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Idiosyncratic and Systematic Shocks of COVID-19 Pandemic on Financial Markets

Naidenova, Iuliia - 2020

This study is discovering the impact of idiosyncratic and systematic shocks of COVID-19 pandemic on financial markets. Under a condition when the application of a conventional event-study is limited due to a high frequency of negative news – we suggest brute-force search to identify those...

Persistent link: https://www.econbiz.de/10012837141

Market-stabilization QE

Motto, Roberto; Özen, Kadir - 2022

We identify a novel dimension of monetary policy from high-frequency changes in asset prices around ECB policy events, orthogonal to surprises extracted from risk-free interest rates. We find that it is present in policy events that were interpreted by real-time market commentaries as containing...

Persistent link: https://www.econbiz.de/10012818740

Pandemic or panic? : a firm-level study on the psychological and industrial impacts of COVID-19 on the Chinese stock market

Wang, Qiuyun; Liu, Lu - In: Financial innovation : FIN 8 (2022), pp. 1-38

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 …

Persistent link: https://www.econbiz.de/10013272717

Short-Selling Bans in Europe : Evidence from the COVID-19 Pandemic

Della Corte, Pasquale - 2020

A number of European countries - Austria, Belgium, France, Greece, Italy, and Spain - responded to the market disruption caused by the COVID-19 pandemic by introducing temporary bans on short-selling activity. These restrictions were imposed on all stocks and remained in place between March 18...

Persistent link: https://www.econbiz.de/10012823219

Covid 19 pandemic and Abnormal Stock Returns of listed companies in Vietnam

Dang Ngoc Hung; Vu Thi Thuy Van; Chi Le Van - In: Cogent business & management 8 (2021) 1, pp. 1-18

Covid-19 pandemic is affecting the health of the public, and it is also impacting business and economy. The main objective of this paper is to investigate the impact of Covid-19 pandemic on listed firms’ performance and the abnormal stock returns in Vietnam. To study the impact of Covid-19 on...

Persistent link: https://www.econbiz.de/10012643110

Stock Returns, Leverage, and the COVID-19 Pandemic

Davison, Colin - 2020

This paper investigates how firm debt disproportionately impacted the stock returns of firms who were highly exposed to the economic consequences of social distancing. Specifically, I use a difference-in-difference design to causally identify the impact that higher levels of firm debt had for...

Persistent link: https://www.econbiz.de/10012831163

Do Changes in Interest Rates Affect Asset Returns? Event Study Results within the COVID-19 Pandemic in Poland

Olbrys, Joanna - 2021

The aim of this research is to assess whether the interest rate cuts during the COVID-19 pandemic period in Poland affected asset returns on the Warsaw Stock Exchange (WSE). Within the pandemic period, and immediately after the first lock-down announcement on March 12, 2020, interest rates were...

Persistent link: https://www.econbiz.de/10013314287

Where do institutional investors seek shelter when disaster strikes? : evidence from COVID-19

Glossner, Simon; Matos, Pedro; Ramelli, Stefano; … - 2020

During the COVID-19 market crash, U.S. stocks with higher institutional ownership -- in particular, those held more by active, short-term, and more exposed institutions -- performed worse. Portfolio changes through the first quarter of 2020 reveal that institutional investors prioritized...

Persistent link: https://www.econbiz.de/10012271074

The impact of COVID-19 on stock market returns & volatility : a study of Thailand and Indian bourses

Jindal, Nisha; Gupta, Ravi Kumar - In: Thailand and the world economy 40 (2022) 2, pp. 145-167

The outbreak of COVID-19 has triggered a fall in the pandemic has completely changed the worldandtransformedour lives, the patterns of economies, and the behaviour of businesses. The market has the tendency to perceive long-term shocks which economy can give to the market, but contrary to...

Persistent link: https://www.econbiz.de/10013349217

COVID-19 pandemic and day-of-the-week anomaly in OMX markets

Bolek, Monika; Gniadkowska-Szymańska, Agata; Lyroudi, … - In: Central European economic journal 9 (2022) 56, pp. 158-177

This paper aims to discuss market efficiency due to the changes that appeared in this field after the COVID-19 outburst. The OMX exchange and its indices are taken into consideration because they represent markets not analysed in such a context before (a) Baltic: Estonia, Latvia and Lithuania;...

Persistent link: https://www.econbiz.de/10013352581

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