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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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markets. The duration of the shock as indicated by the transition probabilities show that Hong Kong stock exchange was the … most resilient in the group, while Nikkei was the most reactive to the pandemic shock …
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