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This study presents a thorough investigation of the relationship between the coronavirus disease 2019 (COVID-19) and … psychological response to the pandemic and stock prices. In addition, it depicts the mechanism of the shock to the stock market by … calculation of the impulse of a shock to the financial market. Second, this study empirically estimates the marginal effect of the …
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We propose a new Sharpe ratio index obtained from return and volatility spillover indices to individual assets from the whole financial system. We use our new approach to shed light on a new perspective on a hot topic examining the safe-haven assets after Covid-19. To do that, we compare both...
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The unprecedented global pandemic of COVID-19 has greatly impacted the stock market in terms of both price reactions and the influences of volatility. Using a sample of 46 stocks listed in the Stock Exchange of Thailand, in this paper, an event study technique is developed considering...
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