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

Khalid, Noreen; Zafar, Raja Fawad; Syed, Qasim Raza; Bhowmik, Roni

doi:10.15408/etk.v20i2.20587

Cited by 10 publications

(10 citation statements)

References 47 publications

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“…, 2021), we employed a panel quantile regression model to estimate between market and SHA assets. The panel quantile regression method has advantages to examine the various responses of the dependent variable to changes in the independent variables using their various quantiles instead of focusing on the mean effect (Cepoi, 2020; Khalid et al. , 2021; Liu, 2020) and is more robust when outliers and fat tails exist (Huang et al.…”

Section: Methodsmentioning

confidence: 99%

“…Referring to prior works of safe haven studies (Jareño et al, 2020;Kang et al, 2020;Liu, 2020;Hasan et al, 2021;Mokni et al, 2021), we employed a panel quantile regression model to estimate between market and SHA assets. The panel quantile regression method has advantages to examine the various responses of the dependent variable to changes in the independent variables using their various quantiles instead of focusing on the mean effect (Cepoi, 2020;Khalid et al, 2021;Liu, 2020) and is more robust when outliers and fat tails exist (Huang et al, 2017;Jareño et al, 2020). Therefore, the underlying model of the panel quantile regression is:…”

Section: Quantile Regression For Panel Datamentioning

confidence: 99%

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Are gold and cryptocurrency a safe haven for stocks and bonds? Conventional vs Islamic markets during the COVID-19 pandemic

Widjaja

Gaby

Havidz

2023

EJMBE

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PurposeThis study aims to identify the ability of gold and cryptocurrency (Cryptocurrency Uncertainty Index (UCRY) Price) as safe haven assets (SHA) for stocks and bonds in both conventional (i.e. stock indices and government bonds) and Islamic markets (i.e. Islamic stock indices and Islamic bonds (IB)).Design/methodology/approachThe authors employed the nonadditive panel quantile regression model by Powell (2016). It measured the safe haven characteristics of gold and UCRY Price for stock indices, government bonds, Islamic stocks, and IB under gold circumstances and level of cryptocurrency uncertainty, respectively. The period spanned from 11 March 2020 to 31 December 2021.FindingsThis study discovered three findings, including: (1) gold is a strong safe haven for stocks and bonds in conventional and Islamic markets under bearish conditions; (2) UCRY Price is a strong safe haven for conventional stocks and bonds but only a weak safe haven for Islamic stocks under high crypto uncertainty; and (3) gold offers a safe haven in both emerging and developed countries, while UCRY Price provides a better safe haven in developed than in emerging countries.Practical implicationsGold always wins big for safe haven properties during unstable economy. It can also win over investors who consider shariah compliant products. Therefore, it should be included in an investor's portfolio. Meanwhile, cryptocurrencies are more common for developed countries. Thus, the governments and regulators of emerging countries need to provide more guidance around cryptocurrency so that the societies have better literacy. On top of that, the investors can consider crypto to mitigate risks but with limited safe haven functions.Originality/valueThe originality aspects of this study include: (1) four chosen assets from conventional and Islamic markets altogether (i.e. stock indices, government bonds, Islamic stock indices and IB); (2) indicator countries selected based on the most used and owned cryptocurrencies for the SHA study; and (3) the utilization of UCRY Price as a crypto indicator and a further examination of the SHA study toward four financial assets.

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Section: Methodsmentioning

confidence: 99%

Section: Quantile Regression For Panel Datamentioning

confidence: 99%

Are gold and cryptocurrency a safe haven for stocks and bonds? Conventional vs Islamic markets during the COVID-19 pandemic

Widjaja

Gaby

Havidz

2023

EJMBE

View full text Add to dashboard Cite

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“…The influence on stock prices can also be attributed to COVID-19 instances. Haryanto (2020) and Khalid et al (2021)…”

Section: Methodsmentioning

confidence: 99%

Islamic and Conventional Stocks’ Volatility: Evidence from the Three Waves of Covid-19 Pandemic

Alghifary¹,

Kadji²,

Hafizah³

2023

IJIEF

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This study aims to compare the performance of Islamic and conventional stocks’ performance amid a crisis. The performance is measured by analyzing the volatility of the Indonesian Sharia Stock Index (ISSI) and the Composite Stock Price Index (IHSG) IHSG during the Covid-19 pandemic. Based on the results of the different tests using the paired t-test and Wilcoxon rank test methods, it was concluded that the ISSI and IHSG experienced significant changes before and after discovering the first case of Covid-19 in Indonesia. Significant changes in both values are also found when the Delta variance spreads. Meanwhile, when the third wave occurred due to the presence of the Omicron variant, ISSI and IHSG were able to move more stable and did not experience significant shocks. Then, the estimation results of the GARCH model conclude that both Islamic stocks and conventional stocks have an immense volatility power with an identical value of 0.94 or close to 1. The volatility is also significantly influenced by the previous volatility and the squared error representing other previous events outside the model. The volatility that occurs in Islamic and conventional stocks is not much different, even though both stocks have different characters in the ratio of debt and income. Fundamental factors also cause this high volatility in the form of shocks in several macroeconomic variables, including the rupiah exchange rate, gold prices, and world oil prices. In addition, the contagion effect that occurred during the Covid-19 crisis also contributed to the spread of systemic risk in global stock indexes on stock volatility in Indonesia

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“…Based on the merits of PQR, we apply this methodology in this analysis. For a detailed discussion on the PQR approach, see the studies of Khalid et al (2021), Syed, Bhowmik, et al (2022) and Syed, Bouri, et al (2022).…”

Section: Methodsmentioning

confidence: 99%

Aging and carbon emissions in Asian economies: Policy recommendation from panel quantile regression

Syed,

Rahut

2023

Geological Journal

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Climate change due to global greenhouse gas emissions poses a severe threat, and energy sectors contribute about two‐thirds of the emissions. However, energy plays an important role in the well‐being of the aging population, which is increasing in Asian countries. Therefore, this study aims to discern how the male and female populations of different age groups affect carbon emissions in Asian economies. The findings from the panel quantile regression reveal that economic growth escalates emissions across all quantiles along with energy use. The female population in the 0–14 years age group reduces emissions at all quantiles, while the male population of the same age group enhances the emissions. However, the male and female population between 15 and 64 years increases carbon emissions across all Asian economies. Furthermore, the male population above 65 years is responsible for low emissions, while the female counterparts are responsible for high emissions. Finally, we offer a set of policy recommendations based on our findings. For instance, there is a need to educate the male population between 0 and 14 years on environmental degradation to encourage an environment‐friendly lifestyle. Also, policies should aim to persuade the 15–64 age group to use renewables, which can help mitigate CO2 emissions.

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

Cited by 10 publications

References 47 publications

Are gold and cryptocurrency a safe haven for stocks and bonds? Conventional vs Islamic markets during the COVID-19 pandemic

Are gold and cryptocurrency a safe haven for stocks and bonds? Conventional vs Islamic markets during the COVID-19 pandemic

Islamic and Conventional Stocks’ Volatility: Evidence from the Three Waves of Covid-19 Pandemic

Aging and carbon emissions in Asian economies: Policy recommendation from panel quantile regression

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