The spread of COVID-19 in stock returns along global value chains

This paper examines the performance of industries in the trade network in international stock markets during the onset of COVID-19. In general, the value of all industries in G20 countries declines significantly in the pandemic. Stock returns of industries in the central positions of global value chains exhibit remarkable resilience despite the economic hardship caused by COVID-19. This pattern is more pronounced when the disruptions caused by social distancing requirements are considered. We postulate that this is related to the essential services provided by the central industries.

Lockdown and retail trading in the equity market

This paper examines the trading patterns of Australian retail investors during the COVID-19 pandemic in 2020. It addresses the possibility that the Australian stock market may be used as a substitute for gambling due to prolonged lockdowns during the COVID-19 pandemic. Using transaction-level data, we document that retail trading volume increases substantially during 2020, overtaking institutional trading. This trading behavior is consistent with the conjecture that the stock market offers an easily accessible platform as a gambling substitute. We further explore two additional motivations for gambling in the stock market. We find that investors treat stock trading as a fun and exciting activity especially during the second phase of lockdown from July to October 2020. Examining the profitability of retail trading, we show that stocks heavily bought by retail investors consistently generate negative returns. This result resembles the negative expected outcome of gambling loss and demonstrates the danger of trading in a volatile market environment.

COVID-19 and oil price risk exposure.

This study investigates oil price risk exposure of financial and non-financial industries around the world during the COVID-19 pandemic. The empirical results show that oil supply industries benefit from positive shocks to oil price risk in general, whereas oil user industries and financial industries react negatively to positive oil price shocks. The COVID-19 outbreak appears to moderate the oil price risk exposure of both financial and non-financial industries. This brings important implications in risk management of energy risk during the pandemic.

Learning from SARS: Return and volatility connectedness in COVID-19.

Using a sample of the G20 countries, we examine the impact of COVID-19 on stock return and volatility connectedness, and whether the connectedness measures behave differently for countries with SARS 2003 experience. We find that both stock return and volatility connectedness increase across the phases of the COVID-19 pandemic which is more pronounced as the severity of the pandemic builds up. However, the degree of connectedness is significantly lower in countries with SARS 2003 death experience. Our results are robust to different measures of COVID-19 severity and controlling for a number of cross-country differences in economic development.