The impact of Covid-19 and Russia–Ukraine war on the financial asset volatility: Evidence from equity, cryptocurrency and alternative assets

Taera, Edosa Getachew; Setiawan, Budi; Saleem, Adil; Wahyuni, Andi Sri; Chang, Daniel K.S.; Nathan, Robert Jeyakumar; Lakner, Zoltan

doi:10.1016/j.joitmc.2023.100116

Cited by 13 publications

(6 citation statements)

References 82 publications

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“…Nevertheless, the increased GPR from the Russian-Ukrainian War has presented a challenging obstacle for investors in risk management (Umar et al 2022). Mousa et al (2022) suggested that investing in sustainable stock in the Arab region can minimize the risks associated with the outbreak of COVID-19, and be a safe haven (Rubbaniy et al 2022), also exhibiting lower volatility compared to stock markets in the case of a Russia-Ukraine war (Taera et al 2023). Sohag et al (2022) found that GPR has a positive effect on green equity.…”

Section: Uncertainty Effects On Sustainable Stockmentioning

confidence: 99%

“…Stock markets are sensitive to uncertainty and highly influence investor sentiment. As a result, investors would seek safe-haven assets within a store of value such as gold (Baur and Smales 2020;Lei et al 2023;Taera et al 2023). Owing to high uncertainty in previous years, investments in companies with environmental, social, and governance (ESG), known as sustainable stock, have grown in popularity worldwide in the markets because sustainable stock will assist in diversifying risk in the long run (Andersson et al 2022).…”

Section: Introductionmentioning

confidence: 99%

“…Sustainable stocks are negatively affected by EPU and VIX (Shaikh 2022;Naeem et al 2023), while they are positively affected by gold and crude oil prices (Darsono et al 2022). Besides the limited studies on the effect of GPR on sustainable stocks, Taera et al (2023) indicate that sustainable stock bears a lower risk during high GPR and acted as a safe haven during COVID-19 (Rubbaniy et al 2022), while Piserà and Chiappini (2024) explained that sustainable stocks are not safe havens, as they have a positive relationship with the stock market. A study by Tang et al (2023) on financial assets, which is similar to sustainable stocks, concluded that GPR has a negative effect on green bonds.…”

Section: Introductionmentioning

confidence: 99%

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Asymmetric Effects of Uncertainty and Commodity Markets on Sustainable Stock in Seven Emerging Markets

Nittayakamolphun,

Bejrananda,

Pholkerd

2024

JRFM

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The increase in global economic policy uncertainty (EPU), volatility or stock market uncertainty (VIX), and geopolitical risk (GPR) has affected gold prices (GD), crude oil prices (WTI), and stock markets, which present challenges for investors. Sustainable stock investments in emerging markets may minimize and diversify investor risk. We applied the non-linear autoregressive distributed lag (NARDL) model to examine the effects of EPU, VIX, GPR, GD, and WTI on sustainable stocks in seven emerging markets (Thailand, Malaysia, Indonesia, Brazil, South Africa, Taiwan, and South Korea) from January 2012 to June 2023. EPU, VIX, GPR, GD, and WTI showed non-linear cointegration with sustainable stocks in seven emerging markets and possessed different asymmetric effects in the short and long run. Change in EPU increases the return of Thailand’s sustainable stock in the long run. The long-run GPR only affects the return of Indonesian sustainable stock. All sustainable stocks are negatively affected by the VIX and positively affected by GD in the short and long run. Additionally, long-run WTI negatively affects the return of Indonesia’s sustainable stocks. Our findings contribute to rational investment decisions on sustainable stocks, including gold and crude oil prices, to hedge the asymmetric effect of uncertainty.

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Section: Uncertainty Effects On Sustainable Stockmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Asymmetric Effects of Uncertainty and Commodity Markets on Sustainable Stock in Seven Emerging Markets

Nittayakamolphun,

Bejrananda,

Pholkerd

2024

JRFM

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“…The global financial system has been operating in a state of turmoil for the last three years due to two subsequent global catastrophes, namely the COVID-19 pandemic (a health crisis) and the Russia–Ukraine war (a geopolitical crisis). These crises have severely impacted many economies worldwide, causing financial difficulties (Gaies and Chkili, 2023; Taera et al , 2023). The financial and commodities markets have been the primary victims of these two unprecedented events and have witnessed sharp downward trends globally (Kumar et al , 2023).…”

Section: Introductionmentioning

confidence: 99%

Can diversification be improved by using cryptocurrencies? Evidence from Indian equity market

Jana,

Sahu

2023

JFEP

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Purpose This study aims to investigate the possibilities of cryptocurrencies as hedges and diversifiers in the Indian stock market before and during financial crisis due to the pandemic and the Russia–Ukraine war. Design/methodology/approach Researchers have used daily data on cryptocurrencies and Indian stock prices from March 10, 2015 to August 26, 2022. The researchers have used the dynamic conditional correlations (DCC)-GARCH model to determine the volatility spillover and dynamic correlation between stocks and digital currencies. Further, researchers have explored hedge ratio, portfolio weight and hedging effectiveness using the estimates of the DCC-GARCH model. Findings The findings indicate a negative conditional correlation between equities and cryptocurrencies before the crisis and a positive conditional correlation except for Tether during the crisis. Which implies that cryptocurrencies serve as a hedging asset in the stock market before a crisis but are not more than a diversifier during the crisis, except for Tether. Notably, Tether serves as a safe haven during times of crisis. Finally, the study suggests that Bitcoin, Ethereum, Binance Coin and Ripple are the most effective diversifiers for Indian stocks during the crisis. Originality/value This study makes several contributions to the existing literature. First, it compares the hedge and diversification roles of cryptocurrencies in the Indian stock market before and during crisis. Second, the study findings provide insights on risk hedging and can serve as a guide for investors. Third, it may help rational investors avoid underestimating risk while constructing portfolios, particularly in times of financial turmoil.

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“…In addition to these publications, the following studies are also noteworthy (Kovalenko, The problem of the impact of the russian-Ukrainian war on the development of the economy and the financial sector is the subject of research not only by Ukrainian scholars, but also by foreign ones. In particular, it is worth highlighting the publications (Deng & Li, 2023), (Batten et al, 2023), (Taera et al, 2023), (Zhou & Lu, 2023), (Guénette et al, 2022). This suggests that the war in Ukraine not only has led to changes within the country, but also affects the global economy.…”

Section: Introductionmentioning

confidence: 99%

The impact of the war on banking in Ukraine

Stoika

2023

ceref

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The article is devoted to the study of the operation of the banking system of Ukraine during the war period. The key indicators of the banking sector have been analyzed, in particular, the number of banking institutions and the dynamics of assets and liabilities. The key financial results of the banking sector, namely net profit and loss, return on assets and capital have been analyzed. It is revealed that maintenance of operational efficiency and effective measures taken by the National Bank of Ukraine allowed the banking sector to adapt to the crisis conditions and make a profit under martial law.

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The impact of Covid-19 and Russia–Ukraine war on the financial asset volatility: Evidence from equity, cryptocurrency and alternative assets

Cited by 13 publications

References 82 publications

Asymmetric Effects of Uncertainty and Commodity Markets on Sustainable Stock in Seven Emerging Markets

Asymmetric Effects of Uncertainty and Commodity Markets on Sustainable Stock in Seven Emerging Markets

Can diversification be improved by using cryptocurrencies? Evidence from Indian equity market

The impact of the war on banking in Ukraine

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