The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets

Zaremba, Adam; Kizys, Renatas; Tzouvanas, Panagiotis; Aharon, David Y.; Demir, Ender

doi:10.1016/j.intfin.2021.101284

Cited by 78 publications

(59 citation statements)

References 194 publications

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“…In respect of the state of art relative to academic research on diverse financial and economic consequences of the pandemic, including design and implementation of policies facilitating recovery from the Covid-triggered slowdown, it is worth acknowledging that the respective literature has recently grown with a rapid pace ( [13][14][15][16][17][18][19][20]; and references therein). However, a major part of academic publications addressing the reaction of financial markets to the pandemic is mostly focused on the stock market impacts ( [3,5,8,9,21,22]; among others), commodities ( [23][24][25][26][27]; among others), currencies and crypto-currencies [28][29][30][31]. However, it is worth noting that the sovereign and corporate debt markets are barely addressed.…”

Section: Covid-19 Impact On Financial Marketsmentioning

confidence: 99%

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The impact of the Covid-19 related media coverage upon the five major developing markets

2021

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This paper analyses the influence of the Covid-19 coverage by the social media upon the shape of the sovereign yield curves of the five major developing countries, namely Federative Republic of B razil, Russian Federation, Republic of India, People’s Republic of China, and the Republic of South Africa (BRICS). The coherenc e between the level, slope, and the curvature of the sovereign yield term structures and the Covid-19 medi a coverage is found to vary between low and high ranges, depending on the phases of the pandemic. The empirical estimations of the yield-curve factors a re performed by means of the Diebold–Li modified version of the Nelson–Siegel model. The intervals of low coherence reveal the capacity of the two latent factors, level and slope, to be used for creating cross-factor diversification strategies, workable under crisis conditions, as evidenced on the example of the ongoing pandemic. Diverse coherence patterns are reported on a per-country basis, highlighting a promising potential of sovereign debt investments for designing cross-country and cross-factor fixed-income strategies, capable of hedging downside risks.

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Section: Covid-19 Impact On Financial Marketsmentioning

confidence: 99%

“…The ongoing global coronavirus outbreak triggered an unprecedented financial and economic crisis, bringing tremendous uncertainty to all sides of human life [1][2][3][4]. Many developing and developed states have drastically restricted people´s mobility aiming to contain further advancement in the virus propagation.…”

Section: Introductionmentioning

confidence: 99%

The impact of the Covid-19 related media coverage upon the five major developing markets

2021

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“…But this phenomenon contradicted the conditions of developed stock markets such as the US, where the COVID-19 pandemic affected the markets significantly (Chowdhury and Zoynulabedin, 2020). In their paper on multidimensional financial immunity to the COVID-19 pandemic, Zaremba et al (2020) found that markets in countries with low unemployment rates performed better during the crisis than those with high unemployment. These pieces of evidence are preliminary insights into the nature of the responses of the global equity markets to the COVID-19 crisis.…”

Section: Introductionmentioning

confidence: 97%

Islamic equities and COVID-19 pandemic: measuring Islamic stock indices correlation and volatility in period of crisis

Abdullahi

2021

IES

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PurposeThe purpose of the study is to measure cross-country stock market correlation and volatility transmission during the global coronavirus disease 2019 (COVID-19) pandemic. The paper traces trajectory of Islamic equity investments in order to get insights on the behavior of the markets during the crisis.Design/methodology/approachThe paper uses generalized method of moments (GMM), autoregressive distributed lag (ARDL) and multivariate GARCH (MGARCH) models for analysis of dynamic causality, stock market cointegration, correlation and volatility transmission between Islamic stock indices.FindingsThe result of normal correlation analysis on the share indices show the markets move together. The result of ARDL cointegration test shows the markets returns are cointegrated as a group. To further make sense of the data; the indices were grouped into four different categories, then cointegration tests were conducted. The results of the analysis show that the subgroups are cointegrated except the low COVID-19 subgroup. Based on MGARCH findings, the possibility of volatility transmission between markets during the crisis is high. The market returns indices show the usual herd mentality common during the period of crisis.Originality/valueUnlike other works in this area, this paper attempt to trace the trajectory of Islamic equity investment in order to get relevant insights and arrives at appropriate ways of responding to the crisis.

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“…Even though output losses of the current crisis are already the subject of numerous papers ( Baker et al, 2020 , Maliszewska et al, 2020 , Makridis and Hartley, 2020 , Yang et al, 2020 ), the effects on the banking sector have not been examined thoroughly. In addition, most researchers focus on the immediate losses ( Elnahass et al, 2021 , Zaremba et al, 2021 ), while we focus on the next day and the policies that should be implemented to restore economic systems back on a positive track. We postulate that commonly suggested policies, such as demand or supply stimuli (OEAD, 2020), carry a significant burden to public finances and suggest that authorities should loosen regulatory capital requirements for banks.…”

Section: Literature Reviewmentioning

confidence: 99%

Economic stimulus through bank regulation: Government responses to the COVID-19 crisis

Polyzos

Samitas

Kampouris

2021

Journal of International Financial Markets, Institutions and Mo

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In this paper, we estimate the effects of the COVID-19 pandemic on the banking system and the real economy and simulate potential policy responses. We combine machine learning algorithms, namely a Random Regression Forest and a Long Short Term Memory neural network, with an agent-based framework to calculate the expected results of the pandemic, according to different scenarios regarding financial stability. We then simulate government responses to this crisis and find that traditional demand and supply stimuli are outperformed by our suggestion of relaxing bank regulation. We examine two alternatives of our suggested policy and find that they result in optimised outcomes for most variables examined. Our findings have important policy implications as authorities are formulating post-crisis recovery plans amidst budgetary constraints.

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The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets

Cited by 78 publications

References 194 publications

The impact of the Covid-19 related media coverage upon the five major developing markets

The impact of the Covid-19 related media coverage upon the five major developing markets

Islamic equities and COVID-19 pandemic: measuring Islamic stock indices correlation and volatility in period of crisis

Economic stimulus through bank regulation: Government responses to the COVID-19 crisis

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