The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets
Tài liệu tham khảo
Acemoglu, 2019, Democracy does cause growth, J. Polit. Econ., 127, 47, 10.1086/700936
Acemoglu, 2017, Microeconomic origins of macroeconomic tail risks, Am. Econ. Rev., 107, 54, 10.1257/aer.20151086
Acemoglu, 2012, Why nations fail: The origins of power, prosperity, and poverty, Crown Books
Al-Awadhi, 2020, Death and contagious infectious diseases: Impact of the covid-19 virus on stock market returns, J. Behav. Exp. Financ., 27, 100326, 10.1016/j.jbef.2020.100326
Albulescu, 2020, Covid-19 and the united states financial markets’ volatility, Financ. Res. Lett., 101699
Albuquerque, 2020, Resiliency of environmental and social stocks: an analysis of the exogenous covid-19 market crash, Rev. Corp. Financ. Stud., 9, 593, 10.1093/rcfs/cfaa011
Ali, 2020, Coronavirus (covid-19)–an epidemic or pandemic for financial markets, J. Behav. Exp. Financ., 100341, 10.1016/j.jbef.2020.100341
Amihud, 2015, The illiquidity premium: International evidence, J. Financ. Econ., 117, 350, 10.1016/j.jfineco.2015.04.005
Amore, M.D., Pelucco, V., Quarato, F., 2020. Family ownership during the covid-19 pandemic.
Anderson, 2011, Cultural influences on home bias and international diversification by institutional investors, J. Bank. Financ., 35, 916, 10.1016/j.jbankfin.2010.09.006
Anderson, F., 2020. Factors & the coronavirus: How the coronavirus crash has impacted factor returns. Available at SSRN 3570103 (2020).
Ang, 2007, Stock return predictability: Is it there?, Rev. Financ. Stud., 20, 651, 10.1093/rfs/hhl021
Arellano, C., Bai, Y., Mihalache, G.P., 2020. Deadly debt crises: Covid-19 in emerging markets. Technical report. National Bureau of Economic Research.
Armocida, 2020, The italian health system and the covid-19 challenge, Lancet Public Health, 10.1016/S2468-2667(20)30074-8
Ashraf, 2020, Economic impact of government interventions during the covid-19 pandemic: International evidence from financial markets, J. Behav. Exp. Financ., 27, 100371, 10.1016/j.jbef.2020.100371
Ashraf, 2020, Stock markets’ reaction to covid-19: cases or fatalities?, Res. Int. Bus. Financ., 54, 101249, 10.1016/j.ribaf.2020.101249
Ashraf, B.N., 2020. Stock markets’ reaction to covid-19: Moderating role of national culture. SSRN Working Paper No. 3608323.
Asness, 1997, Parallels between the cross-sectional predictability of stock and country returns, J. Portfolio Manage., 23, 79, 10.3905/jpm.1997.409606
Assness, 2013, Value and momentum everywhere, J. Financ., 68, 929, 10.1111/jofi.12021
Baele, 2020, Flights to safety, Rev. Financ. Stud., 33, 689, 10.1093/rfs/hhz055
Baig, A.S., Butt, H.A., Haroon, O., Rizvi, S.A.R., 2020. Deaths, panic, lockdowns, and us equity markets: The case of covid-19 pandemic. Financ. Res. Lett. 101701 (in press).
Bakas, 2020, Commodity price volatility and the economic uncertainty of pandemics, Econ. Lett., 109283, 10.1016/j.econlet.2020.109283
Baldwin, R., Weder di Mauro, B., 2020. Mitigating the covid economic crisis: Act fast and do whatever it takes. Retrieved from http://itsr.ir/en/Content/upload/COVIDEconomicCrisis.pdf.
Baker, 2020, The unprecedented stock market reaction to covid-19, Rev. Asset Pricing Stud., 10, 742, 10.1093/rapstu/raaa008
Bali, 2010, World market risk, country-specific risk and expected returns in international stock markets, J. Bank. Financ., 34, 1152, 10.1016/j.jbankfin.2009.11.012
Baltussen, G., van Vliet, P., 2020. Equity styles and the spanish flu. Available at SSRN 3564688.
