Stock marketsDCC-GARCH modelUNIT-ROOTTIME-SERIESThis article uses the global cases of COVID-19 and nine types of Morgan Stanley Capital International (MCSI) stock indexes to test the contagion effect and the impact duration of COVID-19 on the stock market between Jan 23 - Apr 14, 2020. ...
2021b). We consider the effect of this imminent global threat on the stock market of highly prevalence countries while controlling for both oil and stock volatility index, by employing the Autoregressive Distributed lag (ARDL) to estimate both long-run and short-run relationship. The motivation ...
With increased knowledge of the local market and increased investment maturity, these investors have boosted their interest in listed shares, which allows the economy to recover more quickly from the pandemic's effect. Despite certain setbacks, like the continued rise in COVID-19 cases, which ...
The Covid 19 pandemic has been serious problem in the financial market since 2020. This study aims to estimate the effect of the Covid 19 pandemic on the financial markets in the two major ASEAN economies. Employing the advanced econometrics based on copula approach, the results indicate that ...
On the other hand, Zhang et al. (2021) analysed the indirect effect of stock market volatility in the G7 and BRIC countries, because markets are becoming more inter- connected every day and the risk of transmission is high. The study found that the G7 is a transmitter of risk, while...
We examine herding behavior before, during, and after the Covid-19 pandemic in eight prominent Asian stock markets. Daily stock returns for the period Jan- 2018 to July- 2022 in the markets were investigated using the models prescribed by Chang et al., (2000) and Chiang and Zheng (2010)...
Connectedness of cryptocurrency markets to crude oil and gold: an analysis of the effect of COVID-19 pandemic The notion that investors shift to gold during economic market crises remains unverified for many cryptocurrency markets. This paper investigates the conne... P Foroutan,S Lahmiri,JL Zha...
To our knowledge, this is the first theoretical calculation of the impulse of a shock to the financial market. Second, this study empirically estimates the marginal effect of the COVID-19 pandemic on fluctuations in stock market returns. By controlling for stock fundamentals, this study also ...
to study the effect of the COVID-19 on the financial market and the effect of macroeconomic policies on the financial market, to help understand the effect mechanism of emergencies on the stock and bond markets, the formation mechanism of return and volatility of the stock and bond market, an...
Dissecting the effect of credit supply on trade: Evidence from matched credit-export data Review of Economic Studies, 82 (9) (2015), pp. 333-359, 10.2139/ssrn.1786044 Google Scholar Ramelli and Wagner, 2020 S. Ramelli, A.F. Wagner Feverish stock price reactions to COVID-19 (2020) (SSRN...