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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
-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1, 1), and EGARCH (1, 1) econometric models on the daily time series … positive asymmetric behavior during the pandemic. Apart from this, the results also reveal that EGARCH is the most appropriate …
Persistent link: https://www.econbiz.de/10014289566
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COVID-19 vaccinations and the volatility of energy companies in international markets
Demir, Ender; Kizys, Renatas; Rouatbi, Wael; Zaremba, Adam - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-21
The COVID-19 pandemic has elevated both the risk and volatility of energy companies. Can mass vaccinations restore …
Persistent link: https://www.econbiz.de/10012799942
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Evidence of stock market contagion during the COVID-19 pandemic : a wavelet-copula-GARCH approach
Alqaralleh, Huthaifa; Canepa, Alessandra - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-18
In this study, we propose a wavelet-copula-GARCH procedure to investigate the occurrence of cross-market linkages during the COVID-19 pandemic. To explore cross-market linkages, we distinguish between regular interdependence and pure contagion, and associate changes in the correlation between...
Persistent link: https://www.econbiz.de/10012626221
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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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The impact of COVID-19 on the work of property valuers : a glance at the Polish state of play
Uhruska, Małgorzata; Małkowska, Agnieszka - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-16
This article presents how the COVID-19 pandemic affected the valuation profession in Poland in the early stages of its most severe restrictions and limitations. This study is the first to investigate the impact of COVID-19 on the professional activities of property valuers. In particular, it...
Persistent link: https://www.econbiz.de/10012626869
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Investigating the causal linkages among inflation, interest rate, and economic growth in Pakistan under the influence of COVID-19 pandemic : a wavelet transformation approach
Hayat, Muhammad Azmat; Ghulam, Huma; Batool, Maryam; … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-22
This research is the earliest attempt to understand the impact of inflation and the interest rate on output growth in the context of Pakistan using the wavelet transformation approach. For this study, we used monthly data on inflation, the interest rate, and industrial production from January...
Persistent link: https://www.econbiz.de/10012605914
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The impact of the COVID-19 pandemic on consumer and business confidence indicators
Teresiene, Deimante; Keliuotyte-Staniuleniene, Greta; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-23
(PMI) in the services sector was significantly negatively affected by the mortality risk of COVID-19 infection; and the …
Persistent link: https://www.econbiz.de/10012520682
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Polish culture in the face of the COVID-19 pandemic crisis
Kantor, Angelika; Kubiczek, Jakub - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-14
Cancellation of the events offered by cultural institutions was caused by the restrictions introduced by the government and, at a critical moment, a national lockdown. The COVID-19 pandemic forced cultural institutions to adapt to the new reality. The aim of this article was to present the...
Persistent link: https://www.econbiz.de/10012522278
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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 Japanese stock market differs between a few years preceding the coronavirus disease 2019 (pre-COVID-19), from 2014 to … 2019, and during the COVID-19 period, in 2020. Although the energy resources and bank sectors are risk receivers in the pre …
Persistent link: https://www.econbiz.de/10013471003
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Effects of the 2008 financial crisis and COVID-19 pandemic on the dynamic relationship between the Chinese and international fossil fuel markets
Tang, Chaofeng; Aruga, Kentaka - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-11
the Chinese fossil fuel markets. The study indicates the importance of controlling the risk involved in the Chinese fossil …
Persistent link: https://www.econbiz.de/10012534536