Download or read book Pandemic Related Financial Market Volatility Spillovers written by Shaen Corbet and published by . This book was released on 2020 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: Utilising Chinese-developed data based on long-standing influenza indices and the more recently-developed coronavirus and face-mask indices, we set out to test for the presence of volatility spillovers from Chinese financial markets during the outbreak of the COVID-19 pandemic upon a broad number of traditional financial assets. Such indices are used to specifically measure the performance of Chinese companies who are inherently involved in the R&D and production of materials and products used to mitigate the effects of influenza and coronavirus, therefore, such indices present a unique barometer of investor sentiment relating to COVID-19 in comparison to traditional Chinese influenza. Within days of the formal announcement of the COVID-19 outbreak, results indicate exceptionally pronounced and persistent impacts of coronavirus on Chinese financial markets compared to that of the traditional and long-standing influenza index. Further, in a novel finding to date, COVID-19 is found to have had a substantial effect on directional spillovers upon the Bitcoin market. Cryptocurrency-based confidence appears to have been instigated through government-developed education schemes, which are identified as one possible explanation for our results, which are found to remain robust across methodological variation.

Download or read book Financial Market Volatility Spillovers During the COVID 19 Crisis written by Lorenzo Padella and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Volatility In Financial Markets During The Covid 19 Pandemic written by Niklas Humann and published by GRIN Verlag. This book was released on 2022-04-28 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay from the year 2022 in the subject Business economics - Market research, grade: 1.3, University of Münster, language: English, abstract: The objective of this essay is to investigate the effects of Covid-19 on the volatility of individual asset markets as well as the correlation between those markets using the Dynamic Conditional Correlation GARCH methodology developed by Engle (2002). The investigated assets are the major world equity indices as well as oil, gold, and bitcoin. I have found significant volatility clustering over the entire spectrum of assets, as well as increases in the correlation between assets during the initial phase of the pandemic. Furthermore, gold and bitcoin are shown to exhibit relatively low correlations with the investigated equity markets and may hence act as important components of a robust portfolio during turbulent times. While no direct effect of Covid-19 related policy variables on the returns could be established for all assets, the results indicate that the response of financial markets was immediate and not dependent on the national exposure to the pandemic itself. Finally, all markets are shown to recover within a reasonably short time span.

Download or read book Financial Market Dynamics after COVID 19 written by Stéphane Goutte and published by Springer Nature. This book was released on 2022-04-27 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book analyses the impact of the COVID-19 pandemic in different areas of Finance emphasizing the contagion effect in capital markets. The volume presents evidence-based case studies from the global financial crisis that followed after the onset of the pandemic in March 2020.

Download or read book Financial and Macroeconomic Connectedness written by Francis X. Diebold and published by Oxford University Press. This book was released on 2015-02-03 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: Connections among different assets, asset classes, portfolios, and the stocks of individual institutions are critical in examining financial markets. Interest in financial markets implies interest in underlying macroeconomic fundamentals. In Financial and Macroeconomic Connectedness, Frank Diebold and Kamil Yilmaz propose a simple framework for defining, measuring, and monitoring connectedness, which is central to finance and macroeconomics. These measures of connectedness are theoretically rigorous yet empirically relevant. The approach to connectedness proposed by the authors is intimately related to the familiar econometric notion of variance decomposition. The full set of variance decompositions from vector auto-regressions produces the core of the 'connectedness table.' The connectedness table makes clear how one can begin with the most disaggregated pair-wise directional connectedness measures and aggregate them in various ways to obtain total connectedness measures. The authors also show that variance decompositions define weighted, directed networks, so that these proposed connectedness measures are intimately related to key measures of connectedness used in the network literature. After describing their methods in the first part of the book, the authors proceed to characterize daily return and volatility connectedness across major asset (stock, bond, foreign exchange and commodity) markets as well as the financial institutions within the U.S. and across countries since late 1990s. These specific measures of volatility connectedness show that stock markets played a critical role in spreading the volatility shocks from the U.S. to other countries. Furthermore, while the return connectedness across stock markets increased gradually over time the volatility connectedness measures were subject to significant jumps during major crisis events. This book examines not only financial connectedness, but also real fundamental connectedness. In particular, the authors show that global business cycle connectedness is economically significant and time-varying, that the U.S. has disproportionately high connectedness to others, and that pairwise country connectedness is inversely related to bilateral trade surpluses.

Download or read book Volatility Spillovers and Contagion from Mature to Emerging Stock Markets written by John Beirne and published by . This book was released on 2009 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.

Download or read book Volatility Spillovers and Contagion from Mature to Emerging Stock Markets written by John Beirne and published by INTERNATIONAL MONETARY FUND. This book was released on 2008-12-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.

Download or read book Financial Transformations Beyond The Covid 19 Health Crisis written by Sabri Boubaker and published by World Scientific. This book was released on 2022-05-18 with total page 857 pages. Available in PDF, EPUB and Kindle. Book excerpt: The COVID-19 global health pandemic, which started in late December 2019, forced many countries to adopt unusual measures such as social distancing and strict lockdowns. It changed many of our certainties and practices, including the foundations of the market-led version of capitalism, by bringing social and health considerations back to the forefront of firms' considerations, investors' strategies and governments' priorities. Under the effects of this unprecedented crisis, all sectors of finance and real economy have been seriously affected.Health uncertainties and their increasing consequences for human life and activities require stronger and faster actions to shape pathways towards sustainability and better resilience. The COVID-19 health crisis is a visible part of a greater iceberg: the World Health Organization has tracked, over recent years, a large number of epidemic events around the world, suggesting that many other similar diseases could appear and evolve in the future from epidemic to pandemic in a globalized world.Financial Transformations Beyond the COVID-19 Health Crisis was specifically designed to provide the readers with new results, recent findings and future outlook on the impacts of COVID-19 on financial markets, firm behaviors, and finance and investment strategies. It favors multidimensional perspectives and brings together conceptual, empirical and policy-oriented chapters, using quantitative and qualitative methods alike. This is a timely and comprehensive collection of theoretical, empirical and policy contributions from renowned scholars around the world, and provides the thoughts and insights required to rethink the financial sector in the event of new shocks of the same nature.

