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From physical to financial contagion: the COVID-19 pandemic and increasing systemic risk among banks

Baumöhl, Eduard; Bouri, Elie; Hoang, Thi-Hong-Van; … - 2020

Over the last few decades, large banks worldwide have become more interconnected, and as a result, the failure of one can trigger the failure of many. In finance, this phenomenon is often known as financial contagion, which can occur as a domino effect. In this paper, we show an unprecedented...

Persistent link: https://www.econbiz.de/10012224668

Increasing systemic risk during the Covid-19 pandemic: A cross-quantilogram analysis of the banking sector

Baumöhl, Eduard; Bouri, Elie; Hoang, Thi-Hong-Van; … - 2020

Over the last few decades, large banks worldwide have become more interconnected. As a result, the failure of one can trigger the failure of many. In finance, this phenomenon is often known as financial contagion, which can act like a domino effect. In this paper, we show an unprecedented...

Persistent link: https://www.econbiz.de/10012254795

COVID-19 pandemic and investor herding in international stock markets

Bouri, Elie; Demirer, Rıza; Gupta, Rangan; Nel, Jacobus - In: Risks 9 (2021) 9, pp. 1-11

The aim of this study is to understand the effect of the recent novel coronavirus pandemic on investor herding behavior in global stock markets. Utilizing a daily newspaper-based index of financial uncertainty associated with infectious diseases, we examine the association between...

Persistent link: https://www.econbiz.de/10013200832

Gold against Asian stock markets during the COVID-19 outbreak

Yousaf, Imran; Bouri, Elie; Ali, Shoaib; Azoury, Nehme - In: Journal of Risk and Financial Management 14 (2021) 4, pp. 1-23

analyses show that the hedge portfolio returns in many cases are mostly driven by gold implied volatility and inflation …

Persistent link: https://www.econbiz.de/10012611743

On the return-volatility relationship in the Bitcoin market around the price crash of 2013

Bouri, Elie; Azzi, Georges; Haubo Dyhrberg, Anne - 2016

The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily … database denominated in various currencies. The results for the entire period provide no evidence of an asymmetric return-volatility … relation in the Bitcoin market. They test if there is a difference in the return-volatility relation before and after the price …

Persistent link: https://www.econbiz.de/10011540702

On the return-volatility relationship in the Bitcoin market around the price crash of 2013

Bouri, Elie; Azzi, Georges; Dyhrberg, Anne Haubo - In: Economics: The Open-Access, Open-Assessment E-Journal 11 (2017) 2017-2, pp. 1-16

The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily … database denominated in US dollar. The results for the entire period provide no evidence of an asymmetric return-volatility … relation in the Bitcoin market. The authors test if there is a difference in the return-volatility relation before and after …

Persistent link: https://www.econbiz.de/10011600316

On the Hedge and Safe Haven Properties of Bitcoin : Is it Really More than a Diversifier?

Bouri, Elie - 2016

This paper uses a dynamic conditional correlation model to examine whether Bitcoin can act as a hedge and safe haven for major world stock indices, bonds, oil, gold, the general commodity index and the US dollar index. Daily and weekly data span from July 2011 to December 2015. Overall, the...

Persistent link: https://www.econbiz.de/10012982132

Is Wine a Good Choice for Investment?

Bouri, Elie - 2018

We extend our understanding on the role of wine investment within a portfolio of different assets (US/UK equities, bonds, gold, and housing) by considering a rich methodology based, among others, on the mean-variance and stochastic-dominance approaches. The main findings suggest that wine is the...

Persistent link: https://www.econbiz.de/10012927259

Cryptocurrency returns and economic policy uncertainty : A multicountry analysis using linear and quantile-based models

Cheema, Muhammad A. - 2020

In this paper, we examine whether the economic policy uncertainty (EPU) index can predict the cryptocurrency returns for countries with the highest number of Bitcoin nodes, which include U.S., Germany, France, Netherlands, Singapore, Canada, the UK, China, Russia, and Japan. To the extent...

Persistent link: https://www.econbiz.de/10012837976

COVID-19 pandemic and investor herding in international stock markets

Bouri, Elie; Demirer, Rıza; Gupta, Rangan; Nel, Jacobus - In: Risks : open access journal 9 (2021) 9, pp. 1-11

Persistent link: https://www.econbiz.de/10012632020