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The impact of the COVID-19 pandemic on the volatility of cryptocurrencies
Karagiannopoulou, Sofia; Ragazou, Konstantina; Passas, … - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-17
great volatility regarding the response of Bitcoin to a shock of STOXX50. The Granger causality test was constructed to …
Persistent link: https://www.econbiz.de/10014284682
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The Determinants of Main Stock Exchange Index Changes in Emerging Countries : Evidence from Turkey in COVID-19 Pandemic Age
Kartal, Mustafa Tevfik - 2020
, government bonds interest rates, Morgan Stanley Capital International (MSCI) emerging markets index, and volatility index in the … pre-pandemic period; (ii) the importance of variables changes as MSCI emerging markets index, the volatility index …
Persistent link: https://www.econbiz.de/10012827508
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Triggering of herding instincts due to COVID-19 pandemic in Pakistan Stock Exchange
Jabeen, Shaista; Rizavi, Sayyid Salman; Nasir, Adeel - In: Journal of Asian finance, economics and business : JAFEB 8 (2021) 10, pp. 207-218
Persistent link: https://www.econbiz.de/10012671113
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Australian securities markets through the COVID-19 pandemic
Johnson, Claire; Lane, Kevin; McClure, Nina - In: Bulletin / Reserve Bank of Australia (2022), pp. 83-94
Persistent link: https://www.econbiz.de/10013369640
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COVID-19 pandemic & financial market volatility : evidence from GARCH models
Khan, Maaz; Kayani, Umar Nawaz; Khan, Mrestyal; Mughal, … - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-20
the market volatility and asymmetric behavior of Bitcoin, EUR, S&P 500 index, Gold, Crude Oil, and Sugar during the COVID … returns data ranging from 27 November 2018 to 15 June 2021. The empirical findings show a high level of volatility persistence …
Persistent link: https://www.econbiz.de/10014289566
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Idiosyncratic and Systematic Shocks of COVID-19 Pandemic on Financial Markets
Naidenova, Iuliia - 2020
This study is discovering the impact of idiosyncratic and systematic shocks of COVID-19 pandemic on financial markets. Under a condition when the application of a conventional event-study is limited due to a high frequency of negative news – we suggest brute-force search to identify those...
Persistent link: https://www.econbiz.de/10012837141
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Contagion across financial markets during COVID-19 : a look at volatility spillovers between the stock and foreign exchange markets in South Africa
Van Der Westhuizen, Chevaughn; Van Eyden, Reneé; Aye, … - 2022
Persistent link: https://www.econbiz.de/10013166947
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The effects of epidemics on capital markets volatility : a case study of Borsa Istanbul
Güzel, Fatih; Acar Boyacioğlu, Melek - In: CES working papers 13 (2021) 1, pp. 50-70
This study examines the effects of epidemics like H1N1, MERS and EBOLA on the volatility of capital markets through the … observations. In the study, first, the appropriate volatility model for BIST 100 Index, which is the main market index of Borsa … Istanbul, was determined. ARCH, GARCH, T-GARCH and E-GARCH models were tested to estimate the appropriate volatility model …
Persistent link: https://www.econbiz.de/10012591077
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Indian MCX Financial Market Volatility In Wave 1 & 2 COVID-19 Pandemic
Kothiwal, Ritu; Ashwini, Maharaju; Ashok, R. - 2022
declines in global commodity prices. The pandemic signifies a singular shock on impact of both the demand and supply of …
Persistent link: https://www.econbiz.de/10013289365
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COVID-19 pandemic and stock market contagion : a wavelet-copula GARCH approach
Alqaralleh, Huthaifa; Canepa, Alessandra; Zanetti … - 2020
Persistent link: https://www.econbiz.de/10012387020