Related papers: Disaster Resilience and Asset Prices
The stock market's reaction to the external risk shock is closely related to the cross-shareholding network structure. This paper takes the public information of listed companies in the A-share securities market as the primary sample to…
In complex systems like financial market, risk tolerance of individuals is crucial for system resilience.The single-security price limit, designed as risk tolerance to protect investors by avoiding sharp price fluctuation, is blamed for…
Do high-return fields of study provide greater protection in labor market during crises? I construct pre-pandemic premia for major technical fields in India and examine whether workers in higher field-premium fields experience resilient…
During any unique crisis, panic sell-off leads to a massive stock market crash that may continue for more than a day, termed as mainshock. The effect of a mainshock in the form of aftershocks can be felt throughout the recovery phase of…
This paper uses transaction data from a large bank in Scandinavia to estimate the effect of social distancing laws on consumer spending in the COVID-19 pandemic. The analysis exploits a natural experiment to disentangle the effects of the…
I estimate the Susceptible-Infected-Recovered (SIR) epidemic model for Coronavirus Disease 2019 (COVID-19). The transmission rate is heterogeneous across countries and far exceeds the recovery rate, which enables a fast spread. In the…
At the beginning of the COVID-19 outbreak in March, we observed one of the largest stock market crashes in history. Within the months following this, a volatile bullish climb back to pre-pandemic performances and higher. In this paper, we…
This paper distinguishes between risk resonance and risk diversification relationships in the cryptocurrency market based on the newly developed asymmetric breakpoint approach, and analyzes the risk propagation mechanism among…
Social turbulence can affect people financial decisions, causing changes in spending and saving. During a global turbulence as significant as the COVID-19 pandemic, such changes are inevitable. Here we examine how the effects of COVID-19 on…
This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimate daily skewness as a proxy for…
The coronavirus is a global event of historical proportions and just a few months changed the time series properties of the data in ways that make many pre-covid forecasting models inadequate. It also creates a new problem for estimation of…
We exploit a city-level panel comprised of individual house price estimates to estimate the impact of COVID-19 on both small and big real-estate markets in California USA. Descriptive analysis of spot house price estimates, including…
Providing a measure of market risk is an important issue for investors and financial institutions. However, the existing models for this purpose are per definition symmetric. The current paper introduces an asymmetric capital asset pricing…
Recurrent waves which are often observed during long pandemics typically form as a result of several interrelated dynamics including public health interventions, population mobility and behaviour, varying disease transmissibility due to…
Assessing the trend of the COVID-19 pandemic and policy effectiveness is essential for both policymakers and stock investors, but challenging because the crisis has unfolded with extreme speed and the previous index was not suitable for…
This paper investigates the impact of COVID-19 on financial markets. It focuses on the evolution of the market efficiency, using two efficiency indicators: the Hurst exponent and the memory parameter of a fractional L\'evy-stable motion.…
This paper explores asset pricing implications of unemployment risk from sectoral shifts. I proxy for this risk using cross-industry dispersion (CID), defined as a mean absolute deviation of returns of 49 industry portfolios. CID peaks…
We identify the effectiveness of social distancing policies in reducing the transmission of the COVID-19 spread. We build a model that measures the relative frequency and geographic distribution of the virus growth rate and provides…
Modern macroeconomic theories were unable to foresee the last Great Recession and could neither predict its prolonged duration nor the recovery rate. They are based on supply-demand equilibria that do not exist during recessionary shocks.…
In this paper we contrast the dynamics of the 2022 Ukraine invasion financial crisis with notable financial crises of the 21st century - the dot-com bubble, global financial crisis and COVID-19. We study the similarity in market dynamics…