Balvers, 2000, Mean reversion across national stock markets and parametric contrarian investment strategies, J. Financ., 55, 745, 10.1111/0022-1082.00225
Balvers, 2006, Momentum and mean reversion across national equity markets, J. Empiric. Financ., 13, 24, 10.1016/j.jempfin.2005.05.001
Banerjee, R., Illes, A., Kharroubi, E., Garralda, J.M.S., et al. (2020). Covid-19 and corporate sector liquidity. Technical report. Bank for International Settlements.
Benassy-Quere, A., Marimon, R., Pisani-Ferry, J., Reichlin, L., Schoenmaker, D., Weder, B., 2013. 13 covid-19: Europe needs a catastrophe relief plan. Mitigating the COVID Economic Crisis: Act Fast and Do Whatever.
Benvenuto, D., Giovanetti, M., Vassallo, L., Angeletti, S., Ciccozzi, M., 2020. Application of the arima model on the covid-2019 epidemic dataset. Data in brief, pp. 105340.
Bernanke, B., 2020. Ben bernanke on covid-19 downturn, marketplace. Marketplace. Available at https://www.marketplace.org/2020/03/23/former-fed-chair-bernanke-covid19-downturn/.
Bernstein, J., Richter, A.W., Throckmorton, N., 2020. Covid-19: A view from the labor market.
Besley, 2006
Billings, 2001, Book-to-market components, future security returns, and errors in expected future earnings, J. Acc. Res., 39, 197, 10.1111/1475-679X.00009
Birz, 2011, The effect of macroeconomic news on stock returns: New evidence from newspaper coverage, J. Bank. Financ., 35, 2791, 10.1016/j.jbankfin.2011.03.006
Bloomberg, 2020. Taleb says ’white swan’ coronavirus was preventable. Bloomberg TV, pages Available at https://www.bloomberg.com/news/videos/2020-03-31/nassim-taleb-says-white-swan-coronavirus-pandemic-was-preventable-video.
Blustein, 2020, Unemployment in the time of covid-19: A research agenda, J. Vocational Behav., 103436, 10.1016/j.jvb.2020.103436
Bollyky, 2019, The relationships between democratic experience, adult health, and cause-specific mortality in 170 countries between 1980 and 2016: an observational analysis, Lancet, 393, 1628, 10.1016/S0140-6736(19)30235-1
Boyd, 2005, The stock market’s reaction to unemployment news: Why bad news is usually good for stocks, J. Financ., 60, 649, 10.1111/j.1540-6261.2005.00742.x
Bretscher, 2020, Covid-19 and the cross-section of equity returns: Impact and transmission. The, Rev. Asset Pricing Stud., 10.1093/rapstu/raaa017
Broadstock, D.C., Chan, K., Cheng, L.T., Wang, X., 2020. The role of esg performance during times of financial crisis: Evidence from covid-19 in china. Financ. Res. Lett. 101716.
Bryzgalova, S., Pelger, M., Zhu, J., 2019. Forest through the trees: Building cross-sections of stock returns. Available at SSRN 3493458.
Carhart, 1997, On persistence in mutual fund performance, J. Financ., 52, 57, 10.1111/j.1540-6261.1997.tb03808.x
Cavanagh, D., Hoey, M., Clark, A., Small, M., Bailey, P., Watson, J., 2020. West australian pandemic response: The black swan of black swans. arXiv preprint arXiv:2008.08918.
Cen, L., Wei, J., Zhang, J., 2006. Forecasted earnings per share and the cross section of expected stock returns. Technical report. Working Paper. Hong Kong University of Science & Technology.
Cepaluni, G., Dorsch, M., Branyiczki, R., 2020. Political regimes and deaths in the early stages of the covid-19 pandemic. Available at SSRN 3586767.
Chen, 2011, Social and economic impact of school closure resulting from pandemic influenza a/h1n1, J. Infect., 62, 200, 10.1016/j.jinf.2011.01.007
Cheng, I.-H., 2020. Volatility markets underreacted to the early stages of the covid-19 pandemic. Available at SSRN 3580531.
Chui, 2008, National culture and life insurance consumption, J. Int. Bus. Stud., 39, 88, 10.1057/palgrave.jibs.8400316
Chui, 2010, Individualism and momentum around the world, J. Financ., 65, 361, 10.1111/j.1540-6261.2009.01532.x
Clare, 2016, The trend is our friend: Risk parity, momentum and trend following in global asset allocation, J. Behav. Exp. Financ., 9, 63, 10.1016/j.jbef.2016.01.002
Coibion, O., Gorodnichenko, Y., Weber, M., 2020. Labor markets during the covid-19 crisis: A preliminary view. Technical report. National Bureau of Economic Research.
