The risk transmission of COVID-19 in the US stock market

Baek, Seung‐Ho; Lee, Kwan Yong

doi:10.1080/00036846.2020.1854668

Cited by 46 publications

(34 citation statements)

References 21 publications

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“…In addition, we also found that the coefficients a 21 and a 21 have reached the 10% significance level. This shows that the banking sector's extreme risks and market shocks will be transmitted to the securities sector, and the direction of influence will be harmful [10]. However, the securities sector does not have a significant risk transmission effect on the banking sector.…”

Section: Mvmq-caviar Model Estimation Resultsmentioning

confidence: 99%

Law of interest rate changes in financial markets based on the differential equation model of liquidity

Muwafak

2021

Applied Mathematics and Nonlinear Sciences

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Risk transmission has three elements: risk source, risk flow and risk carrier. The paper quotes the asymmetric model and the joint asymmetric model to analyse the conduction effects of financial risks. At the same time, the article uses the elasticity coefficient to quantitatively calculate the risk transmission effect of the two supply chain financial financing modes. The research results prove that the risk transmission ability of each financial market has individual differences, and the foreign exchange market does not have significant risk transmission ability to other markets during the rising stage. The joint asymmetric model is more effective in predicting corporate financial risks.

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Section: Mvmq-caviar Model Estimation Resultsmentioning

confidence: 99%

Law of interest rate changes in financial markets based on the differential equation model of liquidity

Muwafak

2021

Applied Mathematics and Nonlinear Sciences

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“…Then, they used a regression model to investigate the relations between these two indices and Chinese stock market returns and found that the stock returns were positively predicted by the sentiments with both platforms. Baek and Lee ( Baek & Lee, 2021 ) used the daily death rate and recovery rate of COVID-19 as proxies for bad and good news, respectively, and they employed the BEKK-multivariate GARCH model to examine the influences of these rates on the US stock market. The results showed that the stock market was significantly and positively impacted by the volatility of the death rate (bad news) and negatively associated with the volatility of the recovery rate (good news).…”

Section: Literature Reviewmentioning

confidence: 99%

Using machine learning to analyze the impact of coronavirus pandemic news on the stock markets in GCC countries

Al‐Maadid

Alhazbi

Al-Thelaya

2022

Research in International Business and Finance

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“…Harjoto, Rossi, and Paglia (2021) indicated that cases and deaths had impacts on equity returns and increased volatility especially, in the emerging economies' markets, while only cases of COVID-19 influenced stock returns, volatility, and trading volume in the developed economies' markets. Seungho and Lee (2021) found that the bad news had an impact on the current U.S. stock market much more than the good news. This study employs impacts of news on stock prices and exchange rates and the focus country is Japan.…”

Section: Existing Studiesmentioning

confidence: 99%

How and What Influences from COVID-19 Have Impacted Stock Prices and Exchange Rates? the Case of Japan

Kurihara

2021

IJAEFA

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This study reports the empirical analyzes of the COVID-19 on stock prices and exchange rates of Japan. Newly confirmed cases and death cases have significantly positive impacts on Japanese stock prices. One reason is that Japanese stock prices recently move together with U.S. stock prices. Under this situation, the U.S. could recover from the damage of COVID-19 ahead of other countries and its stock prices have increased hugely, so the effects on Japanese stock prices have been quite large. The rising of the U.S. stock prices have had a big influence so as to deny the adverse effects by COVID-19 in Japan. The other reason is that although the stock prices of tourism, food service, and so on were damaged in Japan, other industry stock prices have been increasing. The coefficients of declaration of the state of emergency/anti-infection measures are positive which denotes that the stock market may have taken the measure favorably. However, they are positive, but they are also insignificant. For the exchange rates, the newly confirmed case is significant and positive which means that it promotes depreciation of the Japanese Yen. It seems natural because if the situation of COVID-19 becomes serious, market participants consider investment in Japan as risky. Finally, both of the cases of confirmed cases and death cases of COVID-19 are negatively and significantly related with the flow of people. The coefficient of declaration of the state of emergency/anti-infection measures is negative, however, they are not significant to the flow of people.

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The risk transmission of COVID-19 in the US stock market

Cited by 46 publications

References 21 publications

Law of interest rate changes in financial markets based on the differential equation model of liquidity

Law of interest rate changes in financial markets based on the differential equation model of liquidity

Using machine learning to analyze the impact of coronavirus pandemic news on the stock markets in GCC countries

How and What Influences from COVID-19 Have Impacted Stock Prices and Exchange Rates? the Case of Japan

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