Systemic risk spillover across global and country stock markets during the COVID-19 pandemic

Abuzayed, Bana; Bouri, Elie; Al‐Fayoumi, Nedal; Jalkh, Naji

doi:10.1016/j.eap.2021.04.010

Cited by 156 publications

(88 citation statements)

References 41 publications

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“…To explore the selected financial time series, we will employ ARCH/GARCH models as in prior studies (Salisu and Ogbonna 2021;Abuzayed et al 2021;Bai et al 2021;Banerjee 2021;Bora and Basistha 2021;Curto and Serrasqueiro 2021;Czech et al 2020;Duttilo et al 2021;Fakhfekh et al 2021;Farid et al 2021 ARCH models were introduced by Engle (1982) and Generalized (GARCH) by Bollerslev (1986). A GARCH model allows conditional variation to be dependent on its previous lags.…”

Section: Quantitative Methodsmentioning

confidence: 99%

“…Figure 3 shows the evolution of the selected returns. Hence, there is acknowledged a phenomenon of "volatility clustering" and an alternation between periods of low volatility and those with high volatility, similar to Abuzayed et al (2021), Insaidoo et al (2021), Malik et al (2021), andYousfi et al (2021). Moreover, "volatility clustering" implies a strong autocorrelation of returns.…”

Section: Preliminary Statisticsmentioning

confidence: 99%

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COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach

Gherghina

Armeanu

Joldeș

2021

JRFM

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This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve companies traded on BSE. The quantitative investigation was performed using GARCH approach. In the survey, the GARCH model (1,1) was applied to explore the volatility of the BET and BSE traded shares. Conditional volatility for the daily return series showed noticeable evidence of volatility that shifts over the explored period. In the first quarter of 2020, the Romanian equity market volatility increased to a level very close to that recorded during the global financial crisis of 2007–2009. Over the next two quarters, volatility had a downward trend. Besides, after VAR estimation, no causal connection was found among the COVID-19 variables and the BET index.

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Section: Quantitative Methodsmentioning

confidence: 99%

Section: Preliminary Statisticsmentioning

confidence: 99%

COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach

Gherghina

Armeanu

Joldeș

2021

JRFM

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“…Padhan & Prabheesh (2021) emphasize one of the economic effects of COVID-19 and its adverse effect on stock market performance. The COVID-19 pandemic has negatively affected stock market returns (Padhan & Prabheesh, 2021;Salisu & Sikiru, 2020;Takyi & Bentum-Ennin, 2021), increased stock markets contagion (Abuzayed et al, 2021;Akhtaruzzaman et al, 2021), and raised stock market crash risk (Liu et al, 2021). While the majority of these studies examine the COVID-19-stock market nexus across trading regions and advanced stock markets, no study has analyzed the effect of COVID-19 on sectoral stock indices in India, whence we derive our contribution.…”

Section: Introductionmentioning

confidence: 99%

How COVID-19 Influences Indian Sectoral Stocks

Oliyide

Adetokunbo²,

Fasanya

2022

Asian Economics Letters

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Studies have documented the strong effect of the COVID-19 pandemic on different world economies. In this study, we examine the influence of COVID-19 cases in India on the country’s sectoral stock indices. Our results find that COVID-19 has had a negligible influence on the returns of these stocks; however, it causes them to fluctuate significantly. We provide insights for the government and local and international investors.

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“…Moreover, healthcare, technology, and real estate stock indices are found immune to these policies. Next, Abuzayed et al (2021) examine the systematic risk spillovers between global and selected countries' stock markets using DCC-GARCH models during the COVID-19 period. The findings reveal that the spillovers are profound during the COVID-19 pandemic.…”

Section: Introductionmentioning

confidence: 99%

The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model

et al. 2021

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The purpose of this study is to probe the impact of the novel coronavirus (COVID-19) outbreak on stock market returns and volatility in developed markets. We employ a panel quantile regression model to capture unobserved individual heterogeneity and distributional heterogeneity. The study's findings reveal that there is a heterogeneous impact of COVID-19 on stock market returns and volatility. More specifically, there is a negative impact of COVID-19 on stock returns in the bearish stock market; however, there is an insignificant impact of COVID-19 on stock returns in the bullish stock market. Furthermore, COVID-19 has a positive impact on stock market volatility across all quantiles.JEL Classification: G24, G30, O16How to Cite:Khalid, N., Zafar, R. F., Syed, Q. R., Bhowmik, R., & Jamil, M. (2021). The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model. Etikonomi, 20(2), xx – xx. https://doi.org/10.15408/etk.v20i2.20587.

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Systemic risk spillover across global and country stock markets during the COVID-19 pandemic

Cited by 156 publications

References 41 publications

COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach

COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach

How COVID-19 Influences Indian Sectoral Stocks

The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model

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