Stock markets and the COVID-19 fractal contagion effects

Okorie, David Iheke; Lin, Boqiang

doi:10.1016/j.frl.2020.101640

Cited by 250 publications

(184 citation statements)

References 32 publications

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“…Hence, the coefficient value of XAU_R indicates that an increase of one unit in Philadelphia Gold/Silver Index leads to over 0.1574 units increase in BET index return in the long-term. However, the short-run results show a negative impact of new deaths cases of COVID-19 from Italy on the BET index return, in line with Okorie and Lin [58] which underlined a transitory contagion effect in the stock markets due to novel coronavirus. In addition, Erdem [55] claimed that the index returns decline and volatilities rise due to corona crisis.…”

Section: Ardl-the Number Of New Cases In Italy Due To Covid-19supporting

confidence: 60%

“…Since the SARS-CoV-2 virus is spreadable and migrations occurs, current pandemic outbreak affect many nations worldwide, along with their stock markets [58]. Hence, Shehzad, et al [59] documented that conditional variance of stock markets from Europe and USA is huge throughout the period of COVID-19 as related to the Global Financial Crises (GFC) of 2007-2009.…”

Section: Prior Research Regarding the Economic And Financial Consequementioning

confidence: 99%

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Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis

Gherghina

Armeanu

Joldeș

2020

IJERPH

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This paper examines the linkages in financial markets during coronavirus disease 2019 (COVID-19) pandemic outbreak. For this purpose, daily stock market returns were used over the period of December 31, 2019–April 20, 2020 for the following economies: USA, Spain, Italy, France, Germany, UK, China, and Romania. The study applied the autoregressive distributed lag (ARDL) model to explore whether the Romanian stock market is impacted by the crisis generated by novel coronavirus. Granger causality was employed to investigate the causalities among COVID-19 and stock market returns, as well as between pandemic measures and several commodities. The outcomes of the ARDL approach failed to find evidence towards the impact of Chinese COVID-19 records on the Romanian financial market, neither in the short-term, nor in the long-term. On the other hand, our quantitative approach reveals a negative effect of the new deaths’ cases from Italy on the 10-year Romanian bond yield both in the short-run and long-run. The econometric research provide evidence that Romanian 10-year government bond is more sensitive to the news related to COVID-19 than the index of the Bucharest Stock Exchange. Granger causality analysis reveals causal associations between selected stock market returns and Philadelphia Gold/Silver Index.

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Section: Ardl-the Number Of New Cases In Italy Due To Covid-19supporting

confidence: 60%

Section: Prior Research Regarding the Economic And Financial Consequementioning

confidence: 99%

Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis

Gherghina

Armeanu

Joldeș

2020

IJERPH

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“…For example, [24] , [25] use dynamic conditional correlations between stock returns and hedging costs to study financial contagion and safe asset classes. Similarly, [26] studies financial contagion via cross-correlation analysis, [27] uses a GARCH(1,1) model, while [28] is a qualitative overview of financial contagion. [29] , [30] use a value at risk measure to study safe havens in the cryptocurrency market.…”

Section: Introductionmentioning

confidence: 99%

Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19

James

Menzies

Chan

2021

Physica A: Statistical Mechanics and its Applications

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“…Ashraf (2020) scrutinizes the stock market response to the COVID-19 con rmed cases and deaths and nds that the market reaction to the growth in con rmed cases was signi cantly negative while response to the growth in deaths were weak. Okorie and Lin (2020) investigate the fractal contagion effect of the COVID-19 pandemic on the stock market returns and volatilities by using Detrended Moving Cross-Correlation Analysis and Detrended Cross-Correlation Analysis techniques.…”

Section: Literature Reviewmentioning

confidence: 99%

Pan(dem)ic Reactions in Turkish Stock Market: Evidence from share repurchases

Pirgaip

2020

Preprint

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Share repurchases have been widely used in global markets for years for various purposes such as to pay out cash, to stabilize stock prices, and so on. However, their use has recently been challenged due to the economic and financial uncertainty imposed by the COVID-19 outbreak. Not only governments have put bans or restrictions on the repurchasing transactions but also some major companies themselves have suspended their buyback programmes to preserve cash. On the other hand, repurchase activity has manifested itself in Turkish capital markets somewhat unexpectedly under uncertain market conditions. This study is one of the first attempts to explore the impact of share repurchase transactions on stock returns in an emerging market severely hit by COVID-19. Event study analyses reveal that market reaction to repurchase activity in the aftermath of the pandemic declaration of March 11, 2020 was significantly positive. Moreover, short-term stock performance of repurchasing firms was far greater than that of their non-repurchasing peers. These results have important policy implications in terms of corporate payout decisions which have recently been challenged by the new coronavirus.

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Stock markets and the COVID-19 fractal contagion effects

Cited by 250 publications

References 32 publications

Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis

Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis

Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19

Pan(dem)ic Reactions in Turkish Stock Market: Evidence from share repurchases

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