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The COVID-19 shock : a Bayesian approach

Younes, Oussama Abi; Altuğ, Sumru - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-15

The coronavirus crisis that started in December 2019 was declared a pandemic by March 2020 and had devastating global … of the lockdown measures. However, the massive fiscal and monetary stimulus packages to counteract the effects of the …

Persistent link: https://www.econbiz.de/10012792445

The drivers of policies to limit the spread of COVID-19 in Europe

Bourdin, Sébastien; Miled, Slimane Ben; Salhi, Jamil - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-9

While many articles have analyzed the effectiveness of the policies that aimed to limit the spread of COVID-19, very little research work has examined the determinants that drove these policies. Therefore, we proposed to study the determinants that led government authorities to implement more or...

Persistent link: https://www.econbiz.de/10012821274

The impact of COVID-19 and its policy responses on local economy and health conditions

Gungoraydinoglu, Ali; Öztekin, Ilke; Öztekin, Özde - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-27

US states have implemented lockdown measures to contain the COVID-19 pandemic. We assess the impact of state policy … associated with social distancing. We find that lockdown measures are effective in alleviating disease severity, but yield …

Persistent link: https://www.econbiz.de/10012587672

Do foreign investment flow and overconfidence influence stock price movement? : a comparative analysis before and after the COVID-19 lockdown

Sukmadilaga, Citra; Fitri, Almaida Noor; Ghani, Erlane K. - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17

influence of foreign investment flow and overconfidence on stock price movement before and after the COVID-19 lockdown in … which the data were taken in a period of 10 days before and 10 days after the implementation of the COVID-19 lockdown in … prices before and after the COVID-19 lockdown. However, this study showed that foreign investment flow and overconfidence …

Persistent link: https://www.econbiz.de/10014301569

The impact of COVID-19 on stock market returns in Vietnam

Đao Van Hùng; Thi Minh Hue Nguyen; Thuy Duong Vu - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-15

pre-lockdown and second-wave period, compared to impact for the lockdown period. The impacts also differed across sectors …

Persistent link: https://www.econbiz.de/10012628531

Mitigation strategies for COVID-19 : lessons from the K-SEIR model calibrated to the observable data

Lipton, Alexander; López de Prado, Marcos M. - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-38

This article develops a detailed epidemiological multi-factor model, the K-susceptible-exposed-infected-removed (K-SEIR) model, and several simpler sub-models as its building blocks. The general model enables us to account for all the relevant COVID-19 features, its disparate impact on different...

Persistent link: https://www.econbiz.de/10013273604

Dynamic causality analysis of COVID-19 pandemic risk and oil market changes

So, Mike Ka-pui; Chan, Jacky N. L.; Chu, Amanda M. Y. - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-11

Crude oil draws attention in recent research as its demand may indicate world economic growth trend in the post-COVID-19 era. In this paper, we study the dynamic lead-lag relationship between the COVID-19 pandemic and crude oil future prices. We perform rolling-sample tests to evidence whether...

Persistent link: https://www.econbiz.de/10013273581

The causal nexus of consumer and business confidence indexes in early pandemic period : evidence from OECD countries

Bielova, Inna; Halík, Jaroslav; Ryabushka, Lyudmila - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-14

The COVID-19 pandemic has been shown dire consequences for the global economy, not only in the past and present but also in the future. These consequences are not only humanitarian but also financial and economic. This article raises the question of whether the state of the health system is a...

Persistent link: https://www.econbiz.de/10012622815

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

COVID-19 pandemic and Romanian stock market volatility : a GARCH approach

Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-29

This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve...

Persistent link: https://www.econbiz.de/10012626337

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