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The volatility and cross-correlations of the energy market and the stock market during the COVID-19 pandemic have been paid close attention by scholars and investors. In this paper, we use the asymmetric multifractal analysis methods to study the fluctuation characteristics, market risks and cross-correlations of the Chinese energy futures market (EFM) and two energy stock markets before and after the COVID-19 outbreak, while the return series of Shanghai fuel oil futures, CSI Energy Index and CSI Mainland New Energy Theme Index are considered. The empirical evidences indicate that the auto- and cross-correlations of the three markets have the asymmetric multifractality, and that the multifractality of the cross-correlations is mainly caused by the fat-tailed distribution of the original series. After the COVID-19 outbreak, the risks of both the traditional energy stock market in the uptrend and the entire new energy stock market become larger, while those of the entire EFM become smaller. In addition, the COVID-19 pandemic has increased the multifractality of the cross-correlations between the energy futures and energy stock markets when the EFM is in downward trend.
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In late 2019, the coronavirus began to spread around the world and impact international politics and economies significantly. In the face of the pandemic, stock markets around the world fluctuated sharply. The study aims to investigate the impact of the pandemic on the predictive variables of a stock prediction model, formed using chip-based variables and sentiment variables derived from comments posted on a social media platform. This study first performs feature engineering analysis to identify the indicators suitable for constructing the prediction model. The analysis then establishes a set of phrase rules to assign sentiment scores to the opinions expressed in replies and evaluates the effect on the accuracy of predictions. The results show that the major chip-based indicators affecting changes in the stock market differ before and after the pandemic. Hence, prediction models should be established separately for analysis in either period. In addition, the results indicate that the model relying on reply-based sentiment scores as a predictive variable provides more accurate predictions of stock price change.
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Market practitioners and speculators attempt to make benefits from the existence of market price gaps and profit opportunities by arbitrage strategies. Although some investors trade stocks based on the available financial and fundamental information of a particular share, there are others who make profits by risk hedging and swing trading opportunities. One of these strategies is pairs trading, which is a sub‐category of statistical arbitrage. Pairs trading can assure reasonably a risk‐free profit gaining. This paper aims to make a hypothetical portfolio composed of pairs of stocks by exploring a significant association between their prices in the Toronto Stock Exchange, TSX. We compare the profitability of distance, co‐integration, and copula functions as the pair's selection and trading strategy devices in TSX over January 2017 to June 2020. Our results show that the highest profitability comes from trading by the copula method. Our time frame includes two heterogeneous pre and post COVID‐19 periods. Although the financial markets are struggling with a hard situation over the COVID‐19 days, the performance of the methodologies is not affected by the crisis.
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The Corona Crisis led to a high drawdown in the stock markets in the whole world in March 2020. After that, infection rates, incidences, and dead people were published by many countries. Based on 11 stock price indices analyses according to volatility and correlation, we can conclude that only one event seems to be substantially affected by a Corona-related event not tied to specific countries. Therefore, in times of crisis, stock indices correlate highly positively. This leads us to a second step to our central research question: Do Corona dates significantly impact the stock price development? Therefore, we analyzed several events in Germany and the US with the event study approach. The main result is that only the March 2020 event significantly impacts the volatility and the returns. The following bad news but also the good news do not have any influence on the share prices and do not lead to abnormal returns. For example, the first approval of vaccinations had no apparent effect on the stock market, which was reflected in price movements comparable to those during the initial Lockdown.
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L/umber futures have been traded at Chicago Mercantile Exchange since 1969 (Mehrotra and Carter 2017). Since the COVID-19 pandemic, the lumber futures price has experienced huge volatility. The unusual fluctuations exposed lumber futures products that were originally designed to hedge uncertainties to huge risks. [...]there is an urgent need to find a reliable method to predict the lumber futures price, which would help enterprises and investors hedge risks and make correct decisions in the market. [...]Google Trends index is widely used to predict economic indicators and socioeconomic indicators, such as sales, unemployment, travel, consumer confidence (Choi and Varian 2012), consumer behavior (Carriere-Swallow and Labbe 2013), housing market (Dietzel 2016), the stock price (Hu et al. 2018), and so on. [...]the components of variables will change to capture dynamic trends of the real world.
