Uncertainty governance in the stock market during the COVID-19: evidence of the strictest economies in the world

Owjimehr, Sakine; Dastfroosh, Hooman Hasanzadeh

doi:10.1108/cfri-07-2022-0109

Cited by 7 publications

(7 citation statements)

References 58 publications

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“…Following recent studies (Owjimehr and Dastfroosh, 2022;Çetin, 2022;Cabanillas-Jim enez and Galanakis, 2022;Scherf et al, 2022;Zaremba et al, 2020) 1% level, indicating stationary time series. The means of stock returns are very close to zero, assuming a mean of zero, the t-statistics calculated for the return series show that they are not significantly different from zero, so we set the mean as zero in the subsequent EGARCH modeling.…”

Section: Government Interventionsmentioning

confidence: 60%

“…Considering the characteristics of fat tails and the clustering tendency of volatility, the conditional volatility calculated using the EGARCH (1,1) model based on daily returns (Hsieh, 1993; Lim and Sek, 2013; Owjimehr and Dastfroosh, 2022; Mahajan et al ., 2022). There are two reasons why the EGARCH model is chosen instead of the Engle (1982) ARCH or Bollerslev (1986) GARCH model: (1) EGARCH allows the conditional variance to respond differently to the decrease and increase of the return, while ARCH and GARCH impose symmetric responses; (2) Unlike ARCH and GARCH, no constraints are imposed on the coefficients of the variance equation to ensure the non-negativity of the variance in EGARCH.…”

Section: Methodsmentioning

confidence: 99%

“…Following recent studies (Owjimehr and Dastfroosh, 2022;Çetin, 2022;Cabanillas-Jim enez and Galanakis, 2022;Scherf et al, 2022;Zaremba et al, 2020), we used Hale et al's (2020) OxCGRT database to identify the governments' interventions, collected from https://github. com/OxCGRT/covid-policy-tracker.…”

Section: Data and Methodology 31 Datamentioning

confidence: 99%

“…While there are not enough studies examining the impact of the oxCGRT index on uncertainty. Owjimehr and Dastfroosh (2022) use the comprehensive oxCGRT index to exam the impact on the stock market volatility. It's worthy to conduct a further evaluation of the outcome by considering different types of government's policies.…”

Section: Stock Market Volatility and Government Interventions To Covi...mentioning

confidence: 99%

“…First, we enrich the growing body of COVID-19 research (e.g. Al-Awadhi et al ., 2020; Baker et al ., 2020; Conlon et al ., 2020; Onali, 2020; Owjimehr and Dastfroosh, 2022; Scherf et al ., 2022; Zaremba et al ., 2020) by comprehensively examining whether and how government prevention policies affect stock market returns, volatility and liquidity. Second, we explore the impact of different types of intervention policies on stock market performance, respectively.…”

Section: Introductionmentioning

confidence: 99%

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COVID-19, various government interventions and stock market performance

Li,

Chen,

et al. 2023

CFRI

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PurposeAccording to the Government Response tracker (oxCGRT) index, the overall government response, stringency, economic support, containment and health policies to COVID-19 from January 2020 to December 2022. The main objective of this paper is to explore how stock market performance is affected by these polices, respectively.Design/methodology/approachThe authors employ EGARCH and autoregressive distributional lag (ARDL) models to test the impact of epidemic prevention policy implementation on stock market returns, volatility and liquidity and make cross-country comparisons for six important world economies.FindingsFirstly, the implementation of various preventive policies hurts stock market returns and increases volatility, but there are a few indicators that have no effect or have an easing effect in some countries. Secondly, health policies exacerbate market volatility and have a stronger effect than other policy indicators. Thirdly, In China and the USA, anti-epidemic policies have been shown to worsen liquidity, while in Japan they have been shown to improve liquidity.Originality/valueFirst, enrich the growing body of COVID-19 research by comprehensively examining whether and how government prevention policies affect stock market returns, volatility and liquidity. Second, explore the impact of different types of intervention policies on stock market performance, separately.

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Section: Government Interventionsmentioning

confidence: 60%

Section: Methodsmentioning

confidence: 99%

Section: Data and Methodology 31 Datamentioning

confidence: 99%

Section: Stock Market Volatility and Government Interventions To Covi...mentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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COVID-19, various government interventions and stock market performance

Li,

Chen,

et al. 2023

CFRI

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Robust risk choice under high-water mark contract

Yan

Yang

2023

Rev Quant Finan Acc

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By assuming that a risk-neutral hedge fund manager has ambiguous beliefs about the return process of risky asset, we study his robust risk choice under the high-water mark. The results show that without management fees, ambiguity aversion induces the manager to take more risk as the fund is close to the termination but take less risk as the fund approaches the high-water mark. With management fees, ambiguity aversion increases the induced risk aversion and moderates the manager’s incentive to take risk, predicting that it is the manager with higher rates of management fees that reduces the risky asset holdings more when he becomes less confident and/or more pessimistic about the future returns. The model implies that managers’ ambiguity aversion is a possible factor explaining hedge fund activities in stock markets during the financial crisis of 2007–2009 and in US Treasury markets during COVID-19 crisis. Finally, taxation is taken into account.

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