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The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis

Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17

financial portfolio returns from 2019 to 2020. Moreover, we used value-at-risk (VaR) and value-at-risk measurements based on the … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk … reports negative risk results for the entire cryptocurrency portfolio during the pandemic, except for the Ethereum (ETH). …

Persistent link: https://www.econbiz.de/10014295230

Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns

Chiang, Thomas C. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-24

This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...

Persistent link: https://www.econbiz.de/10012813880

The effects of the COVID-19 crisis on risk factors and option-implied expected market risk premia : an international perspective

Nieto Domenech, Belen; Rubio, Gonzalo - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-29

represents a unique opportunity to understand the performance of risk factors during severe economic times across international … heterogeneous responses of option-implied expected market risk premia across alternative stock market indices, and between the Great …

Persistent link: https://www.econbiz.de/10012813368

Covid-19 and Islamic stock index : evidence of market behavior and volatility persistence

Saleem, Adil; Bárczi, Judit; Sági, Judit - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-22

nine different markets around the globe. To examine changes in volatility and persistence of risk, the generalized …

Persistent link: https://www.econbiz.de/10012627110

Equity market contagion in return volatility during Euro Zone and global financial crises : evidence from FIMACH model

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; … - In: Journal of risk and financial management : JRFM 12 (2019) 2/94, pp. 1-18

The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including the US, UK, Euro Zone and BRICS (Brazil, Russia,...

Persistent link: https://www.econbiz.de/10012022043

Stock market volatility response to COVID-19 : evidence from Thailand

Suthasinee Suwannapak; Surachai Chancharat - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-9

financial crises. Furthermore, investment managers can manage portfolio risk and forecast patterns in stock market volatility …

Persistent link: https://www.econbiz.de/10014284290

Sectoral performance and the government interventions during COVID-19 pandemic : Australian evidence

Huynh, Nhan; Nguyen, Dat; Dao, Anh - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-16

overall economy. The Australian equity market is found to be rationally distinct to the crude oil price risk, while positive …

Persistent link: https://www.econbiz.de/10012522203

Volatility spillover effects during pre-and-post COVID-19 outbreak on Indian market from the USA, China, Japan, Germany, and Australia

Thangamuthu, Mohanasundaram; Maheshwari, Suneel; Naik, … - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15

We examined volatility spillover effects from five prominent global stock markets to India's stock market during the pre-and-post COVID-19 outbreak using daily adjusted closing prices between January 2019 and September 2021 from six capital markets. The structural breakpoint was identified as 23...

Persistent link: https://www.econbiz.de/10013397677

Impact of macroeconomic, governance and risk factors on FDI intensity : an empirical analysis

Sujit, K. S.; Kumar, B. Rajesh; Oberoi, Sarbjit Singh - In: Journal of risk and financial management : JRFM 13 (2020) 12/304, pp. 1-14

The study analyzes the impact of macroeconomic, governance and risk factors on foreign direct investment (FDI …, macroeconomic and risk data were sourced from the Federal Reserve Economic Data (FRED) database. The governance data were collected …

Persistent link: https://www.econbiz.de/10012392446

Decomposing the effect of domestic and foreign economic policy uncertainty shocks on real and financial sectors : evidence from BRIC countries

Kumar, Ameet; Kalhoro, Muhammad Ramzan; Kumar, Rakesh; … - In: Journal of risk and financial management : JRFM 13 (2020) 12/315, pp. 1-23

This study examines the impact of domestic and foreign shocks on the real and financial sector of BRIC countries. For this purpose, we use a structural vector autoregressive (SVAR) model over the extended period of 1997 to 2016. We conclude that domestic policy shocks have a more substantial...

Persistent link: https://www.econbiz.de/10012392584