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The COVID-19 pandemic has affected businesses, supply chains, financial and real estate markets around the world. This case study takes a detailed look at the impacts that the COVID-19 pandemic has had on the real estate markets throughout North America (United States and Canada). An emphasis was made to look at different aspects of real estate markets, including how current conditions relate to previous housing bubbles and financial crises (e.g., the 2008 housing crisis), and what impacts will the current market situation have on lower to middle income classes. This case study also examined the condition of the real estate market as impacted by the COVID-19 pandemic and an outlook of how the current real estate markets may impact society and finances throughout North America into the future.
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Publicitatea corporativă este esenţială pentru funcţionarea unei pieţe de capital eficiente. In ultimul deceniu, reţelele de socializare au început să devină parte integrantă a stilului de viaţă contemporan al entităţilor, fiind utilizate drept mijloc de comunicare cu părţile interesate. Cercetarea cantitativă efectuată pe eşantionul de 119 companii din sectorul medical, listate pe bursele europene urmăreşte îndeaproape corelaţiile existente între utilizarea reţelelor de socializare şi informaţiile financiare diseminate către public. Au fost utilizate tehnici de analiză exploratorie a datelor pentru identificarea elementelor determinante ale comunicării financiare prin mijloace sociale, fiind urmate de calculul indexului de utilizare a acestor mijloace de comunicare şi corelarea acestuia cu ratele de performanţă financiară ale companiilor studiate. Considerăm că adoptarea omniprezentă a tehnologiilor joacă un rol esenţial în comunicarea dintre management şi utilizatori, aducând un aport indirect asupra bunei funcţionări a unei entităţi.Alternate :Corporate advertising is essential for the functioning of an efficient capital market. Over the past decade, social networks have begun to become an integral part of the contemporary lifestyle of entities, being used as a means of communication with stakeholders. The quantitative research carried out on the sample of 119 companies in the medical sector, listed on the European stock exchanges, closely follows the correlations between the use of social networks and the financial information disseminated to the public. Techniques of exploratory data analysis were used to identify the determinants of financial communication through social means, followed by the calculation of the index of the use of these means of communication and its correlation with the financial performance rates of the studied companies. We believe that the ubiquitous adoption of technologies plays an essential role in the communication between management and users, bringing an indirect contribution to the proper functioning of an entity.
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Purpose>The purpose of this paper is to analyze the market response of the aerospace and defense industry and the airline industry to the ongoing conflict between Ukraine and Russia based on the sentiments from war-related news articles over the period from October 2021 to June 2022.Design/methodology/approach>The study uses the news article database of Global Database of Events, Languages and Tone (GDELT) to create a new set of variables that reflect the news sentiment regarding war and conflict. By investigating the newly created sentiment variables in combination with traditional event study methodology, the authors seek to find out whether sentiment indicators can be helpful to rationalize the evolution of the different stock markets before and after the conflict.Findings>The authors' results point out a significant negative impact of the war on the airline market and a positive impact on the defense market. The authors' study also introduces a new set of war-related news-based sentiment variables that is significant to explain the evolution of the two markets before and after the war. The relationships between this study's new set of variables and the performance of the two markets are also proven to be significantly impacted by the invasion.Originality/value>To the best of the authors' knowledge, this is the first research to use the news sentiment related to the topic of war and conflict to explain the market movement of different industries during the Ukraine invasion.
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Purpose>This study investigates the impact of the Russia–Ukraine war (2022) on the volatility connectedness between Egyptian stock market sectors.Design/methodology/approach>This study employs the newest dynamic conditional correlation (DCC)-generalized autoregressive conditional heteroskedasticity (GARCH)-CONNECTEDNESS approach to examine volatility connectedness in a sample of ten sectors in the Egyptian stock market, namely banks, education, food, healthcare, industry, information technology, real estate, resources, transportation and travel, ranging from February 1, 2019 to May 31, 2022.Findings>The findings show that connectedness among the Egyptian stock market sectors varies depending on the time. The average dynamic connectedness measure among sectors in Egypt is 73.24%. This average was 85.63% during the Russia–Ukraine War (2022). The author also shows that the transportation sector is the most significant net transmitter of volatility in the remaining sectors during the Russia–Ukraine War (2022).Practical implications>This study intends for policymakers to examine the co-movements, market variations and volatility spillover of stock markets, particularly during crises. Furthermore, the results help investors gain insight into diversifying the investors' portfolio assets to optimize profits.Originality/value>To the best of the authors' knowledge, no study has investigated the implications of the war between Russia and Ukraine (2022) on sectoral interconnectedness within the stock markets in any country and discussion and empirical evidence from African countries are lacking. This study fills this gap in the literature. Additionally, the author uses the newest approach, the DCC-GARCH-CONNECTEDNESS approach, to describe the time-varying volatility spillover between economic sectors in Egypt.
