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

Fassas, Athanasios

doi:10.1016/j.heliyon.2020.e05715

Cited by 34 publications

(17 citation statements)

References 116 publications

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“… Fassas (2020) investigates the connectedness in terms of investors’ risk aversion and finds that spillovers exist not only in the returns and volatility of financial assets, but also in market participants’ sentiment. In particular, he finds that while the USA was the largest transmitter of sentiment connectedness over the last decade, emerging markets have become powerful transmitter of spillovers, during the COVID pandemic.…”

Section: A Brief Literature Reviewmentioning

confidence: 99%

Foreign investment in times of COVID-19: How strong is the flight to advanced economies?

Giofré

2022

Journal of Multinational Financial Management

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Section: A Brief Literature Reviewmentioning

confidence: 99%

Foreign investment in times of COVID-19: How strong is the flight to advanced economies?

Giofré

2022

Journal of Multinational Financial Management

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“… This study indicates that this investor sentiment index can be a predictive factor in stock price variation around the world. Fassas (2020) Using variance risk premium analysis to measure risk-aversion behaviour, this paper aims to calculate the willingness-to-pay of market participants to hedge the variation before and after COVID-19. The data period stretches from April 2011 until May 2020 in three advanced economies and the methodology is TVP-VAR methodology to capture the connectedness.…”

Section: Literature Reviewmentioning

confidence: 99%

Feverish sentiment and global equity markets during the COVID-19 pandemic

Huynh

Foglia

Nasir

et al. 2021

Journal of Economic Behavior & Organization

110

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This paper proposes a new approach to estimating investor sentiments and their implications for the global financial markets. Contextualising the COVID-19 pandemic, we draw on the six behavioural indicators (media coverage, fake news, panic, sentiment, media hype and infodemic) of the 17 largest economies and data from January 2020 to February 2021. Our key findings, obtained using a time-varying parameter-vector auto-regression (TVP-VAR) model, indicate the total and net connectedness for the new index, entitled ‘feverish sentiment’. This index provides us insight into economies that send or receive the sentiment shocks. The construction of the network structures indicates that the United Kingdom, China, the United States and Germany became the epicentres of the sentimental shocks that were transmitted to other economies. Furthermore, we also explore the predictive power of the newly constructed index on stock returns and volatility. It turns out that investor sentiment positively (negatively) predicts the stock volatility (return) at the onset of COVID-19. This is the first study of its kind to assess international feverish sentiments by proposing a novel approach and its impacts on the equity market. Based on empirical findings, the study also offers some policy directions to mitigate the fear and panic during the pandemic.

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“…e outbreak of COVID-19 has caused huge losses in the global real economy and financial markets, especially in the commodity futures markets due to its direct impacts on both the demand and supply chain of commodities [1][2][3][4][5][6][7][8][9][10][11][12][13][14][15][16][17]. Crude oil markets are hit the hardest for the collapse in travelling and massive plant shutdowns arising from mitigation measures [7,11,14,16,[18][19][20][21].…”

Section: Introductionmentioning

confidence: 99%

The Impacts of the Infectious Disease Epidemic on the Permanent Volatility of Precious Metal and Crude Oil Futures Markets: A Long-Term Perspective

Shang

2021

Discrete Dynamics in Nature and Society

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The aim of this paper is to identify the quantitative impacts of the infectious disease pandemic on the permanent volatility of precious metal and crude oil futures from a long-term perspective by using a recently constructed Infectious Disease Equity Market Volatility Tracker (ID-EMV) to capture the epidemic severity and with a novel mixed data sampling GARCH (GARCH-MIDAS) method. Different from the extant literature only focusing on the short-term influences of the COVID-19 epidemic on commodity futures market, this paper shows that the infectious disease pandemic does have significant and positive impacts on the permanent (long-term) volatilities of precious metal and crude oil futures markets lasting for at least up to 12 months. In addition, these specific impacts on crude oil futures are greater than those on precious metal futures. Finally, we find that the infectious disease epidemic has larger impacts on gold (WTI oil) futures than those on silver (Brent oil) futures. All these findings are robust after controlling the negative influences of lagged long-run realized volatility in commodity futures markets.

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

Cited by 34 publications

References 116 publications

Foreign investment in times of COVID-19: How strong is the flight to advanced economies?

Foreign investment in times of COVID-19: How strong is the flight to advanced economies?

Feverish sentiment and global equity markets during the COVID-19 pandemic

The Impacts of the Infectious Disease Epidemic on the Permanent Volatility of Precious Metal and Crude Oil Futures Markets: A Long-Term Perspective

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