Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach

Sheraz, Muhammad; Imran, Nasir

doi:10.3390/risks9050089

Cited by 13 publications

(25 citation statements)

References 66 publications

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“…The recent pandemic also had a negative effect on volatility in the market. Research papers around the world show an increase in volatility coinciding with the outbreak of the pandemic (Ali et al 2020;Barro et al 2022;Chowdhury et al 2021;David et al 2020;Mishra and Mishra 2021;Sheraz and Nasir 2021;Uddin et al 2021). Gao et al (2021) find that the impact of COVID-19 on the stock market showed a significant leverage effect in both the US and China, imposing a stronger effect on the stock market volatility when it was already high.…”

Section: Literature Reviewmentioning

confidence: 97%

Market Quality and Short-Selling Ban during the COVID-19 Pandemic: A High-Frequency Data Approach

Ferreruela

Martín

2022

JRFM

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The recent emergence of COVID-19 and the subsequent short-selling restriction (SSR) imposed on some equity markets provide us with a unique framework to analyze the effects of this kind of measure on market quality in the context of increasingly automated equity markets. We contribute to the literature by analyzing the microstructure and quality parameters of the Spanish equity market during COVID-19 and SSR. We study four subperiods, namely pre-crisis, turmoil, SSR, and first de-escalation periods, by means of a tick-by-tick dataset and the complete limit order book (LOB). We observe the following impact of the SSR on the constituents of IBEX 35: (1) the SSR did comply partially with its aim at an intraday level regarding volatility, but liquidity was reduced; (2) liquidity deterioration affected more the sell than the buy side of the LOB; (3) high-frequency activity (HFT) diminished during SSR, reinforcing volatility; (4) negative effects on liquidity and HFT diminished and disappeared as the ban was lifted; (5) HFT unidirectionally Granger causes 1 min realized volatility while the natural logarithm of the slope of the LOB bidirectionally Granger causes 1 min realized volatility.

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Section: Literature Reviewmentioning

confidence: 97%

Market Quality and Short-Selling Ban during the COVID-19 Pandemic: A High-Frequency Data Approach

Ferreruela

Martín

2022

JRFM

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“…In addition, the damaging effect of this pandemic was also found in stock market volatility. Research on stock markets around the world reveals an increase in volatility following the COVID-19 pandemic (Chowdhury et al , 2021; David et al , 2021; Mishra and Mishra, 2021; Sheraz and Nasir, 2021; Uddin et al , 2021). According to Fakhfekh et al (2021), this volatility persisted in Tunisia.…”

Section: Literature Reviewmentioning

confidence: 99%

What happens to the stock market during the COVID-19 pandemic? A systematic literature review

Anggraini

Utami

Wulandari

2022

PAR

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Purpose This study aims to evaluate papers that discuss the stock market during the COVID-19 pandemic to discover lessons that may be beneficial for coping with similar situations in the future. Design/methodology/approach This study used the review procedures following Hoque (2014) with modifications, including co-words analysis to map themes. The articles to be reviewed were identified by entering the search keywords “capital market” AND “Covid” and “stock market” AND “Covid” in the Scopus database. After applying a set of criteria, 89 articles were used in the subsequent analysis. The country setting and study findings are recognized, and the lessons learned are further determined. Findings As COVID-19 has been designated a global pandemic by the WHO, and its impact is seen in many countries, the setting adopted by many researchers includes two or more countries (i.e., “International”). Six clusters of themes are identified, namely, market responses, spillover/contagion, investor sentiment, investor herding, policy and asset intensity. In this way, the lessons gained cover several stock market elements, including the market, industry, investors, government and companies. Originality/value Given the importance of understanding the COVID-19 pandemic and the relevance of the stock market in indicating its severity, to the best of the authors’ knowledge, there has been no literature review research on the stock market during COVID-19. Furthermore, this study also defines what lessons can be drawn.

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“…Researchers generally find that companies have a motive to disclose risk information as it benefits investors, enabling companies to better allocate resources. Measuring and managing financial risk represent key concerns of investors (Sheraz and Nasir 2021). Therefore, within the current environment, the motivation concerning risk disclosure is determined by the circumstances in which risk disclosure is important, specifically when the risk level of investment is high (Abraham and Cox 2007;Linsley and Shrives 2006), entailing pressure on companies to attract financial analysts (Sundgren et al 2018;Lehavy et al 2011), investors, and professionals (Abraham and Shrives 2014).…”

Section: Literature Reviewmentioning

confidence: 99%

Risk Information in Non-Financial Disclosure

Fijałkowska

Hadro

2022

Risks

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This paper aims to research the topics related to risk included in non-financial disclosure (NFD) of companies listed on the Warsaw Stock Exchange (WSE) and explore factors that influence the risk topics ratio in NFD. We applied a content analysis using topic modeling to discover latent risk topics in NFD. Next, with Ward’s clustering, we identified four groups of companies with a homogenous risk topic mixture. For causal analysis, to explain the differences in risk topics ratio, we used qualitative comparative analysis (QCA), which allowed us to obtain three paths (variable configurations) leading to the high ratio of risk topics in NFD. Our results suggest that companies disclosing risk information extensively in their NFDs concentrate almost solely on social risk matters. In contrast, companies talking briefly about environmental and social (E&S) risk prepare their NFDs with a more balanced distribution of E&S topics and their financial implication. In general, the companies’ exposure to E&S risk and the use of NFD standards and guidelines as well as the type of NFD impact the space dedicated to risk information. This paper contributes to academics and regulators, filling the gap about risk disclosure in the NFD, identifying the nature of corporate risk disclosures, and upgrading research about determinants of risk information in non-financial disclosure.

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Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach

Cited by 13 publications

References 66 publications

Market Quality and Short-Selling Ban during the COVID-19 Pandemic: A High-Frequency Data Approach

Market Quality and Short-Selling Ban during the COVID-19 Pandemic: A High-Frequency Data Approach

What happens to the stock market during the COVID-19 pandemic? A systematic literature review

Risk Information in Non-Financial Disclosure

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