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Since the World Health Organization (WHO) declared the COVID-19 outbreak as a public health emergency of international concern, the global economy has been straining under a range of burdens: surging inflation and unemployment rates, tangled global supply chains and tumbling financial markets (Batten et al., 2022;Boubaker et al., 2022;Choudhury et al., 2022;Liu et al., 2022). [...]using a difference-in-differences (DID) analysis, they investigate the epidemic's impact on the market quality of overseas companies and compare it to that of local firms with the same name. [...]the authors compare international companies based on firm-specific features and those of their home countries. According to the authors' findings, the conflict has significantly negatively influenced airlines, although it has benefited the market for military goods. According to the results, investors in these energy markets exhibit a herding behavior.
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Purpose: A notable observation in the literature of financial markets is the debate on market contagion and causality. During periods of financial distress, global financial markets experience record low market prices partly due to the spread of fear. It was therefore necessary to investigate market contagions using causality relationships during periods of financial distress. Methodology: A unit root test, Granger causality and Test for equality of means was used as the blueprint. The sample periods where December 1, 2007 to June 30, 2009 and January 1, 2020 to December 31, 2021. Findings: Contrary to the perceptions that prevails in most stock markets during distress, there was little empirical evidence to support market contagions. Although very few markets are indeed related. Originality/Value: The implications of this study extends the efficient market hypothesis concept to market efficiency during periods of financial distress. It is evident that financial markets display greater efficiencies during periods of financial distress. This study is the first to investigate market contagion during periods of distress as per author's knowledge.
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This paper aims to map the effects of the rapid spread of coronavirus (COVID-19) on stock price dynamics and markets selections based on data from March 22, 2021, to September 20, 2021. Options markets from 2020 to 2021, multiple kinds of critical COVID-19 data. The proposed hypothetical modal considers investors' behavior and errors caused by the level of sentiment elicited for stock markets and green categories. This paper another element (1) Covid-19 (2) feeling, and (3) networking websites, for example, Covid-19 influence on the green size, green direction, and impact on securities prices. This paper used google search data work also creates a proxy for emotions dependent on five main categories of Data: (1) Covid-19, pandemic effect (2) markets, (3) lockdown, (4) banking and government aid. Moreover, this paper Use (a) VIX index sentiment, (b) S& The P 500 index is a measure of how well a sentiment (c) Sentiment in the S& amp;P 500 bank index. The Projected to empirical Finding follow First Level during the Covid-19, effect on jump volatility, and variability level in persistence on the green stock market exceeds that on the options market. VIX index green financial level increases with the COVID green financial level increase with the COVID-19 market index, index banking index and lockdown index. Therefore, it concluded the Share market statistic, COVID-19 benchmark, and long-run volatility. The fraction of the leap government assistance reduced. We find that the outbreak of the Pandemic of COVID-19 effects of the S&P 500 Index and S&P 500 Banks Index decrease with highest values (39%) but only after a surge in volatility covid-19 Pandemic. These results comply with our model's expectations.
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The paper examines empirically the adaptation of frontier stock markets of selected "capture" states in the Western Balkans in COVID-19 "new normal" realities by identifying the challenges and prospects to these countries and their stock exchanges for sustainable development. It focuses specifically to the deteriorating institutional quality of the business environment in the period 2013 - 2020 with lasting medium to long-term negative impacts on economic, social and environmental sustainability dimensions of the business setting. Peripheral stock exchanges of the Western Balkans would need to respond to various sustainability challenges at macroeconomic level (i.e., eco-innovation requirements, human development, democracy score deterioration etc.) as a condition for credible sustainable financial development in the foreseeable future.
