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The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021

This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...

Persistent link: https://www.econbiz.de/10012584220

The effects of the Covid-19 pandemic on stock markets, CDS and economic activity : time-varying evidence from the US and Europe

Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - 2021

This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...

Persistent link: https://www.econbiz.de/10012625628

The Covid-19 pandemic and the degree of persistence of US stock prices and bond yields

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2021

This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020 and then a recursive approach is taken to...

Persistent link: https://www.econbiz.de/10012494826

Modelling profitability of private equity : a fractional integration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2022

. Differences are also found in the results by asset class. The implications of these findings for private equity management, profit …

Persistent link: https://www.econbiz.de/10013285647

Cryptocurrencies, technology stocks, Covid-19 and US policy responses: a fractional integration analysis

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2022

This paper assesses the impact of US policy responses to the Covid-19 pandemic on various cryptocurrencies and also technology stocks using fractional integration techniques. More precisely, it analyses the behaviour of the percentage returns in the case of nine major coins (Bitcoin - BITC,...

Persistent link: https://www.econbiz.de/10013041344

The impact of the Covid-19 pandemic on persistence in the European stock markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Arrese … - 2021

This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the case of ten major European stock market indices; the...

Persistent link: https://www.econbiz.de/10012653308

US policy responses to the Covid-19 pandemic and sectoral stock indices : a fractional integration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Abakah, … - 2021

This paper uses fractional integration methods to assess the impact of US policy responses (containment and health … announcements) to the COVID-19 pandemic on US sectoral stock indices for Technology, Telecom, Health Care, Real Estate, Consumer … results provide evidence of mean reversion for seven sectoral stock indices (Consumer Discretionary, Consumer Staples, Health …

Persistent link: https://www.econbiz.de/10012653343

The Covid-19 pandemic, policy responses and stock markets in the G20

Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2021

This paper analyses the impact of the Covid-19 pandemic on stock market returns and their volatility in the case of the G20 countries. In contrast to the existing empirical literature, which typically focuses only on either Covid-19 deaths or lockdown policies, our analysis is based on a...

Persistent link: https://www.econbiz.de/10012622463

The Covid-19 pandemic and European trade flows : evidence from a dynamic panel model

Caporale, Guglielmo Maria; Sova, Anamaria Diana; Sova, … - 2022

This paper investigates the impact of the Covid-19 pandemic on trade flows in the case of the European countries. First, an ARDL dynamic panel model is estimated using the PMG method to analyse monthly data covering the most recent period (2019M1-2021M12); then, the GMM and PCSE approaches are...

Persistent link: https://www.econbiz.de/10013285828

Trade flows, private credit and the Covid-19 pandemic : panel evidence from 35 OECD countries

Caporale, Guglielmo Maria; Sova, Anamaria Diana; Sova, … - 2021

This paper analyses the impact of the Covid-19 pandemic on exports and imports in the case of 35 OECD countries during the 2019Q1-2021Q2 period using a dynamic panel approach, specifically the system Generalized Method of Moments (GMM). In contrast to earlier studies, the empirical specification...

Persistent link: https://www.econbiz.de/10012668484