A Coronavirus Outbreak and Sector Stock Returns: The Tale from The First Ten Weeks of 2020

Nguyen, Khoa Huu

doi:10.2139/ssrn.3559907

Cited by 13 publications

(15 citation statements)

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“…Hence, Xiong, Wu, Hou and Zhang [ 9 ] evidenced that companies belonging to sectors that are exposed to the pandemic have significantly lower cumulative abnormal returns, but enterprises with good financial conditions endure less opposing effect of the disease. Nguyen [ 80 ] established that energy segment experienced the utmost abnormal negative returns amid all sectors. Fallahgoul [ 81 ] established that the financial segment is the most doubtful, whereas health is the most hopeful over the COVID-19 pandemic.…”

Section: Related Literaturementioning

confidence: 99%

Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis

Gherghina

Armeanu

Joldeș

2020

IJERPH

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This paper examines the linkages in financial markets during coronavirus disease 2019 (COVID-19) pandemic outbreak. For this purpose, daily stock market returns were used over the period of December 31, 2019–April 20, 2020 for the following economies: USA, Spain, Italy, France, Germany, UK, China, and Romania. The study applied the autoregressive distributed lag (ARDL) model to explore whether the Romanian stock market is impacted by the crisis generated by novel coronavirus. Granger causality was employed to investigate the causalities among COVID-19 and stock market returns, as well as between pandemic measures and several commodities. The outcomes of the ARDL approach failed to find evidence towards the impact of Chinese COVID-19 records on the Romanian financial market, neither in the short-term, nor in the long-term. On the other hand, our quantitative approach reveals a negative effect of the new deaths’ cases from Italy on the 10-year Romanian bond yield both in the short-run and long-run. The econometric research provide evidence that Romanian 10-year government bond is more sensitive to the news related to COVID-19 than the index of the Bucharest Stock Exchange. Granger causality analysis reveals causal associations between selected stock market returns and Philadelphia Gold/Silver Index.

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Section: Related Literaturementioning

confidence: 99%

Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis

Gherghina

Armeanu

Joldeș

2020

IJERPH

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“…Jackwerth (2020) uses option pricing on the S&P 500 index to estimate the risk-neutral density of the future index values that reveals concerns about potential market crash expectations during COVID-19 and other pandemics. Similarly, Ramelli and Wagner (2020) and Nguyen (2020) find that only a few stocks with strong exposure to China were affected during the early stage of the pandemic. Investors only realized belatedly the contagion effect to other stocks in the S&P 500 (Hanke et al 2020).…”

Section: Introductionmentioning

confidence: 94%

Option Pricing, Zero Lower Bound, and COVID-19

Morelli

Petrella

2021

Risks

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This paper provides a quantitative assessment of equity options priced at the Zero Lower Bound, i.e., when interest rates are set essentially to zero. We obtain closed form formulas for American options when the Zero Lower Bound policy holds. We perform numerical implementation of American put options written on the stock Federal National Mortgage Association (FNMA) and of related bounds for the optimal exercise. The results show similarities with the corresponding European options priced at the Zero Lower Bound during the COVID-19 crisis.

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“…Many scientists have studied the global economy and business using the Baltic Exchange Dry Index (BDI) and Structural Vector Auto Regressive (S-VAR) model. Furthermore, the Gross Domestic Product (GDP), Stock exchange studies, health, trade, travel, agriculture, industry, and various types of the market have been studied (Yilmazkuday 2020;Albulescu 2020;Nguyen 2020).…”

Section: Business and Economymentioning

confidence: 99%

“…Stock returns of 10 countries were analyzed in the first 10 weeks of 2020 (Nguyen 2020). Among the 11 sectors that were studied, Communication Services, Consumer Staples, Health Care, Information Technology, and Utilities were found to be going comparatively better than remaining sectors in all countries excluding Japan, the United States of America, and Italy.…”

Section: Covid 19 -Economy and Businessmentioning

confidence: 99%

“…The COVID-19 outbreak not only impacts the socioeconomic factors but it is also affecting the global economy and GDP. Studies have been conducted to evaluate the effect of the pandemic on businesses, and similar studies are required to estimate the effect on airlines, machinery industries, and sub-division associated with the industrial sectors (Nguyen 2020). Macroeconomic policies are required to implement in developing countries to support public services and economics (Loayza and Pennings 2020).…”

Section: Requirement Of Cooperation Of All Stakeholders For Effective Implementation Of Business Policiesmentioning

confidence: 99%

See 1 more Smart Citation

Coronavirus Pandemic (COVID-19): A Survey of Analysis, Modeling and Recommendations

Amjad¹,

Daud²,

Hayat³

et al. 2020

Preprint

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COVID-19 has created anxiety not only in individuals but also in health organizations, and countries worldwide. Not a single industry is left un-influenced and loss is being estimated in billions of dollars. The widespread of this pandemic disease has challenged researchers all over the world. Some of the researchers are working to invent its cure while, others are applying computing technologies to stop its spread, by analyzing and identifying patterns for prediction and forecasting. This is by no doubt the hottest area of research for the last 100 years. This survey has targeted the research published in computing sub-domains to combat the pandemic. The survey has clustered the scientific efforts into logical groups: surveillance, metrological effects, social media analytics, image processing and business and economy, analysis and modeling. It will serve as a leading source for the followings: researchers who want to identify what has been achieved in different computing sub-domains, those who need fresh authenticated datasets openly accessible for different research contexts and what are future directions in this area of research. The findings of analysis and modeling can be also useful for government agencies who want to set priorities and formulate policies.

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A Coronavirus Outbreak and Sector Stock Returns: The Tale from The First Ten Weeks of 2020

Cited by 13 publications

References 0 publications

Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis

Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis

Option Pricing, Zero Lower Bound, and COVID-19

Coronavirus Pandemic (COVID-19): A Survey of Analysis, Modeling and Recommendations

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