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The effect of COVID-19 on the relationship between idiosyncratic volatility and expected stock returns

Poudeh, Seyed Reza Tabatabaei; Choi, Sungchul; Fu, Chengbo - In: Risks 10 (2022) 3, pp. 1-11

This study examines the effect of the COVID-19 pandemic on the relationship between idiosyncratic volatility and …), we estimate monthly idiosyncratic volatility and investigate the effect of the COVID-19 pandemic at the portfolio and … idiosyncratic volatility and subsequent stock returns switches from negative to positive during the pandemic period. Furthermore, we …

Persistent link: https://www.econbiz.de/10013200947

The impact of the COVID-19 pandemic on the U.S. economy: Evidence from the stock market

Thorbecke, Willem - In: Journal of Risk and Financial Management 13 (2020) 10, pp. 1-32

The coronavirus crisis has damaged the U.S. economy. This paper uses the stock returns of 125 sectors to investigate its impact. It decomposes returns into components driven by sector-specific factors and by macroeconomic factors. Idiosyncratic factors harmed industries such as airlines,...

Persistent link: https://www.econbiz.de/10013200959

COVID-19 and instability of stock market performance: Evidence from the U.S.

Hong, Hui; Bian, Zhicun; Lee, Chien-Chiang - In: Financial Innovation 7 (2021) 1, pp. 1-18

volatility in the U.S over the period January 1st, 2019 to June 30th, 2020 by using the methodologies of Bai and Perron … results highlight a single break in return predictability and price volatility of both S&P 500 and DJIA. The timing of the … members before COVID-19 crashed the market. Furthermore, return predictability and price volatility significantly increased …

Persistent link: https://www.econbiz.de/10012602894

Fintech, banks, and the COVID-19 pandemic : evidence from Indonesia

Sapulette, Militcyano Samuel; Effendi, Nury; Santoso, Teguh - In: Bulletin of monetary economics and banking 24 (2021) 4, pp. 559-588

Persistent link: https://www.econbiz.de/10013164290

Stock returns in the time of COVID-19 pandemic

Doko Tchatoka, Firmin; Puellbeck, Julia; Masson, Virginie - In: Applied economics 54 (2022) 9, pp. 1071-1092

Persistent link: https://www.econbiz.de/10012875035

Who should be afraid of infections? : Pandemic exposure and the cross-section of stock returns

Cakici, Nusret; Zaremba, Adam - In: Journal of international financial markets, … 72 (2021), pp. 1-25

Persistent link: https://www.econbiz.de/10012801522

Government fighting pandemic, stock market return, and COVID-19 virus outbreak

Chang, Chun Ping; Feng, Gen-Fu; Zheng, Mingbo - In: Emerging markets, finance & trade : a journal of the … 57 (2021) 8, pp. 2389-2406

Persistent link: https://www.econbiz.de/10012549915

Handle with care : regulatory easing in times of COVID-19

Valencia, Fabian; Varghese, Richard; Yao, Weijia; … - 2021

The policy response to the COVID-19 shock included regulatory easing across many jurisdictions to facilitate the flow of credit to the economy and mitigate a further ampli-fication of the shock through tighter financial conditions. Using an intraday event study,this paper examines how stock...

Persistent link: https://www.econbiz.de/10012518694

The exposure of French and South Korean firm stock returns to exchange rates and the COVID-19 pandemic

Thorbecke, Willem - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-29

Rogoff predicted that the U.S. dollar will depreciate and that exchange rate volatility will return. The coronavirus …

Persistent link: https://www.econbiz.de/10012520564

Has COVID-19 changed the stock return-oil price predictability pattern?

Zhang, Fan; Narayan, Paresh Kumar; Devpura, Neluka - In: Financial innovation : FIN 7 (2021), pp. 1-10

In this paper, we examine if COVID-19 has impacted the relationship between oil prices and stock returns predictions using daily Japanese stock market data from 01/04/2020 to 03/17/2021. We make a novel contribution to the literature by testing whether the COVID-19 pandemic has changed this...

Persistent link: https://www.econbiz.de/10012617355