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Evidence of abnormal trading on COVID-19 Pfizer vaccine development information
Mason, Andrew N.; Elkassabgi, Ahmed - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-10
The 2019 COVID-19 pandemic led to an economic slowdown worldwide and shook the investment world. Pharmaceutical investments were influenced by the anticipation of COVID-19 vaccine developments. Our study examines the real-time impact of public announcements concerning COVID-19 vaccine...
Persistent link: https://www.econbiz.de/10013370364
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Prevention is better than the cure : risk management of COVID-19
McAleer, Michael - In: Journal of risk and financial management : JRFM 13 (2020) 3/46, pp. 1-5
A novel coronavirus was reported to the World Health Organization (WHO) in China on 31 December 2019. The WHO named the … related coronavirus epidemics, SARS and MERS, in terms of the number of reported human infections, deaths, countries, major …
Persistent link: https://www.econbiz.de/10012174133
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Sail away to a safe harbor? : Covid-19 vaccinations and the volatility of travel and leisure companies
Demir, Ender; Kizys, Renatas; Rouatbi, Wael; Zaremba, Adam - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-21
This paper examines the impact of vaccination programs on the stock market volatility of the travel and leisure sector …. Using daily data from 56 countries over the period from January 2020 to March 2021, we find that vaccination leads to a … decrease in the investment risk of travel and leisure companies. Vaccination results in a decrease in the volatility of stock …
Persistent link: https://www.econbiz.de/10013273103
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Spillovers of the COVID-19 pandemic : impact on global economic activity, the stock market, and the energy sector
Hasan, Md. Bokhtiar; Masnun Mahi; Sarker, Tapan; Amin, … - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-18
In this study, we examine the effect of the COVID-19 pandemic on global economic activity, the stock market, and the energy sector considering the sizable damaging impacts in these crucial aspects. Our results, based on the structural vector autoregression (SVAR) model for the data from 21...
Persistent link: https://www.econbiz.de/10012534226
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Risk spillover during the COVID-19 global pandemic and portfolio management
Yousfi, Mohamed; Dhaoui, Abderrazak; Bouzgarrou, Houssam - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-29
This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets and different financial variables and commodities during the pre-COVID-19 and COVID-19 crisis, using daily data and multivariate GARCH models. Our results indicate that the...
Persistent link: https://www.econbiz.de/10012587420
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S&P 500 index price spillovers around the COVID-19 market meltdown
Lento, Camillo; Gradojevic, Nikola - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-13
This paper explores price spillover effects around the COVID-19 pandemic market meltdown between the S&P 500 index, five other financial markets, and the VIX. Frequency domain causalities are estimated for the January-May 2020 time period on a high-frequency data set at five-minute intervals....
Persistent link: https://www.econbiz.de/10012626222
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Stress spillovers among financial markets : evidence from Spain
Andrada Félix, Julián; Fernandez-Perez, Adrian; … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-21
Using a unique database, this paper examines the interconnection among stress indicators of the Spanish financial markets during the period of January 1999 to April 2021, applying both the connectedness framework and the Time-Varying Parameter Vector Autoregressive connectedness approach. Our...
Persistent link: https://www.econbiz.de/10012795265
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Spillovers of stock markets among the BRICS : new evidence in time and frequency domains before the outbreak of COVID-19 pandemic
Shi, Kai - In: Journal of risk and financial management : JRFM 14 (2021) 3/112, pp. 1-37
separated into frequency-specific spillovers in five different frequency bands to reveal differentiated linkages among BRICS … return spillovers dominated by the high frequency band (within 1 week) part declined with the drop of frequencies, while … volatility spillovers dominated by the low frequency band (above 1 quarter) part grew with the decline in frequencies; the …
Persistent link: https://www.econbiz.de/10012485149
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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
of our study will be useful for retail investors and portfolio managers in understanding the portfolio allocation methods …
Persistent link: https://www.econbiz.de/10013397677
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Volatility spillover among Japanese sectors in response to COVID-19
Shigemoto, Hideto; Morimoto, Takayuki - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-21
help investors with asset allocation and to support them in risk management. Although the Japanese stock market is one of … the relatively large global stock markets, no studies have explored volatility spillovers among its sectors. Using the … forecast error variance decomposition of the vector autoregressive model, this study examines the volatility spillovers among …
Persistent link: https://www.econbiz.de/10013471003