Investment Strategies Amid COVID19

Wang, Jiaye; Shah, Maulin; Nguyen, Nam; Maity, Neelaj; Liu, Yi‐Hua; Zhang, Tony

doi:10.2139/ssrn.3563631

Cited by 1 publication

(1 citation statement)

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“…As financial markets have always been a subject to market shocks, many researchers made an attempt to identify any possible impact of such shocks on the stock market. In recent past, few studies have explored the impact of contagious diseases on stock market (Wang et al , 2013; Peckham, 2013; Ozili and Arun, 2020; Nguyen et al , 2020; Baker et al , 2020). Some of the studies probing the possible impact of COVID-19, which has been proven as the deadliest disease that entire world experienced in the past decade.…”

Section: Review Of Literaturementioning

confidence: 99%

Does commitment to environment and society pays? Evidence from COVID-19 impact on stock volatility

Sharma

Kaur²,

Rawat

2022

XJM

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Purpose This study aims to analyse whether investment in green and sustainable stocks provide some cushion during current precarious time. To compare the impact of COVID-19 on the volatility of sustainable and market-capitalisation-based stocks, daily returns from Greenex, Carbonex, Large-Cap, Mid-Cap and Small-Cap index have been analysed over a period of six years from 2015 to 2021. Design/methodology/approach At the outset, logarithmic return of all selected indices has been tested for possible unit root and heteroscedastic. On confirmation of stationarity and heteroscedasticity of data, auto-regressive conditional heteroscedastic models have been applied. Thereafter, volatility is modelled through best suitable model as suggested by Akaike and Schwarz information criterions. Findings The findings indicate the positive impact of COVID-19 on the volatility of the indices. Asymmetric power ARCH model indicates highest significant impact of COVID-19 over the volatility of Large-Cap index, whereas exponential GARCH model detected highest significant impact of COVID-19 over the volatility of Mid-Cap Index. Originality/value To the best of the authors’ knowledge, the present study is original in the sense that it aimed at comparing the possible impact of COVID-19 over sustainable and market-capitalisation-based indices.

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