Conlon, 2020, Safe haven or risky hazard? bitcoin during the covid-19 bear market, Financ. Res. Lett., 10.1016/j.frl.2020.101607
Cooper, 2008, Asset growth and the cross-section of stock returns. the, J. Financ., 63, 1609, 10.1111/j.1540-6261.2008.01370.x
Corbet, S., Hou, Y., Hu, Y., Lucey, B., Oxley, L., 2020. Aye corona! the contagion effects of being named corona during the covid-19 pandemic. Financ. Res. Lett. 101591.
Corbet, S., Larkin, C.J., Lucey, B.M., 2020. The contagion effects of the covid-19 pandemic: Evidence from gold and cryptocurrencies. Available at SSRN 3564443.
Correia, S., Luck, S., Verner, E., 2020. Pandemics depress the economy, public health interventions do not: Evidence from the 1918 flu. Available at SSRN 3561560.
Davison, C., 2020. tockat ssrn: Returns, leverage, and the covid-19 pandemic. Available at SSRN at https://doi.org/10.2139/ssrn.3627595.
De Vito, 2020, Estimating the covid-19 cash crunch: Global evidence and policy, J. Account. Public Policy, 106741, 10.1016/j.jaccpubpol.2020.106741
Dechow, P., Erhard, R., Sloan, R., Soliman, M., 2020. Implied equity duration: A measure of pandemic shut-down risk. Available at SSRN 3620524.
Demir, E., Danisman, G.O., 2020. Is covid-19 an indiscriminate tsunami? bank immunity and variation in government policy responses. Available at SSRN: https://doi.org/10.2139/ssrn.3628261.
Devpura, 2020, Hourly oil price volatility: The role of covid-19, Energy Res. Lett., 1, 13683, 10.46557/001c.13683
Ding, H., Fan, H., Lin, S., 2020. Covid-19, firm exposure, and firm value: A tale of two lockdowns. Working paper available at SSRN: 3574401.
Ding, W., Levine, R., Lin, C., Xie, W., 2020. Corporate immunity to the covid-19 pandemic. J. Financ. Econ. (in press).
Docherty, 2018, Investor myopia and the momentum premium across international equity markets, J. Financ. Quant. Anal., 53, 2465, 10.1017/S0022109018000431
Donadelli, 2017, Dangerous infectious diseases: Bad news for main street, good news for wall street?, J. Financ. Markets, 35, 84, 10.1016/j.finmar.2016.12.003
Donnelly, 2014, The book-to-market ratio, optimism and valuation, J. Behav. Exp. Financ., 4, 14, 10.1016/j.jbef.2014.10.002
Dorsch, 2019, Democratization and the conditional dynamics of income distribution, Am. Polit. Sci. Rev., 113, 385, 10.1017/S0003055418000825
Dou, 2016, Individualism, uncertainty avoidance, and earnings momentum in international markets, Contemp. Acc. Res., 33, 851, 10.1111/1911-3846.12155
Doukas, 2002, A test of the errors-in-expectations explanation of the value/glamour stock returns performance: evidence from analysts’ forecasts. The, J. Financ., 57, 2143, 10.1111/1540-6261.00491
Epstein, 2007, Controlling pandemic flu: the value of international air travel restrictions, PloS One, 2, 10.1371/journal.pone.0000401
Erdem, 2020, Freedom and stock market performance during covid-19 outbreak, Financ. Res. Lett., 10.1016/j.frl.2020.101671
Fahlenbrach, R., Rageth, K., Stulz, R.M., 2020. How valuable is financial flexibility when revenue stops? Evidence from the covid-19 crisis.
Fama, 2012, Size, value, and momentum in international stock returns, J. Financ. Econ., 105, 457, 10.1016/j.jfineco.2012.05.011
Fama, 2017, International tests of a five-factor asset pricing model, J. Financ. Econ., 123, 441, 10.1016/j.jfineco.2016.11.004
Feng, 2020, Taming the factor zoo: A test of new factors, J. Financ., 75, 1327, 10.1111/jofi.12883
Fernandez-Perez, A., Gilber, A., Indriawan, I., Nguyen, N.H., 2020. Covid-19 pandemic and stock market response: A culture effect. Available at SSRN 3623588.
