Flight-to-quality between global stock and bond markets in the COVID era

Papadamou, Stephanos; Fassas, Athanasios; Kenourgios, Dimitris; Dimitriou, Dimitrios

doi:10.1016/j.frl.2020.101852

Cited by 95 publications

(70 citation statements)

References 41 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Finally, the third relevant strand includes the contemporaneous, but exponentially growing, literature on the impact of COVID-19 on financial markets ( Akhtaruzzaman et al., 2020 ; Ashraf, 2020 ; Conlon and McGee, 2020 ; Corbet et al., 2020a , 2020b ; Goodell and Huynh, 2020 ; Ji et al., 2020a , Ji et al., 2020b ; Ramelli and Wagner, 2020 ; Sharif et al., 2020 ; Zaremba et al., 2020 ; Zhang et al., 2020 ) and more specifically, the research examining the impact of COVID-19 on sentiment ( Baker et al., 2020 ; Bouri et al., 2020 ; Buckman et al., 2020 ; Papadamou et al., 2020a ; 2020b ). Goodell (2020) sketches a useful taxonomy of the emergent empirical research on pandemics and finance.…”

Section: Related Literaturementioning

confidence: 99%

Risk aversion connectedness in developed and emerging equity markets before and after the COVID-19 pandemic

Fassas

2020

Heliyon

Self Cite

View full text Add to dashboard Cite

This study investigates the dynamic connectedness across the variance risk premium in international developed and emerging equity markets based on a Bayesian time-varying parameter vector autoregressive methodology. The empirical results indicate that the total spillover index is on average 65.6%, indicating a high, albeit declining, level of interconnectedness across the investor sentiment in the three markets under review until early 2020. Following the COVID-19 outbreak though, the total investors' risk aversion connectedness – as expected – strengthens, but more importantly, its dynamics alter, indicating that the risk aversion of emerging markets is an important contributor to the connectedness of international markets.

show abstract

Section: Related Literaturementioning

confidence: 99%

Risk aversion connectedness in developed and emerging equity markets before and after the COVID-19 pandemic

Fassas

2020

Heliyon

Self Cite

View full text Add to dashboard Cite

show abstract

“…Which has not been answered so far, because there is few post-COVID data of macro-economy available to study it. One year only of economy data available since COVID-19 outbreak, it is insufficient to examine the pandemic's long-run impact on economy, while the lasted COVID-19-related research mainly focuses on the pandemic impact on financial markets (Papadamou et al, 2021;Papadamou et al, 2020;Liu,2021;Liu et al, 2020).…”

Section: Hai Longmentioning

confidence: 99%

“…Although a wide range of literature documents that COVID-19 beats global economy remarkably, majority of research investigates COVID-19 impact on financial markets, (Papadamou et al,2021;Papadamou et al, 2020;Liu et al,2021;Zhang and Hamori, 2021). For instance, Papadamou et al, (2021) collecting daily data on bond and stock returns investigate the impact of COVD-19 on time-varying correlation between stocks and returns. Liu et al (2021) conduct a time-frequency analysis of the macro-financial variables, such as total credit, house prices and equity prices to assess their resilience.…”

Section: Literature Review and Hypothesismentioning

confidence: 99%

The Impact of SARS Epidemic and Financial Crisis on China’s Economy Structure Referenced to the Potential Impact of COVID-19

Long¹,

Zhao²

2021

Bulletin of Applied Economics

View full text Add to dashboard Cite

This empirical study employs regression models to investigate some deep economic determinants, such as human capital, business environment, to investigate what extent China's economy structure is likely hit by SARS epidemic in 2003 and global financial crisis in 2008. It finds that China's economy structure is unchanged after the hits, the deep economy determinants and GDP remain upward. Human capital accumulation is the significant deep factor, and both SARS epidemic and financial crisis have no impact on the long-run factor, accordingly, China's economy growth is sustainable. It suggests further human capital including labor quantity and education is currently the most significant determinants for China's economy sustainability, followed by the upgrading business environment. The evidence based on SARS and financial crisis may have certain reference value to estimate the potential impact of COVID-19 on China's economy structure in the future.

show abstract

“…Although a wide range of literature documents that COVID-19 beats global economy remarkably, majority of research investigates COVID-19 impact on financial markets, (Papadamou et al, 2021;Liu et al, 2021;Zhang and Hamori, 2021). For instance, Papadamou et al (2021) collecting daily data on bond and stock returns investigate the impact of COVD-19 on time-varying correlation between stocks and returns. Liu et al (2021) conduct a time-frequency analysis of the macro-financial variables, such as total credit, house prices and equity prices to assess their resilience.…”

Section: Literature Review and Hypothesismentioning

confidence: 99%

Does Covid-19 Pandemic Impact on China’s Economy Structure and Sustainability of Deep Economic Determinants?

Long

Li²

2021

IJEFI

View full text Add to dashboard Cite

The outbreak of COVID-19 has impacted on the global economy since 2020. This paper employs regression models to investigate China's economy structure and sustainability of deep determinants, such as human capital, business environment. It finds that the central government likes to adjust China's economy structure to mitigate the impact of crucial crisis to remain economic sustainability. Additionally, COVID-19 like SARS has no impact on Chinese economic sustainability, because this pandemic is unable to effect economic deep determinants in the short run. Human capital accumulation is the significant deep factors, and COVID-19 epidemic has no impact on these long-run factors during a short period. It suggests further human capital including labor quantity and education is currently the most significant determinants for China's economy sustainability, followed by the upgrading business environment.

show abstract

Flight-to-quality between global stock and bond markets in the COVID era

Cited by 95 publications

References 41 publications

Risk aversion connectedness in developed and emerging equity markets before and after the COVID-19 pandemic

Risk aversion connectedness in developed and emerging equity markets before and after the COVID-19 pandemic

The Impact of SARS Epidemic and Financial Crisis on China’s Economy Structure Referenced to the Potential Impact of COVID-19

Does Covid-19 Pandemic Impact on China’s Economy Structure and Sustainability of Deep Economic Determinants?

Contact Info

Product

Resources

About