 24 publications

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“…More recently, Kinateder et al (2021) investigate the cross-asset safe-haven potential of the most popular asset markets, including commodities, sovereign bonds, and major currencies. Covering a sample of 100 days of the Covid-19 and GFC episodes, the authors witness the safe-haven potential of gold and sovereign bonds of the US, UK, and Germany.…”

Section: Literature Reviewmentioning

confidence: 99%

“…An immediate response was recorded on March 9, 2020, when global stock markets plunged to levels comparable to those seen after Lehman Brothers' collapse in 2008known as the global financial crisis (hereinafter GFC) (Baker et al, 2020). While some researchers study various dimensions of the COVID-19 pandemic Cheema et al, 2020;Corbet et al, 2020aCorbet et al, , 2020bSharif et al, 2020), others have begun comparing the pandemic and the GFC with specific objectives (Colombo & Lazzari, 2020;Gunay, 2021;Kinateder et al, 2021). Goodell (2020) and Yarovaya et al (2020), for instance, compare the social and economic costs of the quarantine measures with the costs of the GFC.…”

Section: Introductionmentioning

confidence: 99%

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Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets?

Arif

Naeem

Hasan

et al. 2021

Economic Research-Ekonomska Istraživanja

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This study draws a comparison between the Global Financial Crisis (GFC) and the COVID-19 pandemic crisis to assess the safehaven potential of Islamic stocks for G7 stock markets. We employ the cross-quantilogram framework of Han et al., which considers the non-linearity in the relationship, and thus captures the correlation between the Islamic and G7 stock markets across various quantiles reflecting different market conditions. The analysis also includes the time-varying cross-quantile correlation to observe the evolution of Islamic stocks' safe-haven potential. Our full sample analysis shows that Islamic stocks do not exhibit safe-haven properties for G7 stock markets. During the GFC period, Islamic stocks show some diversification benefits for the G7 stock markets. Notably, Islamic stocks emerged as a robust safe-haven asset for the G7 stock markets during the pandemic crisis. The study carries essential insights for equity investors and regulators of G7 and other countries to implement diversification/hedging strategies that would involve Islamic stocks to protect equity investments and the overall financial system amid the financial downturns.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets?

Arif

Naeem

Hasan

et al. 2021

Economic Research-Ekonomska Istraživanja

View full text Add to dashboard Cite

show abstract

“…The optimal hedge ratio increased significantly and in many cases was higher during the Covid-19 period. Kinateder et al (2021) stated that the significant degradation of mutual relations in the dominant asset class in the Covid-19 pandemic, as compared to past global financial crisis, had caused great fear among investors. The ensuing uncertainty has also resulted in gold and bonds to become safe choices for investment.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Recent studies that specifically and empirically examined the impact of Covid-19 on the financial and economic systems include Phan and Narayan (2020), Akhtaruzzaman, Boubaker, and Sensoy (2020), Kinateder, Campbell, and Choudhury (2021), and Hassan, Rabbani, and Abdulla (2021). Haroon and Rizvi (2020) focused on stock market liquidity while He, Sun, Zhang, and Li (2020) examined the impact of COVID-19 on different stock market sectors.…”

Section: Introductionmentioning

confidence: 99%

Pandemic Attack and Islamic Stocks Index: A Cross Country Analysis

Mubarok¹,

Arif²

2021

JEM

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The impact of Covid-19 has triggered the current global economic downturn affecting all aspects of the economy including the Islamic stock index. This study aims to determine the model for forecasting the index. The Islamic stock index is used in six countries through adopting the Autoregressive Conditional Heteroscedasticity -Generalized Autoregressive Conditional Heteroscedasticity (ARCH-GARCH) method on daily data over the period January 2020 to October 2020. The risk level of each index was found to be influenced by the residual value from the previous day. The forecasting revealed the tendency of all stock prices to decline. These are associated with impacts of the Covid-19 pandemic on current and future economic performance. Investors need to assess the sector's fundamentals and the individual stocks in question, that are potential winners with propensity to recover and grow well once the market rebounds. They also need to continuously track the development of the pandemic in tandem with the economic sector and thus make the necessary adjustments at every step of the investment process.

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“…They also recommended increasing public funds allocations to the health system, corporations, SME's, and individual financial support to secure jobs and avoid liquidity crunch and improve the trust level and the role of the Islamic finance institutions in the recovery of the economic shocks caused by the pandemic. Kinateder, et al (2021) examined the relationship between major assets classes among the Global Financial Crisis (GFC) and COVID-19. Due to its importance for investors to ensure better safeguards of their asset portfolio using safehavens.…”

Section: Literature Reviewmentioning

confidence: 99%

MCO in Malaysia: Consumer Confidence and Households’ Responses

2021

JEM

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This research attempts to analyze households' responses to Movement Control Orders (MCO) and assess the impact of MCO on consumer confidence based on the potential disproportionate impact on various income groups in Malaysia. Households' responses and consumer confidence are measured through an online survey to collect the targeted groups' financial situation and household information and expectations during MCO. A total of 660 respondents from all over Malaysia were involved in this study. Analysis of the MCO responses showed that households were able to comply with MCO rules with the highest positive response of 99.7%. In comparison, the households' responses to the implementation of MCO showed the highest negative response of 18.4%, with the majority represented by the B40 income category (65.2%). The consumer confidence present index is operating at six times higher than the expectation index, which indicates that the implementation of MCO in the short-run has a moderate impact on households' economic status than in the long-run involving the COVID-19 pandemic effect on the overall economy. According to the people's confidence to the government in the long-run, current political developments are essential to influence the people's confidence in the economy. The consumer confidence index gives an overview of two policies that need to be emphasized by the government. Based on the short-run status of food consumption, this study strongly recommends that the policymakers consider establishing a National Food Stockpile in light of the nation's food security and moving on to food-based agriculture that considers the targeted groups in the long-run.

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Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets

Cited by 181 publications

References 24 publications

Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets?

Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets?

Pandemic Attack and Islamic Stocks Index: A Cross Country Analysis

MCO in Malaysia: Consumer Confidence and Households’ Responses

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