COVID-19 and time-frequency connectedness between green and conventional financial markets

Arif, Muhammad; Hasan, Mudassar; Alawi, Suha Mahmoud; Naeem, Muhammad Abubakr

doi:10.1016/j.gfj.2021.100650

Cited by 122 publications

(63 citation statements)

References 60 publications

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“…They find that the MAPE value is 0.036 for confirmed cases of Covid-19 in Spain and is in the amount of 0.026 for IBEX stock. Arif et al ( 2021 ) present the time–frequency connectedness between green and conventional financial markets. In particular, they perform a subsample analysis for the COVID-19 pandemic crisis period.…”

Section: Literature Reviewmentioning

confidence: 99%

How does Covid-19 affect global equity markets?

Hui

Chan

2022

Financ Innov

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This study applies OLS, panel regression and Granger causality test to investigate the impact of the Coronavirus disease 2019 (Covid-19) outbreak on the global equity markets during the early stage of the pandemic. We find that the Covid-19 outbreak has a significant negative impact on the overall equity index return of the eight economies even at 0.1% significance level. Furthermore, the pandemic has a more significant impact on the European countries than on the East Asian economies. The results have three main implications. Firstly, policy makers should react fast to mitigate the impact of a crisis. Secondly, investors should be aware of an outbreak of disease or other risks and adjust their investments accordingly. Furthermore, the Covid-19 outbreak results in a shift of power from the west to the east.

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Section: Literature Reviewmentioning

confidence: 99%

How does Covid-19 affect global equity markets?

Hui

Chan

2022

Financ Innov

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“…The impact of the COVID-19 pandemic on the stock markets is widely discussed in the literature. First of all, it should be noted that the COVID-19 pandemic is regarded as one of the most devastating global events since the Great Depression and the 2008 global financial crisis (GFC) (Arif et al 2021). The internationalization of markets facilitates the shocks to spread to other markets.…”

Section: The Covid-19 Impact On the Stock Marketsmentioning

confidence: 99%

“…Research by Mazur et al (2021) showed that natural gas, food, healthcare and software stocks had high positive returns, while petroleum, real estate, entertainment and hospitality stocks decreased significantly (Mazur et al 2021). However, the most unexpected movement in stock prices was observed on 20 April 2020, when WTI crude oil futures suddenly dropped to an unprecedented low of USD −37.63 per barrel, shocking both the traders and policymakers (Arif et al 2021).…”

Section: The Covid-19 Impact On the Stock Marketsmentioning

confidence: 99%

Intraday Patterns of Liquidity on the Warsaw Stock Exchange before and after the Outbreak of the COVID-19 Pandemic

Kubiczek

Tuszkiewicz

2022

IJFS

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A highly significant feature of the stock market is its efficiency, which is associated with information efficiency. However, the liquidity of stock on the market is its essential characteristic. The inflow of information in highly liquid markets allows for the maintenance of high information efficiency. The COVID-19 pandemic affected many aspects related to stock markets, including their liquidity. The impact of the pandemic is so multidimensional that there are still areas that need to be investigated. One of them is the intraday liquidity patterns on the stock markets. Therefore, the present paper aims to verify the existence of intraday liquidity patterns on the Warsaw Stock Exchange in three periods: before, during and after the panic caused by the first wave of the COVID-19 pandemic. The results confirmed the existence of a U-shaped intraday distribution of the number of transactions and their trading. This outcome highlights the importance of the first and last minutes of a trading session. The COVID-19 pandemic resulted in the domination of WSE transactions of small individual investors who feared the loss of value of their assets, selling them on the stock exchange. In the pandemic, the average percentage change between transactions increased.

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“…Recent studies have looked at the impact of COVID-19 on this connectedness and found that it has become more prominent (Arif et al 2021;Bouri et al 2021;. COVID-19 has also affected bond market efficiency, but the green bond market is more efficient than the conventional one .…”

Section: Green Bondsmentioning

confidence: 99%

Climate Transition Risk and the Impact on Green Bonds

Antoniuk

Leirvik

2021

JRFM

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The green bond market develops rapidly and aims to contribute to climate mitigation and adaptation significantly. Green bonds as any asset are subject to transition climate risk, namely, regulatory risk. This paper investigates the impact of unexpected political events on the risk and returns of green bonds and their correlation with other assets. We apply a traditional and regression-based event study and find that events related to climate change policy impact green bonds indices. Green bonds indices anticipated the 2015 Paris Agreement on climate change as a favorable event, whereas the 2016 US Presidential Election had a significant negative impact. The negative impact of the US withdrawal from the Paris agreement is more prominent for municipal but not corporate green bonds. All three events also have a similar effect on green bonds performance in the long term. The results imply that, despite the benefits of issuing green bonds, there are substantial risks that are difficult to hedge. This additional risk to green bonds might cause a time-varying premium for green bonds found in previous literature.

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COVID-19 and time-frequency connectedness between green and conventional financial markets

Cited by 122 publications

References 60 publications

How does Covid-19 affect global equity markets?

How does Covid-19 affect global equity markets?

Intraday Patterns of Liquidity on the Warsaw Stock Exchange before and after the Outbreak of the COVID-19 Pandemic

Climate Transition Risk and the Impact on Green Bonds

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