Frazzini, 2014, Betting against beta, J. Financ. Econ., 111, 1, 10.1016/j.jfineco.2013.10.005
Friedman, 2007, Pathwise coordinate optimization. Ann, Appl. Stat., 1, 302
Friedman, 2010, Regularization paths for generalized linear models via coordinate descent, J. Stat. Softw., 33, 1, 10.18637/jss.v033.i01
Frontera, 2020, Regional air pollution persistence links to covid19 infection zoning, J. Infect., 10.1016/j.jinf.2020.03.045
Fullman, 2018, Measuring performance on the healthcare access and quality index for 195 countries and territories and selected subnational locations: a systematic analysis from the global burden of disease study 2016, Lancet, 391, 2236, 10.1016/S0140-6736(18)30994-2
Fund, I.I.M., 2020. World economic outlook, April 2020: The great lockdown. Available at https://www.imf.org/en/Publications/WEO/Issues/2020/04/14/weo-april-2020.
Gelman, 2005, Analysis of variance–why it is more important than ever, Ann. Statist., 33, 1, 10.1214/009053604000001048
Giroud, 2017, Firm leverage, consumer demand, and employment losses during the great recession, Q. J. Econ., 132, 271, 10.1093/qje/qjw035
Glossner, S., Matos, P., Ramelli, S., Wagner, A.F., 2020. Where do institutional investors seek shelter when disaster strikes? Evidence from covid-19.
Golez, 2018, Four centuries of return predictability, J. Financ. Econ., 127, 248, 10.1016/j.jfineco.2017.12.007
Goodell, 2020, Covid-19 and finance: Agendas for future research, Financ. Res. Lett., 101512, 10.1016/j.frl.2020.101512
Gormsen, N.J., Koijen, R.S., 2020. Coronavirus: Impact on stock prices and growth expectations. University of Chicago, Becker Friedman Institute for Economics Working Paper, (2020-22).
Green, 1960, Complex analyses of variance: General problems, Psychometrika, 25, 127, 10.1007/BF02288577
Griffin, 2015, Are the Fama and French Factors Global or Country Specific?, Rev. Financ. Stud., 15, 783, 10.1093/rfs/15.3.783
Gu, 2020, Empirical asset pricing via machine learning, Rev. Financ. Stud., 33, 2223, 10.1093/rfs/hhaa009
Hale, T., Petherick, A., Phillips, T., Webster, S., 2020. Variation in government responses to covid-19. Blavatnik School of Government Working Paper, 31.
Haroon, 2020, Covid-19: Media coverage and financial markets behavior–a sectoral inquiry, J. Behav. Exp. Financ., 27, 100343, 10.1016/j.jbef.2020.100343
Hassan, T.A., Hollander, S., van Lent, L., Tahoun, A., 2020. Firm-level exposure to epidemic diseases: Covid-19, sars, and h1n1. Technical report. National Bureau of Economic Research.
Hastie, 2015
He, Z., Nagel, S., Song, Z., 2020. Treasury inconvenience yields during the covid-19 crisis. NBER Working Paper, (w27416).
Hellewell, 2020, Feasibility of controlling covid-19 outbreaks by isolation of cases and contacts, Lancet Global Health, 10.1016/S2214-109X(20)30074-7
Hertzel, 2008, Inter-firm linkages and the wealth effects of financial distress along the supply chain, J. Financ. Econ., 87, 374, 10.1016/j.jfineco.2007.01.005
Heyden, 2020, Market reactions to the arrival and containment of covid-19: An event study, Financ. Res. Lett.
Hjalmarsson, 2010, Predicting global stock returns, J. Financ. Quant. Anal., 45, 49, 10.1017/S0022109009990469
Hofstede, G. Hofstede insights: Country comparison. Retrieved from: https://www.hofstede-insights.com/product/compare-countries/.
Hofstede, 2010
Hofstede, G.J., 2020. Boss blog 9 – corona across cultures. Available at https://geerthofstede.com/boss-blog-9-corona-across-cultures/.