Download or read book Pandemics and Travel written by Cláudia Seabra and published by Emerald Group Publishing. This book was released on 2021-09-03 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pandemics and Travel: COVID-19 Impacts in the Tourism Industry analyses the wider impacts of epidemics, diseases and virus outbreaks on tourism and mobility. Chapters examine a wide range of issues, including the concept of Health Risk and Tourism and the impacts of the COVID-19 crisis.

Download or read book Turbulence in the Financial Markets written by Steve J. Bickley and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The current coronavirus pandemic has had far-reaching global effects on the health and wellbeing of individuals across each and every continent of the world. The economic and financial market response has been equally disastrous and turbulent with high levels of volatility observed across international financial markets. This study explores the temporal relation between the observed structural breaks, market volatility and government policy interventions for 28 countries and their respective market indices. We present results which indicate that the establishment of stay-at-home policies cause sharp discontinuities in 15 of the 28 markets (53.57%) and increase market efficiency in 30 of 49 stay-at-home policy establishment cases (61.22%). These results indicate a small, yet statistically significant degree of persistence and hence, predictability in international financial markets and their associated market indices in response to stay-at-home policies.

Download or read book Recent Advances and Applications in Alternative Investments written by Zopounidis, Constantin and published by IGI Global. This book was released on 2020-02-07 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, there has been a swell of investment opportunities in contemporary asset classes that have gained considerable attention, including cryptocurrencies, hedge funds, and private equity. These alternative investments provide the opportunity to enhance the diversification of financial portfolios and harvest risk premiums that traditional assets like stocks and bonds fail to provide. The emergence of these new properties has created the need to further understand the mechanics, risks, and returns of alternative investments. Recent Advances and Applications in Alternative Investments is a pivotal reference source that provides vital research on the emergence and development of complementary asset classes in the field of finance and investment. While highlighting topics such as carbon emission markets, renewable energy, and digital currencies, this publication explores modern investment strategies as well as the latest products and new types of risk. This book is ideally designed for managers, strategists, accountants, financial professionals, economists, brokers, investors, business practitioners, policymakers, researchers, and academicians seeking current research on contemporary developments in investment strategies and alternative assets.

Download or read book Volatility Spillover Across Major Equity Markets written by Pardeep Singh and published by . This book was released on 2015 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility spillover among major equity markets has long fascinated academicians and researchers alike. This paper presents an elaborate survey and analysis of the literature on the subject. Review of extant studies on various basis such as markets studied, methodology employed, among others has important implications for various stakeholders. We report that there has been wide variation in results because different studies have examined different markets using wide range of financial econometric methodologies. Some have considered only volatility or both volatility and spillover. Still others have incorporated the impact of global financial crisis on volatility spillover. Future researchers should examine if there is any volatility spillovers between various sectors of an economy, between different financial markets of the same economy, amongst same sectors of different markets, probe whether size effect is relevant, identify the transmission channels of volatility spillover, enumerate reasons behind volatility spillover, examine asymmetric volatility responses among stock markets and can use more advanced econometric techniques.

Download or read book Volatility and Time Series Econometrics written by Mark Watson and published by Oxford University Press. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics

Download or read book The COVID 19 Impact on Corporate Leverage and Financial Fragility written by Sharjil M. Haque and published by International Monetary Fund. This book was released on 2021-11-05 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the impact of the COVID-19 recession on capital structure of publicly listed U.S. firms. Our estimates suggest leverage (Net Debt/Asset) decreased by 5.3 percentage points from the pre-shock mean of 19.6 percent, while debt maturity increased moderately. This de-leveraging effect is stronger for firms exposed to significant rollover risk, while firms whose businesses were most vulnerable to social distancing did not reduce leverage. We rationalize our evidence through a structural model of firm value that shows lower expected growth rate and higher volatility of cash flows following COVID-19 reduced optimal levels of corporate leverage. Model-implied optimal leverage indicates firms which did not de-lever became over-leveraged. We find default probability deteriorates most in large, over-leveraged firms and those that were stressed pre-COVID. Additional stress tests predict value of these firms will be less than one standard deviation away from default if cash flows decline by 20 percent.

Download or read book Does Financial Connectedness Predict Crises written by Ms.Camelia Minoiu and published by International Monetary Fund. This book was released on 2013-12-24 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global financial crisis has reignited interest in models of crisis prediction. It has also raised the question whether financial connectedness - a possible source of systemic risk - can serve as an early warning indicator of crises. In this paper we examine the ability of connectedness in the global network of financial linkages to predict systemic banking crises. Our results indicate that increases in a country's financial interconnectedness and decreases in its neighbors' connectedness are associated with a higher probability of banking crises after controlling for macroeconomic fundamentals.

Download or read book Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Download or read book Food Price Volatility and Its Implications for Food Security and Policy written by Matthias Kalkuhl and published by Springer. This book was released on 2016-04-12 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.