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Responses of the international bond markets to COVID-19 containment measures

Bao Cong Nguyen To; Tam Van Thien Nguyen; Nham Thi Hong … - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-11

Using an international sample during the COVID-19 outbreak, our study gives evidence that COVID-19 containment measures impact volatility in the international bond markets in different ways. We found that the positive effect of increasing new COVID-19 vaccinations markedly mitigates bond market...

Persistent link: https://www.econbiz.de/10013163880

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

2020 to April 2021. We document that vaccination programs assist in decreasing the volatility of energy stocks around the …

Persistent link: https://www.econbiz.de/10012799942

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

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

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 disease COVID-19 on 11 February 2020. As of 26 February 2020, the disease has been detected on all continents, except for Antarctica. Daily updates on COVID-19 since early...

Persistent link: https://www.econbiz.de/10012174133

Asymmetry and leverage with news impact curve perspective in Australian stock returns' volatility during COVID-19

Iqbal, Najam; Manzoor, Muhammad Saqib; Bhatti, Muhammad … - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-15

This paper studies the effect of COVID-19 on the volatility of Australian stock returns and the effect of negative and positive news (shocks) by investigating the asymmetric nature of the shocks and leverage impact on volatility. We employ a generalised autoregressive conditional...

Persistent link: https://www.econbiz.de/10012622818

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

Institutional investors often have to decide which strategy to use across international business cycles. This is especially important during economic and financial crises. The exogenous nature of the outbreak of the dramatic COVID-19 crisis represents a unique opportunity to understand the...

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

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

How does COVID-19 affect house prices? : a cross-city analysis

Wang, Bingbing - In: Journal of risk and financial management : JRFM 14 (2021) 2/47, pp. 1-15

Using individual level transaction data and a revised difference-in-differences method with nonparametric smoothing, we study the effect of COVID-19 on house prices. The analyses are performed on the areas of Houston, Santa Clara, Honolulu, Irvine, and Des Moines in the US, which vary in the...

Persistent link: https://www.econbiz.de/10012483461

Volatility in international stock markets : an empirical study during COVID-19

Chaudhary, Rashmi; Bakhshi, Priti; Gupta, Hemendra - In: Journal of risk and financial management : JRFM 13 (2020) 9/208, pp. 1-17

Predicting volatility is a must in the finance domain. Estimations of volatility, along with the central tendency, permit us to evaluate the chances of getting a particular result. Financial analysts are frequently challenged with the assignment of diversifying assets in order to form efficient...

Persistent link: https://www.econbiz.de/10012384430

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