We consider the impact of the Covid19 Pandemic on major stock-markets. We first apply a structural break testing procedure in order to identify the date of initial impact. We then estimate the magnitude of the impact using an extended form of the GARCHX model. The overall impact is decomposed...

This paper investigates the safe haven property and hedge of gold especially during GFC and COVID-19 for G7 stock markets. We use dynamic conditional correlation (DCC) and wavelet coherence analysis. Our finding reveals that the dynamic conditional correlation between gold and each G7 stock...

This paper investigates the determinants of credit spreads (levels and changes) via credit derivatives, using an Australian sample. We incorporate a number of different relationships to assess the contributions of various market-wide and firm-specific factors in determining levels, and changes...