Related papers: Bull and Bear Markets During the COVID-19 Pandemic
Reliable estimates of volatility and correlation are fundamental in economics and finance for understanding the impact of macroeconomics events on the market and guiding future investments and policies. Dependence across financial returns…
The US stock market experienced instability following the recession (2007-2009). COVID-19 poses a significant challenge to US stock traders and investors. Traders and investors should keep up with the stock market. This is to mitigate risks…
Starting in early 2020, the novel coronavirus disease (COVID-19) severely affected the U.S., causing substantial changes in the operations of bulk power systems and electricity markets. In this paper, we develop a data-driven analysis to…
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…
Every financial crisis has caused a dual shock to the global economy. The shortage of market liquidity, such as default in debt and bonds, has led to the spread of bankruptcies, such as Lehman Brothers in 2008. Using the data for the ETFs…
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…
The COVID-19 pandemic has generated disruptive changes in many fields. Here we focus on the relationship between the anxiety felt by people during the pandemic and the trust in the future performance of financial markets. Precisely, we move…
Grave human toll notwithstanding, the COVID-19 pandemic created uniquely unstable conditions in financial markets. In this work we uncover and discuss relationships involving sentiment in financial publications during the 2020…
We investigate the impact of the COVID-19 pandemic on the betting markets of professional and college sports. We find that during the pandemic, the moneyline betting markets of the National Basketball Association (NBA) became very…
We studied the volatility and cross-sectional return dispersion effect of S&P Health Care Sector under the covid-19 epidemic. We innovatively used the Google index to proxy the impact of the epidemic and modeled the volatility. We also…
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…
The current pandemic has introduced substantial uncertainty to traditional methods for demand planning. These uncertainties stem from the disease progression, government interventions, economy and consumer behavior. While most of the…
This study examines the impact of the coronavirus disease 2019 (COVID-19) pandemic on market efficiency by analyzing three time series -- price returns, absolute returns, and volatility increments -- in stock (Deutscher Aktienindex, Nikkei…
This study examines the dynamic asset market linkages under the COVID-19 global pandemic based on market efficiency, in the sense of Fama (1970). Particularly, we estimate the joint degree of market efficiency by applying Ito et al.'s…
The sudden and rapid spread of the COVID_19 pandemic with its terrible consequences has put the management of governments and the various world institutions into a crisis. They have been subjected to a considerable economic effort to be…
COVID-19 pandemic represents an unprecedented global health crisis in the last 100 years. Its economic, social and health impact continues to grow and is likely to end up as one of the worst global disasters since the 1918 pandemic and the…
Equilibrium models for energy markets under uncertain demand and supply have attracted considerable attentions. This paper focuses on modelling crude oil market share under the COVID-19 pandemic using two-stage stochastic equilibrium. We…
This study investigates the impact of the COVID-19 pandemic on the stock market crash risk in China. For this purpose, we first estimated the conditional skewness of the return distribution from a GARCH with skewness (GARCH-S) model as the…
We analyze how investor expectations about economic growth and stock returns changed during the February-March 2020 stock market crash induced by the COVID-19 pandemic, as well as during the subsequent partial stock market recovery. We…
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…