Hou, 2011, What Factors Drive Global Stock Returns?, Rev. Financ. Stud., 24, 2527, 10.1093/rfs/hhr013
Hou, 2015, Digesting anomalies: An investment approach, Rev. Financ. Stud., 28, 650, 10.1093/rfs/hhu068
Huo, X., Qiu, Z., 2020. How does china’s stock market react to the announcement of the covid-19 pandemic lockdown? Available at SSRN: 3594062.
Iyke, 2020, Covid-19: The reaction of us oil and gas producers to the pandemic, Energy Res. Lett., 1, 13912, 10.46557/001c.13912
Iyke, 2020, The disease outbreak channel of exchange rate return predictability: Evidence from covid-19, Emerg. Markets Financ. Trade, 56, 2277, 10.1080/1540496X.2020.1784718
Iyke, 2020, Stock return predictability over four centuries: The role of commodity returns, Financ. Res. Lett., 101711
Ji, 2020, Searching for safe-haven assets during the covid-19 pandemic, Int. Rev. Financ. Anal., 101526, 10.1016/j.irfa.2020.101526
Kahle, 2013, Access to capital, investment, and the financial crisis, J. Financ. Econ., 110, 280, 10.1016/j.jfineco.2013.02.014
Kanno, M., 2020. Risk contagion of covid-19 on japanese stock market: A network approach. Available at SSRN 3599609.
Keppler, 1993, The small-country effect: Small markets beat large markets, J. Invest., 2, 17, 10.3905/joi.2.3.17
Kreft, I.G., De Leeuw, J., 1998. Introducing multilevel modeling. Sage.
Kretchmer, H., 2020. How coronavirus has hit employment in g7 economies? World Economic Forum, published on 13 May 2020. Available at https://www.weforum.org/agenda/2020/05/coronavirus-unemployment-jobs-work-impact-g7-pandemic/.
Kizys, 2021, From COVID-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions, Int. Rev. Financ. Anal., 101663
La Porta, 1999, The quality of government, J. Law Econ. Organiz., 15, 222, 10.1093/jleo/15.1.222
Lakonishok, 1994, Contrarian investment, extrapolation, and risk, J. Financ., 49, 1541, 10.1111/j.1540-6261.1994.tb04772.x
Landier, 2020, Earnings expectations during the covid-19 crisis, Rev. Asset Pricing Stud., 10.1093/rapstu/raaa016
Lee, 2016, Exact post-selection inference, with application to the lasso, Ann. Statist., 44, 907, 10.1214/15-AOS1371
Lee, 2011, The world price of liquidity risk, J. Financ. Econ., 99, 136, 10.1016/j.jfineco.2010.08.003
Lempel, 2009, Economic cost and health care workforce effects of school closures in the us, PLoS Currents, 1, 10.1371/currents.RRN1051
Levin, 2007, Can the health-care system meet the challenge of pandemic flu? planning, ethical, and workforce considerations, Public Health Rep., 122, 573, 10.1177/003335490712200503
Levine, 2005, Law, endowments and property rights, J. Econ. Perspect., 19, 61, 10.1257/089533005774357842
Li, 2013, How does culture influence corporate risk-taking?, J. Corp. Financ., 23, 1, 10.1016/j.jcorpfin.2013.07.008
Li, K., Liu, X., Mai, F., Zhang, T., 2020. The role of corporate culture in bad times: Evidence from the covid-19 pandemic. Available at SSRN 3632395.
Lopatta, K., Alexander, E.-K., Gastone, L.M., Tammen, T., 2020. To report or not to report about coronavirus? The role of periodic reporting in explaining capital market reactions during the global covid-19 pandemic. Working paper available at SSRN: 3567778.
Loughran, T., McDonald, B., 2020. Management disclosure of risk factors and covid-19. Available at SSRN 3575157.
Ling, 2020, A first look at the impact of covid19 on commercial real estate prices: Asset level evidence, Rev. Asset Pricing Stud., 10, 669, 10.1093/rapstu/raaa014
Ludvigson, 2007, The empirical risk–return relation: A factor analysis approach, J. Financ. Econ., 83, 171, 10.1016/j.jfineco.2005.12.002
Malesky, 2014, The political economy of development in china and Vietnam, Ann. Rev. Polit. Sci., 17, 395, 10.1146/annurev-polisci-041811-150032
Mazur, M., Dang, M., Vega, M., 2020. Covid-19 and March 2020 stock market crash. evidence from s&p1500. Available at SSRN 3586603.
