COVID-19 and market risk: An assessment of the G-20 nations.

ABSTRACT

The study has attempted to study the impact of COVID-19 on downside stock market risk in the G-20 nations using Vaue-at-Risk models. The findings of the study suggest that all the G-20 nations have experienced very high level of risk during Global Financial Crisis and COVID-19 as all the countries' stock markets are critical during these two periods, but the magnitude of risk is found to be highest during COVID-19 period compared to other regimes in most of the countries. However, one shocking revelation is that China is found to be on safe zone having very less market risk, whereas all other countries are found to be critical.