World capital markets facing the first wave of COVID-19: Traditional event study versus sensitivity to new cases

Angosto-Fernández, Pedro Luis; Ferrández-Serrano, Victoria

doi:10.18559/ebr.2022.4.2

Cited by 3 publications

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“…The increased uncertainty resulting from the pandemic has prompted researchers to investigate the effects of COVID-19 on different asset returns, risk parameters, and the overall economy. Several studies found a negative impact of these shocks on financial markets, stocks performance, global economy, and level of risk (Anh & Gan, 2020;Angosto-Fernández & Ferrández-Serrano, 2022;Aslam et al, 2020;Goodell, 2020;Zhang et al, 2020).…”

Section: Introductionmentioning

confidence: 99%

Examining the performance of Shari’ah‑compliant versus conventional stock indexes: A comparative analysis pre-, during, and post-COVID-19

Abu-Alkheil,

Alsharari,

Khan

et al. 2024

EBR

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This study aims to conduct an empirical comparative analysis of the performance of Shari’ah and conventional stock indexes during the period 2017–2023, which includes the COVID-19 pandemic. Additionally, it aims to investigate investors’ preferences and analyse the long-term relationship of these indexes, as well as exploring the potential diversification benefits. The research methodology incorporates stochastic dominance analysis, the VARMAX procedure, and Johansen’s co-integration approach. The data utilized consists of 31 conventional and 31 Islamic stock indexes, specifically from the FTSE, DJ, MSCI, and S&P series.The results show that there are no long-term co-integration links between 30 out of 31 pairs of Islamic and conventional indexes. While conventional indexes tend to outperform Islamic indexes, they also come with a higher risk. On the other hand, Islamic indexes are considered to be less risky, offering potential diversification opportunities that may be attractive for global portfolios, particularly during periods of financial distress.

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Section: Introductionmentioning

confidence: 99%

Examining the performance of Shari’ah‑compliant versus conventional stock indexes: A comparative analysis pre-, during, and post-COVID-19

Abu-Alkheil,

Alsharari,

Khan

et al. 2024

EBR

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Diverse investor reactions to the COVID-19 Pandemic: Insights from an emerging market

Neupane,

Fan,

Yanes Sanchez

et al. 2024

Journal of International Financial Markets, Institutions and Mo

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Market risk exposure determinants during the COVID-19 outbreak: between competitiveness and inequality

Angosto-Fernández,

Ferrández-Serrano

2024

IJOEM

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PurposeThe objective of this research is to identify the economic, demographic, sanitary and even cultural factors which explain the variability in the cross-section of returns in different markets globally during the first weeks after the outbreak of COVID-19.Design/methodology/approachBuilding on the event study methodology and using seemingly unrelated equations, the authors created several indicators on the impact of the pandemic in 75 different markets. Then, and using cross-sectional regressions robust to heteroscedasticity and using an algorithm to select independent variables from more than 30 factors, the authors determine which factors were behind the different stock market reactions to the pandemic.FindingsHigher currency depreciation, inflation, interest rate or government deficit led to higher returns, while higher life expectancy, ageing population, GDP per capita or health spending led to the opposite effect. However, the positive effect of competitiveness and the negative effect of income inequality stand out for their statistical and economic significance.Originality/valueThis research provides a global view of investors' reaction to an extreme and unique event. Using a sample of 75 capital markets and testing the relevance of more than 30 variables from all categories, it is, to the authors' knowledge, the largest and most ambitious study of its kind.

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World capital markets facing the first wave of COVID-19: Traditional event study versus sensitivity to new cases

Cited by 3 publications

References 0 publications

Examining the performance of Shari’ah‑compliant versus conventional stock indexes: A comparative analysis pre-, during, and post-COVID-19

Examining the performance of Shari’ah‑compliant versus conventional stock indexes: A comparative analysis pre-, during, and post-COVID-19

Diverse investor reactions to the COVID-19 Pandemic: Insights from an emerging market

Market risk exposure determinants during the COVID-19 outbreak: between competitiveness and inequality

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