The Invisible Risk: Pandemics and the Financial Markets

Schoenfeld, Jordan

doi:10.2139/ssrn.3567249

Cited by 47 publications

(35 citation statements)

References 4 publications

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“…The relationship between U.S. stock performance and real-time changes in COVID-19 infection projections is negative (Alfaro et al, 2020). Schoenfeld (2020) research findings support that the pandemic prompted unprecedented changes in U.S. employment levels and the values of currencies, commodities, and bonds. Based on such findings, we can conclude that pandemics are systemically hurting financial markets.…”

Section: Pandemic and Financial Marketsmentioning

confidence: 67%

The impact of COVID-19 shocks on the volatility of stock markets in technologically advanced countries

Zhang

2021

Economic Research-Ekonomska Istraživanja

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This study examines the volatility of China and the most advanced countries of the world stock markets due to the pandemic of COVID-19 using the TGARCH model. This research study presents empirical support for the TGARCH specification for explaining the daily time dependence in the rate of information arrival to the market for stocks traded on China stock market. Using the sample containing closing stock market returns from 05 January 2015 to 04 April 2020 of sample countries, we found that through the COVID-19, there is no significant impact of returns volatility coming from advanced countries towards the China stock market. Further, results state that China has a significant impact on explaining the volatility of the most advanced countries of the world (Switzerland, Sweden, Netherlands, and the UK) except the U.S.A. during COVID-19. We found no significant impact of China stock market returns on the U.S.A.'s volatility, but there is a presence of leverage effect during COVID À19.

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Section: Pandemic and Financial Marketsmentioning

confidence: 67%

The impact of COVID-19 shocks on the volatility of stock markets in technologically advanced countries

Zhang

2021

Economic Research-Ekonomska Istraživanja

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“…Heyden and Heyden (2020) and Ramelli and Wagner (2020) focus on equity markets in Europe and the United States and show that news about COVID‐19 developments and monetary and fiscal policy measures have driven stock prices. Alfaro et al (2020) link aggregate equity market returns and unanticipated changes in predicted COVID‐19 infections, while Schoenfeld (2020) examines buy‐and‐hold asset returns and finds a systematic underestimation of the COVID‐19 risk in portfolio management. Using high‐frequency data, ElFayoumi and Hengge (2020) show that the pandemic and associated policy responses have contributed to the large wave of capital reallocation between markets, asset classes, and industries.…”

Section: A Brief Overview Of the Literaturementioning

confidence: 99%

Contagion of fear: Is the impact of COVID‐19 on sovereign risk really indiscriminate?

Cevik

Öztürkkal

2021

International Finance

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This paper investigates the impact of infectious diseases on the evolution of sovereign credit default swap (CDS) spreads for a panel of 77 countries. Using annual data over 2004–2020, we find that infectious‐disease outbreaks have no discernible effect on CDS spreads, after controlling for macroeconomic and institutional factors. However, a granular analysis using high‐frequency data indicates that the COVID‐19 pandemic has had a significant impact on CDS spreads. This adverse effect appears to be more pronounced in advanced economies, which may reflect the greater severity of the pandemic and depth of the economic crisis in these countries, at least during the initial stage of the outbreak, as well as underreporting in developing countries due to differences in testing availability and institutional capacity. While more stringent containment measures help lower sovereign CDS spreads, the fiscal burden of these efforts could undermine credit worthiness and eventually push the cost of borrowing higher.

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“…During the period analysed, the findings of the study indicate a large number of expected characteristics during a "flight to safety". During the period of the enormous financial crisis, the relationship between Bitcoin and Chinese stock markets have eventually evolved Schoenfeld (2020). in his study assess the factor of risk in the context of financial markets and pandemics.…”

mentioning

confidence: 99%

Impact of COVID-19 on Performance of Pakistan Stock Exchange

Ahmed¹

2020

Preprint

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The objective of this study is to determine the impact of COVID-19 on the performance of Pakistani Stock Market. This study uses the data of COVID-19 related positive cases, fatalities, recovers and the closing prices of PSX 100 index of the first half of 2020. The findings of the study suggest that only COVID-19 recoveries are influencing the performance of the index and the daily positive cases and fatalities are insignificantly related to the performance. Further studies can be performed by incorporating other variables such as economic growth, interest rate and inflation rate along with the COVID-19 related variables at a cross-country level.

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The Invisible Risk: Pandemics and the Financial Markets

Cited by 47 publications

References 4 publications

The impact of COVID-19 shocks on the volatility of stock markets in technologically advanced countries

The impact of COVID-19 shocks on the volatility of stock markets in technologically advanced countries

Contagion of fear: Is the impact of COVID‐19 on sovereign risk really indiscriminate?

Impact of COVID-19 on Performance of Pakistan Stock Exchange

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