Mnif, 2020, How the cryptocurrency market has performed during covid 19? a multifractal analysis, Financ. Res. Lett., 36, 101647, 10.1016/j.frl.2020.101647
Narayan, 2020, Oil price news and covid-19–is there any connection?, Energy Res. Lett., 1, 13176, 10.46557/001c.13176
Narayan, 2020, Covid-19 lockdowns, stimulus packages, travel bans, and stock returns, Financ. Res. Lett.
Niederreiter, J., Riccaboni, M., 2019. The impact of product innovation on firm value: Evidence from the biopharmaceutical industry. Available at SSRN 3589214.
Nozawa, Y., Qiu, Y., 2020. The corporate bond market reaction to quantitative easing during the covid-19 pandemic. Available at SSRN 3579346.
NYC Health, 2020. Daily data summary. coronavirus disease 2019 (covid-19). Retrieved from https://www1.nyc.gov/assets/doh/downloads/pdf/imm/covid-19-daily-data-summary-deaths-05132020-1.pdf.
OECD, 2008
Onali, E., 2020. Covid-19 and stock market volatility. Available at SSRN 3571453.
Onali, E., Mascia, D.V., 2020. Pandemic Risk and Diversification. Working paper.
Organization, I.L., 2020. Ilo monitor: Covid-19 and the world of work. third edition. Available at https://www.ilo.org/wcmsp5/groups/public/-dgreports/-dcomm/documents/briefingnote/wcms_743146.pdf.
Pagano, M., Wagner, C., Zechner, J., 2020. Disaster resilience and asset prices. arXiv preprint arXiv:2005.08929.
Pastor, L., Vorsatz, M.B., 2020. Mutual fund performance and flows during the covid-19 crisis. Technical report. National Bureau of Economic Research.
Pavlyshenko, B.M., 2020. Regression approach for modeling covid-19 spread and its impact on stock market. arXiv preprint arXiv: 2004.01489.
Phan, 2020, Country Responses and the Reaction of the Stock Market to COVID-19-a Preliminary Exposition, Emerg. Markets Financ. Trade, 56, 2138, 10.1080/1540496X.2020.1784719
Pike, 2014, Economic optimization of a global strategy to address the pandemic threat, Proc. Nat. Acad. Sci., 111, 18519, 10.1073/pnas.1412661112
Porta, 1997, Good news for value stocks: Further evidence on market efficiency, J. Financ., 52, 859, 10.1111/j.1540-6261.1997.tb04825.x
Porta, 1998, Law and finance, J. Polit. Econ., 106, 1113, 10.1086/250042
Ramelli, 2020, Feverish stock price reactions to covid-19, Rev. Corp. Financ. Stud., 56, 622, 10.1093/rcfs/cfaa012
Reinhart, C.M., 2020. This time truly is different. Project Syndicate. Available at https://www.project-syndicate.org/commentary/covid19-crisis-has-no-economic-precedent-by-carmen-reinhart-2020-03.
Sajadi, M.M., Habibzadeh, P., Vintzileos, A., Shokouhi, S., Miralles-Wilhelm, F., Amoroso, A., 2020. Temperature and latitude analysis to predict potential spread and seasonality for covid-19. Available at SSRN 3550308.
Salathé, 2020, Covid-19 epidemic in switzerland: on the importance of testing, contact tracing and isolation, Swiss Medical Weekly, 150, w20225
Schneider, 1991, Interpreting and responding to strategic issues: The impact of national culture, Strateg. Manage. J., 12, 307, 10.1002/smj.4250120406
Searle, 2009, vol. 391
Sène, B., Mbengue, M.L., Allaya, M.M., 2020. Overshooting of sovereign emerging eurobond yields in the context of covid-19. Finance research letters, page 101746.
Shanaev, S., Shuraeva, A., Ghimire, B., 2020. The financial pandemic: Covid-19 and policy interventions on rational and irrational markets. Available at SSRN 3589557.
