Volatility Modeling: An Overview of Equity Markets in the Euro Area During COVID-19 Pandemic

Duttilo, Pierdomenico; Gattone, Stefano Antonio; Battista, Tonio Di

doi:10.20944/preprints202103.0628.v1

Cited by 8 publications

(2 citation statements)

References 16 publications

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“…In addition, the results illustrate a mean reversion process on all markets over a specified period. Furthermore, Duttilo et al [24] investigated the impact of the first and second waves of COVID-19 outbreaks on European stock market volatility. The risk premium and leverage effect are evaluated using a threshold GARCH (1 1)-in-Mean model.…”

Section: Review Of Literaturementioning

confidence: 99%

Risk-Return Trade-off and Volatility Characteristics in the Indian Stock Market

Tamilselvan¹,

Srinivasan²,

Kumar³

et al. 2022

TEM Journal

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The study examines the volatility characteristics of Indian stock markets and their tradeoff between the risk and return. It finds a positive but insignificant association between the risk and returns during the subsample (the pre-COVID and COVID pandemic outbreak) and whole sample periods. The study also shows that the weak form of Indian stock markets is not sustainable. Consistent with the GARCH literature, persistent and asymmetric effects are evidenced, and the magnitude of the negative shocks has a larger immediate impact than the positive shocks. These results would help measure the volatility in the Indian stock markets and provide investors and regulators with necessary information about the market efficiency, persistency (long-memory process) and asymmetric effects.

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Section: Review Of Literaturementioning

confidence: 99%

Risk-Return Trade-off and Volatility Characteristics in the Indian Stock Market

Tamilselvan¹,

Srinivasan²,

Kumar³

et al. 2022

TEM Journal

View full text Add to dashboard Cite

show abstract

“…Volatility is a pivotal metric for comprehending the complexity of financial markets. In the context of stocks, it presents the level of variability in the stock prices over time and has the functions as an indicator of risk and return uncertainty in investments (Duttilo et al, 2021). High volatility stocks are considered riskier as they have the potential to experience significant price fluctuations in a short period, while low volatility stocks tend to have more stable price movements (Chaudhary et al, 2020).…”

Section: Introduction *mentioning

confidence: 99%

The Influence of Environmental, Social, Governance, and Corporates Scandals on the Stock Volatility

Wahyudyatmika,

Astuti

2024

Quant. Econ. Manag. Stud.

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The volatility of stocks is influenced by various factors, both internal andexternal to the company. This research aims to determine whether there is a relationship between Environmental, Social, Governance (ESG) performance and corporate controversies on stock volatility. The sample used in this study consists of companies listed on the Indonesia Stock Exchange for the period 2018—2022 and have an ESG rating from The London Stock Exchange Group (LSEG). Based on the analysis conducted, it is concluded that environmental performance negatively affects stock volatility, while social performance, governance performance, and corporate controversies do not have an impact on stock volatility.

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Stock Market Reactions during Different Phases of the COVID-19 Pandemic: Cases of Italy and Spain

Keliuotytė-Staniulėnienė¹,

Kviklis²

2021

Economies

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The COVID-19 pandemic and pandemic-induced lockdowns and quarantine establishments have inevitably affected individuals, businesses, and governments. At the same time, the spread of the COVID-19 pandemic had a dramatic impact on financial markets all over the world and caused an increased level of uncertainty; the stock markets were no exception either. Most of the studies on the impact of the COVID-19 pandemic on stock markets are based either on the analysis of a relatively short period (the beginning of pandemic) or a longer period, which, in turn, is very heterogeneous in terms of both the information available on the COVID-19 virus and the measures taken to contain the virus and address the consequences of the pandemic. However, it is very important to assess the impact not only at the beginning of the pandemic but also in the subsequent periods and to compare the nature of this impact; the studies of this type are still fragmentary. Therefore, this research aims to investigate the impact of the COVID-19 pandemic on stock markets of two of the most severely affected European countries—Italy and Spain. To reach the aim of the research OLS regression models, heteroscedasticity-corrected models, GARCH (1,1) models, and VAR-based impulse response functions are employed. The results reveal that the stock market reaction to the spread of the COVID-19 pandemic differs depending on the country and period analyzed: OLS regression and heteroscedasticity-corrected models have not revealed the statistically significant impact of the spread of the COVID-19 pandemic, while impulse response functions demonstrated the non-zero primary response of analyzed markets to the COVID-19 shock, and GARCH models (in the case of Spain) confirmed that the COVID-19 pandemic increased the volatility of stock market return. This research contributes to the literature by providing a comprehensive impact assessment both during the whole pre-vaccination period of the pandemic and during different stages of this period.

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Volatility Modeling: An Overview of Equity Markets in the Euro Area During COVID-19 Pandemic

Cited by 8 publications

References 16 publications

Risk-Return Trade-off and Volatility Characteristics in the Indian Stock Market

Risk-Return Trade-off and Volatility Characteristics in the Indian Stock Market

The Influence of Environmental, Social, Governance, and Corporates Scandals on the Stock Volatility

Stock Market Reactions during Different Phases of the COVID-19 Pandemic: Cases of Italy and Spain

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