COVID‐19 and market risk: An assessment of the G‐20 nations

Abstract

The study has attempted to study the impact of COVID‐19 on downside stock market risk in the G‐20 nations using Vaue‐at‐Risk models. The findings of the study suggest that all the G‐20 nations have experienced very high level of risk during Global Financial Crisis and COVID‐19 as all the countries’ stock markets are critical during these two periods, but the magnitude of risk is found to be highest during COVID‐19 period compared to other regimes in most of the countries. However, one shocking revelation is that China is found to be on safe zone having very less market risk, whereas all other countries are found to be critical.

A description of the COVID-19 outbreak role in financial risk forecasting

“…This variation is not valid for EL for the reasons previously mentioned. We also realized, as well as verified by Rout et al (2020) , that the pandemic shocks affected the countries differently. We observe that only Argentina, China, Romania, Saudi Arabia, and Turkey have the highest mean risk registered in sub-sample 1 (for all risk measures considered).…”

“…The VIX index recorded its all-time high on March 16, 2020 ( Wagner, 2020 ), and the volatility of the S&P 500 in March 2020 was the third-highest since 1900 ( Baker et al, 2020 ). The stock market collapse due to the pandemic is already similar to that faced during the Subprime crisis ( Rout, Das, & Inamdar, 2020 ). It is undoubtedly the biggest due to infectious diseases ( Baker et al, 2020 , Velde, 2020 ).…”

The impacts of the Covid-19 pandemic, policy responses and macroeconomic fundamentals on market risks across sectors in Vietnam

“…In addition, Rout et al [ 10 ] employ VaR and CVaR to measure the national stock market risks across 20 countries (G20) for the 1998–2020 period. The research period is divided into four regimes covering (i) the Asian financial crisis, (ii) the internet bubble bursting, (iii) the GFC, and (iv) the Covid-19 pandemic.…”

“…Typical models in previous studies include the Maximum Loss [2], Expected Shortfall [3], Value-at-Risk [4][5][6], and Conditional Value-at-Risk [7,8]. Generally, the Value-at-Risk (VaR) and the Conditional Value-at-Risk (CVaR) are the most widely used risk measurements to observe risk movements in specified markets, such as the stock markets [3,[9][10][11], commodity market [12], as well as foreign exchange and cryptocurrency market [6]. Previous studies have focused exclusively on the market risk of industries in Australia [13], Europe [14], and ASEAN members [8] for the pre-and post-GFC period.…”

Impact of COVID-19 on Expected Return and Risks in “China Concept” Stocks Using CAPM Model: A Case Study of Alibaba and Haidilao

“…As for the specific factors leading to higher risks during the COVID-19, one major factor is the macro policies carried out by the governments. Rout demonstrates that due to the lockdown policies, rising unemployment, reduced production, the risk is high in the market [10]. Later, Ftiti narrows down his research to China stock market and finds the non-fundamental news including health news announcing the matters of the sanitation system and the lockdown policies have increased the volatility in the market [11].…”