Effects of the COVID-19 pandemic on the US stock market and uncertainty: A comparative assessment between the first and second waves

Yousfi, Mohamed; Zaied, Younes Ben; Cheikh, Nidhaleddine Ben; Lahouel, Béchir Ben; Bouzgarrou, Houssam

doi:10.1016/j.techfore.2021.120710

Cited by 136 publications

(106 citation statements)

References 24 publications

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“…In respect of the state of art relative to academic research on diverse financial and economic consequences of the pandemic, including design and implementation of policies facilitating recovery from the Covid-triggered slowdown, it is worth acknowledging that the respective literature has recently grown with a rapid pace ( [13][14][15][16][17][18][19][20]; and references therein). However, a major part of academic publications addressing the reaction of financial markets to the pandemic is mostly focused on the stock market impacts ( [3,5,8,9,21,22]; among others), commodities ( [23][24][25][26][27]; among others), currencies and crypto-currencies [28][29][30][31]. However, it is worth noting that the sovereign and corporate debt markets are barely addressed.…”

Section: Covid-19 Impact On Financial Marketsmentioning

confidence: 99%

The impact of the Covid-19 related media coverage upon the five major developing markets

2021

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This paper analyses the influence of the Covid-19 coverage by the social media upon the shape of the sovereign yield curves of the five major developing countries, namely Federative Republic of B razil, Russian Federation, Republic of India, People’s Republic of China, and the Republic of South Africa (BRICS). The coherenc e between the level, slope, and the curvature of the sovereign yield term structures and the Covid-19 medi a coverage is found to vary between low and high ranges, depending on the phases of the pandemic. The empirical estimations of the yield-curve factors a re performed by means of the Diebold–Li modified version of the Nelson–Siegel model. The intervals of low coherence reveal the capacity of the two latent factors, level and slope, to be used for creating cross-factor diversification strategies, workable under crisis conditions, as evidenced on the example of the ongoing pandemic. Diverse coherence patterns are reported on a per-country basis, highlighting a promising potential of sovereign debt investments for designing cross-country and cross-factor fixed-income strategies, capable of hedging downside risks.

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Section: Covid-19 Impact On Financial Marketsmentioning

confidence: 99%

The impact of the Covid-19 related media coverage upon the five major developing markets

2021

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“…The investigation of [17] revealed that financial markets were about to crash due to COVID-19. Moreover, the first and second waves of the COVID-19 pandemic revealed dangerous impacts on financial markets of the globe in general and the US economy specifically [18]. COVID-19 has also impacted the financial and non-financial firms; however, financial firms transmit the financial contagion more prominently than non-financial firms [19].…”

Section: Introductionmentioning

confidence: 99%

Examining the Asymmetric Impact of COVID-19 Pandemic and Global Financial Crisis on Dow Jones and Oil Price Shock

et al. 2021

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COVID-19 has significantly affected the financial and commodity markets. The purpose of this investigation is to understand the impact of the COVID-19 crisis on Dow Jones and West Texas Intermediate (WTI) oil returns in relation to other crises using the Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model. The results indicate that COVID-19 and the accompanying lockdown have adversely impacted both yields and that the impact on oil prices is more significant than on the Dow Jones index. The variance and squared residuals of oil prices and the Dow Jones reached their highest historical levels during the COVID-19 outbreak, even higher than during the global financial crisis, and especially the VaR of both markets reached their historical peak points during the COVID-19 era. The variance of WTI during COVID-19 is higher than that of DJI, as was also the case during the financial crisis. These findings confirm that COVID-19 has negatively impacted investors’ ability to determine optimal portfolios and thus the sustainability of financial and energy markets more than the global financial crisis of 2007–2009. We, therefore, suggest that policy changes are needed to maintain financial sustainability and help investors deal with future financial and other crises.

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“…Figure 3 shows the evolution of the selected returns. Hence, there is acknowledged a phenomenon of "volatility clustering" and an alternation between periods of low volatility and those with high volatility, similar to Abuzayed et al (2021), Insaidoo et al (2021), Malik et al (2021), andYousfi et al (2021). Moreover, "volatility clustering" implies a strong autocorrelation of returns.…”

Section: Preliminary Statisticsmentioning

confidence: 99%

“…;Ghorbel and Jeribi 2021;Harjoto and Rossi 2021;Haroon and Rizvi 2020;Hongsakulvasu et al 2020;Insaidoo et al 2021;Le and Tran 2021;Liu et al 2021b;Malik et al 2021;Mariana et al 2021; Omane-Adjepong and Alagidede 2021;Szczygielski et al 2021aSzczygielski et al , 2021bUddin et al 2021; Vera-Valdés 2021;Xu 2021;Yousaf 2021;Yousfi et al 2021;Yu et al 2021;Zhang and Hamori 2021;Zoungrana et al 2021). These models simultaneously evaluate and test processes of yields and volatility processes.…”

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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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Effects of the COVID-19 pandemic on the US stock market and uncertainty: A comparative assessment between the first and second waves

Cited by 136 publications

References 24 publications

The impact of the Covid-19 related media coverage upon the five major developing markets

The impact of the Covid-19 related media coverage upon the five major developing markets

Examining the Asymmetric Impact of COVID-19 Pandemic and Global Financial Crisis on Dow Jones and Oil Price Shock

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

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