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Stock liquidity plays important role in investors' participation in any nation's stock market. The global pandemic shock created market illiquidity especially among developing stock market like Nigerian stock market. However, the emergence of global pandemic via COVID-19 pandemic triggered declined market turnover (stock liquidity) which in turn created lack of confidence among stock investors in Nigeria. This study therefore examined the effects of Global pandemic on stock liquidity in the Nigerian stock market using stock turnover and COVID-19 pandemic as measure for stock market liquidity and global pandemic. The study employed expost facto research design using weekly data of both corona-virus pandemic and stock market turnover within the period of March, 2019 to February, 2022. The study employed Exponential GARCH (EGARCH) model and found a considerable negative consequence of Global Pandemic (Covid-19) on stock liquidity, implying that corona-virus pandemic has brought bad information (bad news) which deteriorate the liquidity in the stock exchange market. The study concluded that COVID-19 pandemic shock reduces stock liquidity in Nigerian stock exchange market. The study however recommended that government should put in place more palliative policies such as tax incentive and lowest interest rate on loan to individual and institutional investors which will cushion effect of COVID-19 pandemic and increase investors' participation in the Nigerian stock market. Also, Nigeria stock market regulators should put in place sound measures that will enhance availability of stock information so as to arouse the interest more and new investors to the Nigerian Stock Market.
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This paper analyses the response of stock markets to vaccine availability. Objective: the objective of this paper is to examine the differential effect of information about the arrival of COVID vaccine on the stock price performance of five main global stock market indexes. Prior work: the paper relies on the prior theory of Efficient Market Hypotheses (EMH). Method: data on stock price performance seven months before vaccine arrival and seven months within the vaccination period were from Trading Economics stock indexes archives for five main market indexes namely (Dow Jones, Shanghai, S&P, FTSE, and EURONEXT). The data were analysed using the t-test of mean difference in stock prices before and during vaccine at 5% alpha level. Findings: results for the five indexes analysis show that stock prices during the arrival of vaccine significantly outweigh the stock prices before vaccine arrival at p-values below 0.01, which are lower than the alpha value of 5%. The mean stock price increases during vaccine arrival ranges from 7% to over 20% for the different indexes. Implications: The paper provides practical information for investors who need to know how sensitive the various indexes are to vaccine information. The paper also provides an avenue for future research to expand on this initial research on vaccine effect on stock prices. Furthermore, the paper presents a veritable case study for economics and finance postgraduate students in the universities. Value: This paper fills existing gap in knowledge by being the first to analyse the effect of COVID vaccine arrival on the stock price of five main global stock indexes and contributes by indicating that stock indexes are sensitive to vaccine production with diverse percentages of sensitivity.
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Purpose>The purpose of this study is to investigate the dynamic return volatility connectedness among S&P, Dow Jones (DJ) sustainability indices and their conventional counterparts.Design/methodology/approach>This study uses time-series daily data for 10 S&P and DJ indices over the period of December 1, 2012 to December 8, 2021. The authors divide the data into three periods;over the whole sample, pre and during the Covid-19 pandemic. The study adopts the connectedness approach developed by Diebold and Yilmaz (2014).Findings>The results reveal a high degree of connectedness between S&P and DJ indices and their relative sustainability indices over the whole sample, pre and during the Covid-19 pandemic, indicating that the sustainability indices converge toward their conventional peers. The results further show that the conventional S&P500, S&P Euro 50 and DJWI are the main transmitters of shocks, whereas the S&P400, S&P500 and S&P50 sustainability indices are the main receivers of shocks.Originality/value>The study provides novel insights in terms of shock transmission of S&P and DJ sustainability indices and their conventional counterparts, where there is a lack of investigation of the connectedness between indices in this field.Practical implications>The study has significant implications for investors and portfolio managers to devise portfolio strategies to minimize risk and trace the cause, the direction and the magnitude of risk transmission among different indices. Also, the results help policymakers to manage diverse types of risks associated with S&P and DJ indices. Finally, faith-based and ethical investors would be able to predict the pairwise spillover connectedness between these indices.
