Capped borrower credit risk and insurer hedging during the COVID-19 outbreak

Chen, Shi; Yang, Yang; Lin, Jyh Horng

doi:10.1016/j.frl.2020.101744

Cited by 10 publications

(5 citation statements)

References 8 publications

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“…* Research provides suggestion on optimal lockdown policy and vaccine value estimation during vaccination rollout. (4) Capped borrower credit risk and insurer hedging during the COVID-19 outbreak Chen et al. (2020) * A life insurer capped by the borrower's credit risk and COVID-19 outbreak is modeled.…”

Section: Summary Of Research Findings By Areamentioning

confidence: 99%

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COVID-19 and the Economy: Summary of research and future directions

Iyer

Simkins

2022

Finance Research Letters

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Section: Summary Of Research Findings By Areamentioning

confidence: 99%

“…The extent of dividend reductions was much higher in the COVID crisis than the financial crisis of 2008. Payout reductions and cash build up are likely to signal efficiently operating firms Chen et al. (2020) .…”

Section: Summary Of Research Findings By Areamentioning

confidence: 99%

COVID-19 and the Economy: Summary of research and future directions

Iyer

Simkins

2022

Finance Research Letters

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“…The COVID-19 pandemic did not only affect the health sector, but it also eroded the global economy, including Indonesia (Baig et al, 2020), (Chen et al, 2020), (Just and Echaust, 2020), (Ortmann et al, 2020), (Singh, 2020). It affected the exchange rate, as well as caused a decline in the Composite Stock Price Index (IHSG), which eventually went into freefall (Figure 2).…”

Section: Introductionmentioning

confidence: 99%

Impact of Oil Prices and Stock Returns: Evidence of Oil and Gas Mining Companies in Indonesia During the Covid-19 Period

Supriyanto

Suripto²,

Sugiono³

et al. 2021

IJEEP

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This study points to analyze the determinants of stock return revelation in oil and gas mining division companies recorded on the Indonesia Stock Trade-in 2019-2021 amid the Covid 19 emergency. The think about utilized the Eviews Program as information preparing and the irregular impact relapse show was chosen to look at the relationship between outside and inside markers as autonomous factors counting Current Ratio (CR), debt to equity ratio (DER), total asset turnover (TATO), return on assets (ROA), oil price (WTI), an exchange rate (FOREX), institutional ownership (IO). The comes about appeared that the current proportion, obligation to value ratio, and add up to resource turnover did not influence stock returns. Return on resources, exchange rates, and institutional ownership has a negative and significant impact on stock returns, while oil prices have a positive and widespread effect on stock returns.

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“…The COVID-19 pandemic did not only affect the health sector, it also eroded the global economy, including Indonesia (Baig et al, 2020), (Chen et al, 2020), (Just and Echaust, 2020), (Ortmann et al, 2020), (Singh, 2020). It affected the exchange rate, as well as caused a decline in the Composite Stock Price Index (IHSG), which eventually went into freefall.…”

Section: Introductionmentioning

confidence: 99%

The Effect of the Covid-19 Pandemic on Stock Prices With the Event Window Approach: A Case Study of State Gas Companies, in the Energy Sector

Suripto

Supriyanto²

2021

IJEEP

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Stock price data at State Gas Company is defined as the time-series data comprising varying volatility and heteroscedasticity. One of the best models used to solve the problem of heteroscedasticity is the GARCH (generalized autoregressive conditional heteroscedasticity) model. Therefore, this study aims to build the most suitable model for predicting the 186 days before and 176 days after the Covid-19 pandemic, as well as to provide recommendations to reduce the impact of daily stock price movements. Data were obtained by examining the daily stock price data in Indonesian National Gas Companies from 2019 to 2020. The study also discusses the Event Window, with the best model identified as AR (1) -GARCH (1,1). The result showed that an error of less than 0.0015 is AR (1) -GARCH (1,1), provided the best model for price forecasting of Indonesian National Gas Companies.

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Capped borrower credit risk and insurer hedging during the COVID-19 outbreak

Cited by 10 publications

References 8 publications

COVID-19 and the Economy: Summary of research and future directions

COVID-19 and the Economy: Summary of research and future directions

Impact of Oil Prices and Stock Returns: Evidence of Oil and Gas Mining Companies in Indonesia During the Covid-19 Period

The Effect of the Covid-19 Pandemic on Stock Prices With the Event Window Approach: A Case Study of State Gas Companies, in the Energy Sector

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