相关论文: Inside the Mind of a Stock Market Crash

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…

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…

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…

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…

The emergence of the COVID-19 pandemic, a new and novel risk factor, leads to the stock price crash due to the investors' rapid and synchronous sell-off. However, within a short period, the quality sectors start recovering from the bottom.…

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…

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 COVID-19 pandemic has caused severe disruption to economic and financial activity worldwide. We assess what happened to the aggregate U.S. stock market during this period, including implications for both short and long-horizon…

We employed the log-periodic power law singularity (LPPLS) methodology to systematically investigate the 2020 stock market crash in the U.S. equities sectors with different levels of total market capitalizations through four major U.S.…

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…

Starting on February 20, 2020, the global stock markets began to suffer the worst decline since the Great Recession in 2008, and the COVID-19 has been widely blamed on the stock market crashes. In this study, we applied the log-periodic…

Markets are subjected to both endogenous and exogenous risks that have caused disruptions to financial and economic markets around the globe, leading eventually to fast stock market declines. In the past, markets have recovered after any…

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…

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…

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…

Dealing with structural breaks is an important step in most, if not all, empirical economic research. This is particularly true in panel data comprised of many cross-sectional units, such as individuals, firms or countries, which are all…

In this empirical paper we show that in the months following a crash there is a distinct connection between the fall of stock prices and the increase in the range of interest rates for a sample of bonds. This variable, which is often…

Recently, a stock price model is proposed by A. Mahata et al. [Physica A, 574, 126008 (2021)] to understand the effect of COVID-19 on stock market. It describes V- and L-shaped recovery of the stocks and indices, but fails to simulate the…

We investigate the recently introduced variety of a set of stock returns traded in a financial market. This investigation is done by considering daily and intraday time horizons in a 15-day time period centered at the August 31st, 1998…

This paper investigates whether security markets price the effect of social distancing on firms' operations. We document that firms that are more resilient to social distancing significantly outperformed those with lower resilience during…