Systemic risk spillover across global and country stock markets during the COVID-19 pandemic
Tài liệu tham khảo
Abosedra, 2020, Exploring GDP growth volatility spillovers across countries, Econ. Model., 89, 577, 10.1016/j.econmod.2019.11.015
Adrian, 2016, CoVaR, Am. Econ. Rev., 106, 1705, 10.1257/aer.20120555
Afees, 2020, Predicting stock returns in the presence of COVID-19 pandemic: The role of health news, Int. Rev. Financ. Anal., 71
Akhtaruzzaman, 2020, Financial contagion during COVID—-19 crisis, Finance Res. Lett.
Al-Awadhi, 2020, Death and contagious infectious diseases: impact of the COVID-19 virus on stock market returns, J. Behav. Exp. Finance, 10.1016/j.jbef.2020.100326
Aloui, 2020
Aybar, 2020, Time dynamics of connectedness between commodity convenience yields and zero-coupon inflation swap rates, Invest. Anal. J., 49, 289, 10.1080/10293523.2020.1794309
Badar, 2020, Stock markets’ reaction to COVID-19: Cases or fatalities?, Res. Int. Bus. Finance, 54
Baele, 2020, Flights to safety, Rev. Financ. Stud., 33, 689, 10.1093/rfs/hhz055
Baker, 2020
Ben Amor, 2019, Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes, Energy Econ., 80, 635, 10.1016/j.eneco.2019.02.001
Bollerslev, 1992, Quasi-maximum likelihood estimation and inference in dynamic models with timevarying covariances, Econometric Rev., 11, 143, 10.1080/07474939208800229
Bouri, 2020, Return connectedness across asset classes around the COVID-19 outbreak, Int. Rev. Financ. Anal.
Broadstock, 2019, Social-media and intraday stock returns: The pricing power of sentiment, Finance Res. Lett., 30, 116, 10.1016/j.frl.2019.03.030
Charles, 2019, The accuracy of asymmetric GARCH model estimation, Int. Econ., 157, 179, 10.1016/j.inteco.2018.11.001
Diebold, 2012, Better to give than to receive: Predictive directional measurement of volatility spillovers, Int. J. Forecast., 28, 57, 10.1016/j.ijforecast.2011.02.006
Diebold, 2014, On the network topology of variance decompositions: Measuring the connectedness of financial firms, J. Econometrics, 182, 119, 10.1016/j.jeconom.2014.04.012
Dutta, 2020, COVID-19 and oil market crash: Revisiting the safe haven property of gold and bitcoin, Resour. Policy, 69, 10.1016/j.resourpol.2020.101816
Engle, 2002, Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models, J. Bus. Econom. Statist., 20, 339, 10.1198/073500102288618487
Fang, 2018, Identifying systemic important markets from a global perspective: Using the ADCC ΔCoVaR approach with skewed-t distribution, Finance Res. Lett., 24, 137, 10.1016/j.frl.2017.08.002
Fang, 2021, Financial spillovers and spillbacks: New evidence from China and G7 countries, Econ. Model., 94, 184, 10.1016/j.econmod.2020.09.022
Farhi, 2016, Rare disasters and exchange rates, Q. J. Econ., 131, 1, 10.1093/qje/qjv040
Girardi, 2013, Systemic risk measurement: Multivariate GARCH estimation of CoVaR, J. Bank. Financ., 37, 3169, 10.1016/j.jbankfin.2013.02.027
Heo, 2020, An evaluation of the effect of the COVID-19 pandemic on the risk tolerance of financial decision makers, Finance Res. Lett.
Ji, 2020, Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from, North Am. J. Econ. Finance, 51, 10.1016/j.najef.2018.09.004
Jiang, 2019, Risk spillovers and portfolio management between precious metal and BRICS stock markets, Physica A, 3
Jitmaneeroj, 2018, The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs, Int. Rev. Econ. Finance, 58, 282, 10.1016/j.iref.2018.03.027
Kang, 2019, Directional spillover effects between ASEAN and world stock markets, J. Multinational Financial Manag., 52-53, 10.1016/j.mulfin.2019.100592
Lien, 2018, Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis, North Am. J. Econ. Finance, 46, 187, 10.1016/j.najef.2018.04.006
Liu, 2017, Systemic risk in carry-trade portfolios, Finance Res. Lett., 20, 40, 10.1016/j.frl.2016.09.007
Maghyereh, 2019, The co-movement between oil and clean energy stocks: A wavelet based analysis of horizon associations, Energy, 169, 10.1016/j.energy.2018.12.039
Maghyereh, 2018, Can gold be used as a hedge against the risks of Sharia-compliant securities? Application for Islamic portfolio management, J. Asset Manag., 19, 394, 10.1057/s41260-018-0090-y
Merkle, 2014, Do investors put their money where their mouth is? Stock market expectations and investing behavior, J. Bank. Financ., 46, 372, 10.1016/j.jbankfin.2014.03.042
Miescu, 2019, Together in bad times? Connectedness and spillovers in recession and boom, Manch. Sch., 87, 342, 10.1111/manc.12232
Nguyen, 2021, An assessment of how COVID-19 changed the global equity market, Econ. Anal. Policy, 69, 480, 10.1016/j.eap.2021.01.003
Ozili, 2020, Spillover of COVID-19: impact on the Global Economy, SSRN Electron. J., 10.2139/ssrn.3562570
Petrella, 2019, Crosscountry assessment of systemic risk in the European stock market: Evidence from a CoVaR analysis, Soc. Ind. Res., 146, 169, 10.1007/s11205-018-1881-8
Reboredo, 2016, Systemic risk of Spanish listed banks: a vine copula CoVaR approach, Span. J. Finance Account., 45, 1
Rizwan, 2020, Systemic risk: The impact of COVID-19, Finance Res. Lett., 36, 10.1016/j.frl.2020.101682
Rudden, 2020, Impact of COVID-19 on the global financial markets - Statistics & Facts, Statista
Saeed, 2020, Extreme return connectedness and its determinants between clean/green and dirty energy investments, Energy Econ.
Shahzad, 2018, A systemic risk analysis of islamic equity markets using vine copula and delta CoVaR modeling, J. Int. Financial Mark. Inst. Money, 56, 104, 10.1016/j.intfin.2018.02.013
Shahzad, 2019, Spillover across Eurozone credit market sectors and determinants, Appl. Econ., 51, 6333, 10.1080/00036846.2019.1619014
Shahzad, 2021, Impact of the COVID- 19 outbreak on the US equity sectors: Evidence from quantile return spillover, Financial Innov., 14, 7
Sharif, 2020, COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach, Int. Rev. Financ. Anal., 10.1016/j.irfa.2020.101496
Sita, 2014, Volatility links between the home and the host market for UK dual-listed stocks on US markets, J. Int. Financial Mark. Inst. Money, 33, 183, 10.1016/j.intfin.2014.08.005
Su, 2020, Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets, North Am. J. Econ. Finance, 53, 10.1016/j.najef.2020.101218
2020
The Financial Stability Board, 2020
Yu, 2018, Risk contribution of crude oil to industry stock returns, Int. Rev. Econ. Finance, 58, 179, 10.1016/j.iref.2018.03.009
Zhang, 2020, Financial markets under the global pandemic of COVID-19, Finance Res. Lett., 36, 10.1016/j.frl.2020.101528