The recovery of global stock markets indices after impacts due to pandemics

David, Sérgio Adriani; Inacio, C.M.C.; Machado, J. A. Tenreiro

doi:10.1016/j.ribaf.2020.101335

Cited by 53 publications

(38 citation statements)

References 51 publications

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“…Along with the pause in economic activities, the panic, fear, and uncertainty adversely impacted markets, discernible in the nosedive of the major stock markets over the globe (Okorie & Lin, 2021). The world has experienced epidemics and pandemics like SARS, EBOLA, and MERS before COVID-19, but COVID-19 affected stock markets in the most hazardous way, both in intensity and scale (David et al, 2021).…”

Section: Covid-19 and Stock Marketsmentioning

confidence: 99%

“…Traces from the literature provide insight into an event study being majorly used to capture the im-pact of unsystematic risk and its deep-down effect on the individual stocks and industries Lyócsa & Molnár, 2020;Mishra et al, 2020). A sufficient count of previous studies focusing on the cross-country comparison of stock markets' reactions to COVID-19 (David et al, 2021;Mishra & Mishra, 2020;Topcu & Gulal, 2020) imitates the appropriateness of the event study method. Deficient documentation in the research wits shoves the path to measure and analyze the impact of macro events such as COVID-19 on the G-7 and BRICS nations, which propounds the idea of this study.…”

Section: G-7 Vs Bricsmentioning

confidence: 99%

“…BHAR in the event window(15)(16)(17)(18)(19)(20)(21)(22)(23)(24)(25)(26)(27)(28)(29) for G-7 and BRICS…”

mentioning

confidence: 99%

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Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study

Ledwani

Chakraborty

Shenoy

2021

Investment Management and Financial Innovations

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The unprecedented outbreak of COVID-19 has affected every aspect of the human life, be it health, social, or economic dimensions. The anxiety and uncertainty wobbled the economies of affected countries worldwide. This study attempts to quantify the impact of COVID-19 on the performance of major stock markets of G-7 nations vis-à-vis BRICS nations. An event study methodology is employed to capture the effect of the systematic event in the form of Buy and Hold Abnormal Returns (BHAR) and Average Buy and Hold Abnormal Returns (ABHAR). The study considers a 90-day observation window, consisting of six sub-event windows after the COVID-19 news up-doves the world, and 120 days prior to the selected event date to estimate average expected returns. BHAR values in the four event windows are statistically significant, covering stock markets from panic and nosedive to their correction and recovery. ABHAR values reported are significantly negative in the event window ranging from –0.15% to –38.43% for G-7 and –0.06% to –37.12% for BRICS nations. Despite similar ABHAR trends, the BHAR values and correlation matrix exhibit a diverse reaction in BRICS nations compared to the highly synchronized reaction in the G-7 group of nations in the COVID period.

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Section: Covid-19 and Stock Marketsmentioning

confidence: 99%

Section: G-7 Vs Bricsmentioning

confidence: 99%

See 1 more Smart Citation

Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study

Ledwani

Chakraborty

Shenoy

2021

Investment Management and Financial Innovations

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“…As a result, the price of gold was estimated at US $2058.4 per ounce at the beginning of August of 2020 due to the uncertainty that caused by the COVID-19 pandemic, which was at a historical high level since the financial crisis in 2008. The price of gold has increased by approximately 21.09 percent in less than one year comparing to 2019 according to S&P Capital IQ data 2 .…”

Section: Introductionmentioning

confidence: 99%

“…Please see Yamey (2017) and Madhav (2017) 2. Capital IQ, https://www.spglobal.com/marketintelligence/en/.…”

mentioning

confidence: 99%

How is COVID-19 Related to the Global Economy?

Almuqrin¹

2020

ijsshr

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Using a structural vector autoregressive model (SVAR) model, this paper attempts to investigate the short-run interrelation between COVID-19 cases, the gold market, the oil market, the global stock market, and the real economy. We find that COVID-19 cases respond predominantly to its own innovations while the crude oil market, the gold market, and global stock returns are interrelated in the short-run. The industrial production index, the price of crude oil, and the price of gold account for approximately 22.64%, 9.5%, and 13.74% of the variations in global stock returns, respectively. Global COVID-19 cases can explain about 6.022% of the variance of the U.S. industrial production index of the 30-day ahead forecast error.

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Time varying risk aversion and its connectedness: evidence from cryptocurrencies

Corbet,

Hou,

et al. 2024

Ann Oper Res

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Changing patterns of risk aversion may follow a non-linear counter-cyclical process. However, the evidence so far has not considered developing cryptocurrency markets. Given some unique features of cryptocurrencies, it is interesting to distinguish how these assets differ from traditional products. This paper investigates the time effects of periodicity on risk aversion for a selection of major cryptocurrencies compared to major financial assets. Significant periodic time-varying patterns are identified when analysing risk aversion. Further, bilateral and bidirectional Granger causalities are identified within cryptocurrencies, as well as between cryptocurrencies and traditional financial assets. Bitcoin is identified as a leading information transmitter of the spillover of risk aversion upon other cryptocurrencies, while estimated risk aversion of traditional financial markets plays a dominant role in the spillover processes upon the cryptocurrency cluster. The latter finding presents further evidence of developing cryptocurrency market maturity. The COVID-19 pandemic is found to have significantly influenced the connectedness of risk aversion among cryptocurrency and traditional financial markets.

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The recovery of global stock markets indices after impacts due to pandemics

Cited by 53 publications

References 51 publications

Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study

Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study

How is COVID-19 Related to the Global Economy?

Time varying risk aversion and its connectedness: evidence from cryptocurrencies

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