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., 101496, 10.1016/j.irfa.2020.101496
Shi, 2020, Changes in population movement make covid-19 spread differently from sars, Soc. Sci. Med., 113036, 10.1016/j.socscimed.2020.113036
Simmons, J.P., Nelson, L.D., Simonsohn, U., 2011. False-positive psychology: Undisclosed flexibility in data collection and analysis allows presenting anything as significant. Psychol. Sci. 22(11), 1359–1366. PMID: 22006061.
Sinagl, P., 2020. Cash-flow risk and industry response to covid-19 outbreak. Available at SSRN 3566511 (2020).
Skinner, 2002, Earnings surprises, growth expectations, and stock returns or don’t let an earnings torpedo sink your portfolio, Rev. Acc. Stud., 7, 289, 10.1023/A:1020294523516
Spatt, 2020, A tale of two crises: The 2008 mortgage meltdown and the 2020 covid-19 crisis, Rev. Asset Pricing Stud., 10, 759, 10.1093/rapstu/raaa019
Stock, 2002, Macroeconomic forecasting using diffusion indexes, J. Bus. Econ. Stat., 20, 147, 10.1198/073500102317351921
Sun, C., 2018. Regularising the factor zoo with owl: A correlation-robust machine learning approach. Available at SSRN 3263420.
Takahashi, H., Yamada, K., 2020. When japanese stock market meets covid-19: Impact of ownership, trading, esg, and liquidity channels. Available at SSRN: 3577424.
Topcu, 2020, The impact of covid-19 on emerging stock markets, Financ. Res. Lett., 36, 101691, 10.1016/j.frl.2020.101691
Umar, 2020, A time-frequency analysis of the impact of the covid-19 induced panic on the volatility of currency and cryptocurrency markets. Journal of Behavioral and Experimental, Finance, 100404
Umar, Z., Jareño, F., Escribano, A.M., 2020. Dynamic return and volatility connectedness for dominant agricultural commodity markets during the covid-19 pandemic era.
Umutlu, 2015, Idiosyncratic volatility and expected returns at the global level, Financ. Analysts J., 71, 58, 10.2469/faj.v71.n6.5
Umutlu, 2019, Does idiosyncratic volatility matter at the global level?, North Am. J. Econ. Financ., 47, 252, 10.1016/j.najef.2018.12.015
Wang, W., Enilov, M., 2020. The global impact of covid-19 on financial markets. Available at SSRN 3588021.
Weeks, 2008, Autocratic audience costs: Regime type and signaling resolve, Int. Organiz., 62, 35, 10.1017/S0020818308080028
Wendling, Z.A., Emerson, J.W., Esty, D.C., Levy, M.A., de Sherbinin, A., et al., 2018. The 2018 environmental performance index. Technical report. Yale Center for Environmental Law & Policy, New Haven, CT.
Wind, 2020, The covid-19 pandemic: The ‘black swan’for mental health care and a turning point for e-health, Internet Interventions, 20, 10.1016/j.invent.2020.100317
Yan, B., Stuart, L., Tu, A., Zhang, T., 2020. Analysis of the effect of covid-19 on the stock market and investing strategies. Available at SSRN 3563380.
Yarovaya, L., Brzeszczynski, J., Goodell, J.W., Lucey, B.M., Lau, C.K., 2020. Rethinking financial contagion: Information transmission mechanism during the covid-19 pandemic. Available at SSRN 3602973.
Zaremba, 2019, The cross section of country equity returns: A review of empirical literature, J. Risk Financ. Manage., 12, 165, 10.3390/jrfm12040165
Zaremba, 2021, COVID-19, government policy responses, and stock market liquidity around the world: A note, Research in International Business and Finance, 56, 10.1016/j.ribaf.2020.101359
Zaremba, 2020, Infected markets: Novel coronavirus, government interventions, and stock return volatility around the globe, Financ. Res. Lett., 35, 101597, 10.1016/j.frl.2020.101597
Zhang, D., Hu, M., Ji, Q., 2020. Financial markets under the global pandemic of covid-19. Financ. Res. Lett. 101528.
Zimmermann, 2020, Inter-country distancing, globalization and the coronavirus pandemic, World Econ., 10.1111/twec.12969
Zou, 2005, Regularization and variable selection via the elastic net, J. Roy. Stat. Soc. Ser. B (Stat. Methodol.), 67, 301, 10.1111/j.1467-9868.2005.00503.x