Searching for safe-haven assets during the COVID-19 pandemic

Ji, Qiang; Zhang, Dayong; Zhao, Yuqian

doi:10.1016/j.irfa.2020.101526

Cited by 492 publications

(214 citation statements)

References 37 publications

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“…Regarding the stringency of policy responses to the novel coronavirus pandemic worldwide, Zaremba et al (2020) demonstrate that non-pharmaceutical interventions significantly increase equity market volatility. Ji et al (2020) evaluate the safe-haven role of assets in the current COVID-19 pandemic (gold and soybean futures). Shifting away from traditional asset markets, Conlon and McGee (2020) show that a small allocation to Bitcoin substantially increases portfolio downside risk: cryptocurrencies move in lockstep with the S&P 500 as the crisis develops.…”

Section: Introductionmentioning

confidence: 99%

COVID-19 Pandemic and Financial Contagion

Chevallier

2020

JRFM

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The original contribution of this paper is to empirically document the contagion of the Covid-19 on financial markets. We merge databases from Johns Hopkins Coronavirus Center, Oxford-Man Institute Realized Library, NYU Volatility Lab, and St-Louis Federal Reserve Board. We deploy three types of models throughout our experiments: (i) the Susceptible-Infective-Removed (SIR) that predicts the infections’ peak on 2020-03-27; (ii) volatility (GARCH), correlation (DCC), and risk-management (Value-at-Risk (VaR)) models that relate how bears painted Wall Street red; and, (iii) data-science trees algorithms with forward prunning, mosaic plots, and Pythagorean forests that crunch the data on confirmed, deaths, and recovered Covid-19 cases and then tie them to high-frequency data for 31 stock markets.

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Section: Introductionmentioning

confidence: 99%

COVID-19 Pandemic and Financial Contagion

Chevallier

2020

JRFM

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“…Another research also shows that COVID-19 had incited reactions from the governments out of fear of the unknown and shows that government overreacts during the early stage of the pandemic, but as information comes in government will be able to correct their reactions, and what policies works best for each country differs from one to another (Phan & Narayan, 2020). During this COVID-19, investment assets also showed a decline, assets such as bitcoin suffered from a big negative return (Ali et al, 2020), while gold and soybean commodity seems to be the least volatile investment asset during this pandemic period (Ali et al, 2020;Ji, Zhang, & Zhao, 2020). It is also found that emerging stock markets are more vulnerable towards uncertainty off pandemic and epidemic compared to developed stock markets as developed stock markets provides better hedging measures (Salisu et al, 2020).…”

Section: Covid-19 Studiesmentioning

confidence: 99%

Effect of Governmental Announcement and Decisions During Covid-19 on Indonesian Sectoral Indexes

Adriatama

Rahadi

2021

jmk

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Global economy is suffering from a crisis due to COVID-19, during few months after the virus had begun to spread stock prices had been falling drastically all over the world. This paper aim to analyze what is happening to the stock market in Indonesia during the period of COVID-19 pandemic. The analysis will be done by looking at the historical data of several composite index from different sectors during the period of pandemic. We will take notes of important dates during this pandemic such as: first confirmed case, first death, work-from-home policy date, and other dates, to see whether these events can affect the index price during this pandemic by analyzing abnormal return on a certain period near those dates.

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“…One of the most visual effects of the pandemic was deep decline of prices of many commodities -for example price of barrel of crude oil plunged from over 65 at the beginning of the year to less than 20 USD in mid-April -much lower than in the economic crisis [2007][2008][2009] (Ji, Zhang and Zhao, 2020). Also prices of other commodities -agricultural products (like grains, edible oils, beverages, fertilisers), metals (copper, aluminium, and even precious metals, except for gold) noted signi cant drop during spreading of the COVID-19 disease (World Bank, 2020).…”

Section: Literature Reviewmentioning

confidence: 99%

Survival analysis in assessment of influence of the SARS-CoV-2 pandemic on probability and intensity of decline in the value of stock indices

Bieszk‐Stolorz

Dmytrów

2020

Preprint

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The aim of the study is to assess the strength of the world stock exchanges reaction to the SARS-CoV-2 coronavirus pandemic at the turn of 2019-2020. The risk and intensity of the decline in the values of the basic stock indices were analysed. The spreading pandemic within a few months covered all continents and had a significant impact on the socio-economic situation of all countries. The study used methods of duration analysis. The time of the 20% drop in stock market indices was studied. This is a value that is taken as a sign of crisis. Kaplan-Meier's estimator was used to assess the probability of indices' value decrease. The risk of decline was determined by means of a logit model and the intensity of the decline was determined by means of an empirical hazard estimator and a Cox proportional hazard model. The intensity and risk of decline of stock indices varied from continent to continent. The intensity was highest in the fourth and eighth week after the peak and was highest on European exchanges and then American and Asian exchanges (including Australia). The risk of falling stock indices was highest in America, followed by Europe, Asia and Australia, and lowest in Africa. Half of the analysed indices recorded a 20-percent drop in value after 52 days (median duration). The study is a prelude to further analyses related to the crisis and the normalisation of the situation on world stock exchanges. It allows to learn about the impact of the pandemic on the economic situation and to detect differences between the continents. The methods from the survival analysis are used in the study to assess the impact of the pandemic on the intensity and risk of decline in stock exchange indices.

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Searching for safe-haven assets during the COVID-19 pandemic

Cited by 492 publications

References 37 publications

COVID-19 Pandemic and Financial Contagion

COVID-19 Pandemic and Financial Contagion

Effect of Governmental Announcement and Decisions During Covid-19 on Indonesian Sectoral Indexes

Survival analysis in assessment of influence of the SARS-CoV-2 pandemic on probability and intensity of decline in the value of stock indices

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