This study focuses on the relation between stock price returns and oil price returns covering the COVID-19 period. This relation is examined for major net oil-importing Asian countries. Utilizing daily data, we fit a DCC-GARCH model. We find evidence of a positive co-movement between oil price returns and stock price returns during the COVID-19 period. This indicates that falling oil prices act as a negative signal for the stock market.Other recent studies related to COVID-19 and its impact on various economic factors include
This paper suggests a new agenda for constructing early warning models (EWMs) toenhance their effectiveness in predicting financial crises. The central argument of thenew agenda aims to eradicate the weaknesses of existing EWMs, since their failure topredict the global financial crisis of 2007–2008 demonstrates the need to improve theirefficiency. We document the history of EWMs and propose a new agenda as follows:1) the accurate measurement of a financial crisis, 2) implementation of a fourthgenerationcrisis model to capture the dynamic nature of the financial crisis, and 3) theinclusion of interconnectedness/contagion variables as explanatory variables for thefinancial crisis.
This paper examines the Feldstein-Horioka (FH) hypothesis for India using the non-linear autoregressive distributed lag model and the Hatemi-J asymmetric causality test. The empirical findings show: (1) the validity of the FH puzzle for the Indian economy, which implies the presence of imperfect capital mobility; (2) that positive (negative) saving causes positive (negative) investment; and (3) negative (positive) saving does not cause positive (negative) investment.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.