The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis

Díaz, Antonio; Esparcia, Carlos

doi:10.1016/j.eap.2022.05.001

Cited by 37 publications

(6 citation statements)

References 68 publications

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“…Some studies have focused on measuring downside risk across equity markets using measures such as Value at Risk (VaR) [22] . Others use ratios such as the Omega index [23] or Kappa indices [24] to assess downside risk in equity investments.…”

Section: Literature Reviewmentioning

confidence: 99%

“…In this context of uncertainty, much of the financial literature is eagerly searching for so-called safe havens and hedging assets to mitigate the large losses caused by the global economic instability resulting from the pandemic. Many of these studies suggest the use of left-tailed performance measures to make refined and accurate choices of these safe haven securities [24] , [25] . Most studies conducted after the COVID-19 outbreak provide significant evidence that commodities, such as gold, have good hedging and safe haven properties [25] .…”

Section: Literature Reviewmentioning

confidence: 99%

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Outperformance of the pharmaceutical sector during the COVID-19 pandemic: Global time-varying screening rule development

Esparcia

García²

2022

Information Sciences

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Outperformance of the pharmaceutical sector during the COVID-19 pandemic: Global time-varying screening rule development

Esparcia

García²

2022

Information Sciences

Self Cite

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“…Signals are refined in time and frequency by WT [25,26], and WE is used as the quantitative evaluation standard for local analysis at each resolution. WE (L) is define as shown in Equation (2).…”

Section: Wavelet Entropymentioning

confidence: 99%

“…On February 11, 2020, the Director-General of the World Health Organization, Tedros Adhanom Ghebreyesus, announced in Geneva, Switzerland, that the pneumonia caused by the novel coronavirus was named "COVID-19" [1]. On March 11, the World Health Organization considered the current COVID-19 outbreak to be called a global pandemic [2]. As of 20:11 CEST on May 23, there have been 52,278,3196 confirmed cases of novel coronary pneumonia in the world and 6,276,210 deaths.…”

Section: Introductionmentioning

confidence: 99%

COVID-19 Diagnosis by Wavelet Entropy and Extreme Learning Machine

Han

Wang

2022

EAI Endorsed Trans e-Learn

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In recent years, COVID-19 has spread rapidly among humans. Chest CT is an effective means of diagnosing COVID-19. However, the diagnosis of CT images still depends on the doctor's visual judgment and medical experience. This takes a certain amount of time and may lead to misjudgment. In this paper, a new algorithm for automatic diagnosis of COVID-19 based on chest CT image data was proposed. The algorithm comprehensively uses WE to extract image features, uses ELM for training, and finally passes k-fold CV validation. After evaluating and detecting performance on 296 chest CT images, our proposed method is superior to state-of-the-art approaches in terms of sensitivity, specificity, precision, accuracy, F1, MCC and FMI.

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“…The investment risk could be seen in the capital market's volatility. During the financial instability due to the COVID-19 pandemic, investors need information and analysis to holistically evaluate various portfolio diversification strategies to help them minimize potential risks and improve their overall performance (Díaz et al, 2022). The integration of capital market movement between developing and developed countries is relatively low in normal conditions but may increase during the crisis (Wang & Guo, 2020).…”

Section: Introductionmentioning

confidence: 99%

The Corelation of Pandemic and Indonesia Presidency of G20 in The Capital Market G20 Member Countries

Benita¹

2022

JISDeP

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The correlation between the capital market of G20 member countries is important to analyze.Depending on a country’s economy, capital market integration may have different effects. A more intensebilateral relationship (trade intensity) can significantly affect the movement of capital market sharesbetween countries. The current research used the Multivariate GARCH Model/DCC-GARCH method. Thecondition of capital market integration before the Indonesian G20 Presidency showed that Indonesia(JKSE) had the strongest integration with Australia (ASX) (0.563814) and South Korea (KOSPI) (0.542470).After the G20 presidency, Indonesia (JKSE) had the strongest capital market integration with India (NSE)(0.507229) and the USA (NYSE). It was also found that China (SSE) had an integration with South Korea(KOSPI), while Germany (DAX) and Australia (ASX) had an integration with the UK (FTSE100). Theconclusion is that the higher autocorrelation, the higher the effect of the volatility of stock marketmovements in the two countries involved. Furthermore, capital market integration can be influenced bygeospatial and economic relations.

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The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis

Cited by 37 publications

References 68 publications

Outperformance of the pharmaceutical sector during the COVID-19 pandemic: Global time-varying screening rule development

Outperformance of the pharmaceutical sector during the COVID-19 pandemic: Global time-varying screening rule development

COVID-19 Diagnosis by Wavelet Entropy and Extreme Learning Machine

The Corelation of Pandemic and Indonesia Presidency of G20 in The Capital Market G20 Member Countries

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