Futures market and the contagion effect of COVID-19 syndrome

Banerjee, Ameet Kumar

doi:10.1016/j.frl.2021.102018

Cited by 63 publications

(54 citation statements)

References 30 publications

(36 reference statements)

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“…The study found that the negative market reaction was strongest during the early days of reported cases and this reaction differed over time depending on the stage of the outbreak. Banerjee (2021) looked into the possibility of financial contagion between China and its major trading partners during the pandemic. The study showed substantial financial contagion in most developed and emerging markets with significant trading relationships with China.…”

Section: Review Of Literaturementioning

confidence: 99%

Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis

Chopra

Mehta

2022

Journal of Asian Economics

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The ongoing COVID-19 pandemic has sent shock waves across the global stock markets. Several financial crises in the past too have had a global impact with their reach extending beyond the country of origin. The current study compares the contagion effect of four such crises viz. the Asian financial crisis, the US subprime crisis, the Eurozone debt crisis, and the currently ongoing Covid-19 crisis on Asian stock markets to understand which of these has had the most severe impact. It finds that among all the four crises, the US subprime crisis has been the most contagious for the Asian stock markets. The study also highlights the difference between severities of a liquidity crisis versus a real crisis and identifies the markets that remained insulated from all these crises, a finding which will be useful for portfolio managers in devising their asset allocation.

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Section: Review Of Literaturementioning

confidence: 99%

Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis

Chopra

Mehta

2022

Journal of Asian Economics

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“…To explore the selected financial time series, we will employ ARCH/GARCH models as in prior studies (Salisu and Ogbonna 2021;Abuzayed et al 2021;Bai et al 2021;Banerjee 2021;Bora and Basistha 2021;Curto and Serrasqueiro 2021;Czech et al 2020;Duttilo et al 2021;Fakhfekh et al 2021;Farid et al 2021 ARCH models were introduced by Engle (1982) and Generalized (GARCH) by Bollerslev (1986). A GARCH model allows conditional variation to be dependent on its previous lags.…”

Section: Quantitative Methodsmentioning

confidence: 99%

“…Table 3 shows descriptive statistics for the daily logarithmic returns of the shares traded on BSE, as well as for the BET stock market index, whereas Figure 1 reveals the density graphs. The selected shares have a negative skewness (except for the TRP share) in line with Agarwalla et al (2021), Banerjee (2021), Malik et al (2021), Yousaf (2021), and Zhang and Hamori (2021). As a common condition of financial markets, skewness is negative, suggesting an asymmetry to the left.…”

Section: Preliminary Statisticsmentioning

confidence: 97%

“…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%

“…(2021),Atri et al (2021),Banerjee (2021),Bora and Basistha (2021),Insaidoo et al (2021), Li (2021,Yousaf (2021),Yousfi et al (2021), and …”

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confidence: 99%

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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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Hedging commodities in times of distress: The case of COVID‐19

Magalhães

Silva

Tabak

2022

Journal of Futures Markets

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This study examines the relation between the COVID‐19 pandemic and hedge efficiency in commodities futures markets. In particular, we first evaluate the informational content of commodity futures by investigating whether futures prices are accurate and unbiased predictors of future–spot prices, and then we identify key financial and real economy transmission channels associated with the pandemic. We use data of all contracts from all commodities traded at Brazilian futures markets from 2018 to 2020. We document market inefficiency and bias for all commodities. We also find that COVID‐19 has a negative correlation with hedge efficiency, and that liquidity, economic activity, export, and agriculture's employment share are transmission channels to hedge efficiency.

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Futures market and the contagion effect of COVID-19 syndrome

Cited by 63 publications

References 30 publications

Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis

Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis

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

Hedging commodities in times of distress: The case of COVID‐19

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