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The paper examines the use of different GARCH type models to capture the impact of normal movement and the impact during a crisis (e.g., Covid pandemic) for capturing the volatility of randomly selected stock markets in European and Asian countries. This case is based on daily data from DAX - Germany, IBEX- Spain, CAC - France, BEL - Belgium, ATX - Austria, SZSE - China, NIKKEI - Japan, KOSPI - South Korea, IKSE - Indonesia, and HANG SENG - Hong Kong. It is found that GARCH is the most robust model to estimate volatility even during a crisis period;EGARCH demonstrates persistence in volatility and capturing leverage effects;EGARCH also remains the best quality model, apart from the symmetric model. Further, the models captured difference in magnitudes of European and Asian stock markets with different volatility movement patterns. Some Asian markets showed more adverse performance than European markets during the same time-period creating differences in asset pricing, risk magnitudes and prospective returns. The study demonstrates the relative effect on asset prices and changes in values of investors and determines the parameter for risk and returns in Europe and Asia.
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The Covid-19 crisis provided an opportunity to generate excess returns as stocks were trading below their fair value. The first infection case was reported in November 2019, and a sharp fall in global markets was witnessed soon thereafter. Though markets gradually recovered from their respective lows, its impact was felt across major parts of the globe till early 2021. The paper analyzes the efficiency of 44 world major stock exchanges (Asia-Pacific-17, Europe-16, America-6 and Africa-5) for 15 months (November 2019 to January 2021), and tests whether markets move randomly or whether they are adaptive in nature, i.e., whether Efficient Market Hypothesis (EMH) or Adaptive Market Hypothesis (AMH) holds good in such conditions. The results of Hurst exponent and Variance Test (VT) ratio prove that markets are adaptive.
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This study aims to analyze the development and soundness of banks from financial performance ratios in banking companies listed on the IDX in 2016-2021 using the RGEC approach;analyze the effect of the ratios used in RGEC on stock returns in banking companies listed on the IDX in 2016-2019 or before Covid19;analyzed the effect of the ratios used in RGEC on stock returns in banking companies listed on the IDX in 2020-2021 or during the Covid-19 pandemic. The sample consisted of the banking sub-sector listed on the IDX in the period 2016 to 2021. The data analyzed using the RGEC method. Based on the calculation of bank rating (bank soundness level), it can be seen that the key figures for the risk profile, GCG, earning and equity (RGEC) in the banking sub-sector listed on the IDX developed well in 2016-2021 in the banking sector on average from 39 banks studied. There are 11 Banks that are in Composite Rating 1 (Very Healthy), 25 Banks are on Composite Rating 2 (Healthy) and 3 Banks are on Composite Rating 3 (Sufficiently Healthy). Based on the results of panel regression tests in 2016-2019 (before Covid-19), bank rating (bank soundness level) which include risk profile (NPL and LDR), GCG, earnings (ROA andNĽM) and equity (CAR) together have an effect of28.89% of bank stock returns and 71.11% of stock returns are influenced by other factors outside the variables studied. However, based on the p-value results, the variables NPL, GCG, N'Ш and CAR have no significant effect on bank stock returns, while the LDR and ROA variables have a significant effect on stock returns. In general, the soundness of banks listed on the IDX is in a healthy condition. Whereas the results of panel regression tests in 2020-2021 (after Covid-19), bank rating (bank soundness level) which include risk profile (NPL and LDR), GCG, earnings (ROA and N'Ш) and equity (CAR) together have an effect of 4.93% of bank stock returns and 95.07% of stock returns are influenced by other factors outside the variables studied. However, based on the results of the p-value variables, NPL, LDR, GCG, ROA, NBA and CAR have no significant effect on bank stock returns. However, in general, the health level of banks listed on the IDX during the Covid-19 pandemic is in a healthy condition.
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The paper analyzes the impact of Foreign Institutional Investors (FIIs) and Domestic Institutional Investors (DIIs), as these are the two primary institutions on which the Indian stock market is dependent. The research design and statistical tools used in the study are: Vector Error Correction Model (VECM), Granger Causality, Variance Decomposition Analysis, and Impulse Response Function. During the Covid-19 pandemic, high volatility was witnessed in the global markets, so it is important to evaluate the behavior of the Indian stock market with respect to the inflows and outflows of institutional investors on a daily basis. The paper concludes that Indian stock market return (Nifty 50) has more significant impact on FIIs, as compared to DIIs (mutual funds).