COVID-19 and instability of stock market performance: evidence from the U.S.

Hong, Hui; Bian, Zhicun; Lee, Chien‐Chiang

doi:10.1186/s40854-021-00229-1

Cited by 81 publications

(64 citation statements)

References 80 publications

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“…In addition, the global average impact of COVID-19 on economies has been estimated to be a 4.4% decline in global GDP growth. The heavy losses in equity markets and an uncertain gloomy outlook of the global economies triggered traditional equity investors to look for the alternative safe-haven assets to protect their portfolios or generate positive returns ( Hong et al, 2021 ; Shahzad et al, 2021).…”

Section: Introductionmentioning

confidence: 99%

Safe-haven properties of soft commodities during times of Covid-19

Rubbaniy

Khalid

Syriopoulos

et al. 2022

Journal of Commodity Markets

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We use wavelet coherence analysis on global COVID-19 fear index and, soft commodities’ spot and futures prices to investigate safe-haven properties of soft commodities over the period from January 28, 2020 to April 29, 2021. Our findings show that each of the sampled soft commodities shows safe-haven behavior in one of the spot or futures markets and for one of the short-term or long-term investors during the times of COVID-19. Our results also show that safe-haven properties of soft commodities are contingent upon the nature of the commodity. The findings of our mean-variance portfolio analysis indicate that the portfolios with commodity futures are less risky and efficient compared to the portfolio containing stocks only, thus robustly supporting the safe-haven properties of soft commodities during COVID-19. Our results not only have important implications for individual investors and asset managers in suggesting particular soft commodities to strengthen safe-haven and diversification features of their portfolios but also can assist the policy makers to understand and disentangle health fear dimension of several interlocking dynamics affecting the spot and futures prices of soft commodities during COVID-19.

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Section: Introductionmentioning

confidence: 99%

Safe-haven properties of soft commodities during times of Covid-19

Rubbaniy

Khalid

Syriopoulos

et al. 2022

Journal of Commodity Markets

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“…According to Baker et al [83] the U.S. stock market reacted so much more forcefully to COVID-19 than to previous pandemics in 1918-1919, 1957-1958 and 1968. According to Hong et al [84] the effect of COVID-19 on stock market performance has important implications for both financial theory and practice. The authors suggest that the pandemic crisis was associated with market inefficiency, creating profitable opportunities for traders and speculators.…”

Section: Discussionmentioning

confidence: 99%

Decline in Share Prices of Energy and Fuel Companies on the Warsaw Stock Exchange as a Reaction to the COVID-19 Pandemic

Bieszk‐Stolorz

Markowicz

2021

Energies

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Many factors influence the prices of energy commodities and the value of energy and fuel companies. Among them there are the following factors: economic, social, environmental and political, and recently also the COVID-19 pandemic. The aim of the paper is to examine what the probability and intensity of a decrease in the prices of shares of energy and fuel companies listed on the Warsaw Stock Exchange (Poland) was during the first wave of the pandemic in the first quarter of 2020. The study used the survival analysis methods: the Kaplan-Meier estimator, the test of equality of duration curves and the Cox non-proportional hazards model. The analysis showed that the probability and intensity of price decline of energy and fuel companies in the initial period was the same as that of other companies. The differences become apparent only after 50 days from the established maximum of their value. The risk of price declines in energy and fuel companies increased significantly. This situation was related both to a temporary reduction in demand for energy and fuels, pandemic restrictions introduced in individual countries and the behaviour of stock market investors.

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“…On the contrary, Sun et al (2021) argued that coronavirus-associated reports and economic-related publications do not generate unreasonable investment judgments. Besides, Hong et al (2021) advised that the pandemic period was related with market inefficiency, establishing rewarding prospects for dealers and opportunists.…”

Section: Introductionmentioning

confidence: 99%

“…Prior papers were focused on volatility examination for African equity markets (Lo et al 2021;Takyi and Bentum-Ennin 2021;Zoungrana et al 2021), the Australian stock market (Brueckner and Vespignani 2021), BRICS and G7 states (Yu et al 2021), Canada and the US (Xu 2021), the Chinese stock market (Chen et al 2021;Liu et al 2021b;Shahzad et al 2021), seven emerging countries (Hashmi et al 2021), euro area stock markets (Duttilo et al 2021), the Indian financial market (Bora and Basistha 2021), the South Korea stock market (Hoshikawa and Yoshimi 2021), Thailand (Hongsakulvasu et al 2020), the Tunisian sectorial stock market (Fakhfekh et al 2021), the US stock market (Curto and Serrasqueiro 2021;Hong et al 2021), Vietnam and Philippines (Le and Tran 2021), Visegrad Group member states (Czech et al 2020), or several international markets (Al-Najjar et al 2021;Al-Qudah and Houcine 2021;Anser et al 2021;Banerjee 2021;Chowdhury et al 2021;Contessi and Pace 2021;Engelhardt et al 2021;Höhler and Lansink 2021;Rouatbi et al 2021;Szczygielski et al 2021b;Topcu and Gulal 2020;Vera-Valdés 2021;Youssef et al 2021;Zhang et al 2020). This paper aims to examine the volatility throughout the Romanian financial market during the COVID-19 pandemic.…”

Section: Introductionmentioning

confidence: 99%

COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach

Gherghina

Armeanu

Joldeș

2021

JRFM

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This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve companies traded on BSE. The quantitative investigation was performed using GARCH approach. In the survey, the GARCH model (1,1) was applied to explore the volatility of the BET and BSE traded shares. Conditional volatility for the daily return series showed noticeable evidence of volatility that shifts over the explored period. In the first quarter of 2020, the Romanian equity market volatility increased to a level very close to that recorded during the global financial crisis of 2007–2009. Over the next two quarters, volatility had a downward trend. Besides, after VAR estimation, no causal connection was found among the COVID-19 variables and the BET index.

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COVID-19 and instability of stock market performance: evidence from the U.S.

Cited by 81 publications

References 80 publications

Safe-haven properties of soft commodities during times of Covid-19

Safe-haven properties of soft commodities during times of Covid-19

Decline in Share Prices of Energy and Fuel Companies on the Warsaw Stock Exchange as a Reaction to the COVID-19 Pandemic

COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach

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