COVID-19’s disasters are perilous than Global Financial Crisis: A rumor or fact?

Khurram Shehzad; Liu Xiaoxing; Hayfa Kazouz

doi:10.1016/j.frl.2020.101669

COVID-19’s disasters are perilous than Global Financial Crisis: A rumor or fact?

Khurram Shehzad^*
, Liu Xiaoxing
, Hayfa Kazouz

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

247 Scopus citations

Abstract

This investigation employed the Asymmetric Power GARCH model and found that COVID-19 substantially harms the US and Japan's market returns. Moreover, COVID-19 has influenced the variance of the US, Germany, and Italy's stock markets more than the Global Financial Crises (GFC). However, GFC indicated a more significant impact on the financial volatility of the Nikkei 225 index and SSEC than COVID-19. The study confirmed the leverage effect for the S&P 500, Nasdaq Composite Index, DAX 30, Nikkei 225, FTSE MIB, and SSEC. The analysis authenticated that the health crisis that befell due to COVID-19 have imperatively originated the financial crisis globally; however, the Asian markets still make available better prospects for portfolio optimization.

Original language	English
Article number	101669
Journal	Finance Research Letters
Volume	36
DOIs	https://doi.org/10.1016/j.frl.2020.101669
State	Published - Oct 2020
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2020 Elsevier Inc.

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 3 Good Health and Well-being
SDG 10 Reduced Inequalities

Keywords

APGARCH model
COVID-19
Financial markets
Global Financial Crises
Leverage effect

ASJC Scopus subject areas

Finance

Access to Document

10.1016/j.frl.2020.101669

Cite this

@article{fe94fd2cd3494b37abb458a9e4a735d9,

title = "COVID-19{\textquoteright}s disasters are perilous than Global Financial Crisis: A rumor or fact?",

abstract = "This investigation employed the Asymmetric Power GARCH model and found that COVID-19 substantially harms the US and Japan's market returns. Moreover, COVID-19 has influenced the variance of the US, Germany, and Italy's stock markets more than the Global Financial Crises (GFC). However, GFC indicated a more significant impact on the financial volatility of the Nikkei 225 index and SSEC than COVID-19. The study confirmed the leverage effect for the S\&P 500, Nasdaq Composite Index, DAX 30, Nikkei 225, FTSE MIB, and SSEC. The analysis authenticated that the health crisis that befell due to COVID-19 have imperatively originated the financial crisis globally; however, the Asian markets still make available better prospects for portfolio optimization.",

keywords = "APGARCH model, COVID-19, Financial markets, Global Financial Crises, Leverage effect",

author = "Khurram Shehzad and Liu Xiaoxing and Hayfa Kazouz",

note = "Publisher Copyright: {\textcopyright} 2020 Elsevier Inc.",

year = "2020",

month = oct,

doi = "10.1016/j.frl.2020.101669",

language = "English",

volume = "36",

journal = "Finance Research Letters",

issn = "1544-6123",

publisher = "Elsevier Ltd.",

}

TY - JOUR

T1 - COVID-19’s disasters are perilous than Global Financial Crisis

T2 - A rumor or fact?

AU - Shehzad, Khurram

AU - Xiaoxing, Liu

AU - Kazouz, Hayfa

PY - 2020/10

Y1 - 2020/10

N2 - This investigation employed the Asymmetric Power GARCH model and found that COVID-19 substantially harms the US and Japan's market returns. Moreover, COVID-19 has influenced the variance of the US, Germany, and Italy's stock markets more than the Global Financial Crises (GFC). However, GFC indicated a more significant impact on the financial volatility of the Nikkei 225 index and SSEC than COVID-19. The study confirmed the leverage effect for the S&P 500, Nasdaq Composite Index, DAX 30, Nikkei 225, FTSE MIB, and SSEC. The analysis authenticated that the health crisis that befell due to COVID-19 have imperatively originated the financial crisis globally; however, the Asian markets still make available better prospects for portfolio optimization.

AB - This investigation employed the Asymmetric Power GARCH model and found that COVID-19 substantially harms the US and Japan's market returns. Moreover, COVID-19 has influenced the variance of the US, Germany, and Italy's stock markets more than the Global Financial Crises (GFC). However, GFC indicated a more significant impact on the financial volatility of the Nikkei 225 index and SSEC than COVID-19. The study confirmed the leverage effect for the S&P 500, Nasdaq Composite Index, DAX 30, Nikkei 225, FTSE MIB, and SSEC. The analysis authenticated that the health crisis that befell due to COVID-19 have imperatively originated the financial crisis globally; however, the Asian markets still make available better prospects for portfolio optimization.

KW - APGARCH model

KW - COVID-19

KW - Financial markets

KW - Global Financial Crises

KW - Leverage effect

UR - https://www.scopus.com/pages/publications/85087307681

U2 - 10.1016/j.frl.2020.101669

DO - 10.1016/j.frl.2020.101669

M3 - Article

AN - SCOPUS:85087307681

SN - 1544-6123

VL - 36

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 101669

ER -

COVID-19’s disasters are perilous than Global Financial Crisis: A rumor or fact?

Abstract

Bibliographical note

UN SDGs

Keywords

ASJC Scopus subject areas

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