Related papers: Disaster Resilience and Asset Prices
In the aftermath of the COVID-19 pandemic, empirical data have revealed that large-scale health crises not only cause immediate disruptions in mortality dynamics but also have persistent effects that may last for several years. Existing…
The stock market is volatile and complicated, especially in 2020. Because of a series of global and regional "black swans," such as the COVID-19 pandemic, the U.S. stock market triggered the circuit breaker three times within one week of…
In this study, empirical moments and the cointegration for all the liquid commodity futures traded in the Chinese futures markets are analyzed for the periods before and after Covid-19, which is important for trading strategies such as…
The frequent occurrence of natural disasters has posed significant challenges to society, necessitating the urgent development of effective risk management strategies. From the early informal community-based risk sharing mechanisms to…
The scope of this work is to serve as a guiding tool against subjective estimations on real pandemic situations (mainly due to the inability to acquire objective real data over whole populations). The previously introduced model of closed…
How does social distancing affect the reach of an epidemic in social networks? We present Monte Carlo simulation results of a capacity constrained Susceptible-Infected-Removed (SIR) model. The key modelling feature is that individuals are…
COVID-19 has radically changed society as we know it. To reduce the spread of the virus, millions across the globe have been forced to work remotely, often in make-shift home offices, and using a plethora of new, unfamiliar digital…
The crisis caused by COVID-19 revealed the global unpreparedness to handle the impact of a pandemic. In this paper, we present a statistical analysis of the data related to the COVID-19 outbreak in China, specifically the infection speed,…
Controlling the spread of COVID-19 - even after a licensed vaccine is available - requires the effective use of non-pharmaceutical interventions: physical distancing, limits on group sizes, mask wearing, etc. To date, such interventions…
This study investigates the impact of the pandemic on the most traded stocks in the Colombian stock market for the date of January 17, 2024. Based on the daily data of the most traded companies in Colombia for said date and covering a…
The rapid spread of COVID-19 has affected thousands of people from different socio-demographic groups all over the country. A decisive step in preventing or slowing the outbreak is the use of mobility interventions, such as government…
Measuring beliefs about natural disasters is challenging. Deep out-of-the-money options allow investors to hedge at a range of strikes and time horizons, thus the 3-dimensional surface of firm-level option prices provides information on (i)…
The main objective of this study is to check short term stress of COVID-19 on the American, European, Asian, and Pacific stock market indices, furthermore, the correlation between all the stock markets during the pandemic. Secondary data of…
We study the investor beliefs, sentiment and disagreement, about stock market returns during the COVID-19 pandemic using a large number of messages of investors on a social media investing platform, \textit{StockTwits}. The rich and…
We study equilibrium distancing during epidemics. Distancing reduces the individual's probability of getting infected but comes at a cost. It creates a single-peaked epidemic, flattens the curve and decreases the size of the epidemic. We…
We study equity risk premiums in the United States during the COVID-19 pandemic.
Most governments employ a set of quasi-standard measures to fight COVID-19 including wearing masks, social distancing, virus testing, contact tracing, and vaccination. However, combining these measures into an efficient holistic pandemic…
The ongoing COVID-19 shocked financial markets globally, including China's crude oil future market, which is the third most traded crude oil futures after WTI and Brent. As China's first crude oil futures accessible to foreign investors,…
This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility…
The paper presents a comprehensive causality analysis of the US stock and commodity markets during the COVID-19 crash. The dynamics of different sectors are also compared. We use Topological Data Analysis (TDA) on multidimensional…