scholarly journals THE IMPACT OF THE COVID-19 ON THE FINANCIAL MARKETS: EVIDENCE FROM G7

2020 ◽  
Author(s):  
Paula Heliodoro ◽  
◽  
Rui Dias ◽  
Paulo Alexandre ◽  
Maria Manuel ◽  
...  
Keyword(s):  
United Kingdom ◽  
Financial Markets ◽  
Open Space ◽  
Research Question ◽  
Correlation Coefficients ◽  
Stock Index ◽  
Global Pandemic ◽  
Canadian Market ◽  
Stock Indexes ◽  
The Impact

This essay aims to analyse the impact of the 2020 global pandemic on the stock indexes of France (CAC 40), Germany (DAX 30), USA (DOW JONES), United Kingdom (FTSE 100), Italy (FTSE MID), Japan (Nikkei 225) and Canada (TSX 300), from January 2018 to June 2020, with the sample being divided into two sub periods: first sub period from January 2018 to August 2019 (Pre-Covid); second period from September 2019 to June 2020 (Covid-19). In order to carry out this analysis, different approaches were taken in order to analyse whether: (i) the global pandemic (Covid-19) increased the persistence of the G7 financial markets? In the Pre-Covid period, we can verify the presence of long memories in the Canadian market (TSX), while the markets in France (CAC 40) and Italy (FTSE MID) show signs of balance, since the random walk hypothesis was not rejected. The German (DAX 30), USA (DJI), United Kingdom (FTSE 100) and Japan (NIKKEI 225) markets have anti-persistence (0 <α <0.5). In period II, the Covid-19-time scale is contained, and we verified the presence of significant long memories, except for the US stock index (0.49). These findings make it possible to show that the assumption of the market efficiency hypothesis may be called into question, because these markets are predictable, which validate the research question. The results of the pDCCA correlation coefficients, in the Pre-Covid period, show 14 pairs of median markets (0.333 → ≌ 0.666). We can also see 7 pairs of markets with strong correlation coefficients (0.666 → ≌ 1,000), showing that these markets have a tendency towards integration, this evidence may call into question the hypothesis of portfolio diversification. In period II (Covid-19) the λ_DCCA correlation coefficients have 7 strong market pairs (0.666 → ≌ 1,000), 5 pairs have weak pDCCA coefficient (0.000 → ≌ 0.333), 5 market pairs show anti-correlation (-1.000 → ≌ 0.000), and 4 market pairs show median coefficients (pDCCA) (0.333 → ≌ 0.666) (out of 21 possible). When compared to the previous subperiod, we found that the majority of the pDCCAs decreased, which shows that the markets have decreased their integration, making it possible to diversify portfolios in certain markets, especially in the Japanese market (NIKKEI 225). These conclusions open space for market regulators to take measures to ensure better informational information, in the stock markets, in the 7 most advanced economies in the world.

scholarly journals RISK DIVERSIFICATION IN ASEAN-5 FINANCIAL MARKETS: AN EMPIRICAL ANALYSIS IN THE CONTEXT OF THE GLOBAL PANDEMIC (COVID-19)

2020 ◽  
Author(s):  
Rita Silva ◽  
◽  
Rui Dias ◽  
Paula Heliodoro ◽  
Paulo Alexandre ◽  
...  
Keyword(s):  
Financial Markets ◽  
Global Economy ◽  
Open Space ◽  
Financial Integration ◽  
Correlation Coefficients ◽  
World Health ◽  
Stock Market Index ◽  
Risk Diversification ◽  
Global Pandemic ◽  
Regional Markets

The World Health Organization (WHO) has designated the new coronavirus infection as a global pandemic, based on the risk of contagion, and the number of confirmed cases in more than 195 countries. COVID-19 has an intense impact on the global economy, resulting from uncertainty and pessimism, with adverse effects on financial markets. Due to these events, this essay aims to estimate if the portfolio’s diversification is feasible in the financial markets of Indonesia, Malaysia, Philippines, Singapore, and Thailand (ASEAN-5), in the context of the global pandemic (Covid-19), regarding the period of July 1, 2019, to July 22, 2020. To achieve such an analysis, is intended to provide answers for two questions, namely: i) the global pandemic (Covid-19) has accentuated financial integration between the ASEAN-5 markets? ii) If so, can the persistence of returns affect the risk diversification of portfolios? The results obtained suggest that those regional markets present accentuated levels of integration. However, the Singapore's stock market index does not show any level of integration, indicating that the implementation of portfolio’s diversification strategies can be considered; however, the same can no longer be evident for the other ASEAN-5 markets. Additionally, we verified that the ASEAN-5 markets indicate persistence in returns, that is, the presence of accentuated long memories, except for the Singapore market (SGX). These findings show that prices do not fully reflect the information available and that changes in prices are not independent and identically distributed. This situation is found for investors, since some returns can be expected, creating opportunities for arbitrage and abnormal earnings. Corroborating the trendless cross-correlation coefficients (𝜆𝐷𝐶𝐶𝐴), proven evidence coefficients, mostly, suggest the existence of risk transmission between markets. In conclusion, the authors seek that the implementation of an efficient diversification strategy for portfolios requires agreement with the controversial application. These conclusions also open space for the regulators of these regional markets to take measures to ensure better information between these markets and international markets.

THE SHOCKS BETWEEN OIL MARKET TO THE BRIC STOCK MARKETS: A GENERALIZED VAR APPROACH

2020 ◽  
Author(s):  
Rui Dias ◽  
◽  
Paula Heliodoro ◽  
Paulo Alexandre ◽  
Cristina Vasco ◽  
...  
Keyword(s):  
Financial Markets ◽  
Global Economy ◽  
Open Space ◽  
Short Term ◽  
Normal Distributions ◽  
Oil Market ◽  
Global Pandemic ◽  
Arbitrage Opportunities ◽  
Market Shocks ◽  
The Impact

The pandemic (Covid-19) has affected the global economy, and the impact on financial markets seems inevitable. In view of these events, this essay aims to analyse the shocks between the stock market indices of Brazil (BOVESPA), China (SSEC) India (SENSEX), Russia (IMOEX) and oil (WTC), in the period from January 2, 2019 to May 29, 2020. In order to carry out this analysis, different approaches were undertaken with a view to gauging whether (i) the global pandemic has accentuated the shocks between the BRIC financial markets and the WTC? The daily yields do not have normal distributions, show negative asymmetries, leptokurtic, and exhibit conditional heteroscedasticity. In general, we find evidence that the WTC causes the markets of Russia and India, China does not cause any market, and Brazil is not caused by any market analysed. On the other hand, short-term market shocks are relevant and create some arbitrage opportunities. However, our study did not analyse anomalous returns in these financial markets. These findings also open space for market regulators to take action to ensure better information between international financial markets.

scholarly journals EVIDENCE OF INTRADAY MULTIFRACTALITY IN BRIC STOCK MARKETS: AN ECONOPHYSICS APPROACH

2020 ◽  
Author(s):  
Rui Dias ◽  
◽  
Paula Heliodoro ◽  
Paulo Alexandre ◽  
Maria Manuel ◽  
...  
Keyword(s):  
Financial Markets ◽  
Global Economy ◽  
Open Space ◽  
Stock Exchange ◽  
Weak Form ◽  
Initial Correlation ◽  
Arbitrage Opportunities ◽  
Opening And Closing ◽  
Stock Indexes ◽  
The Impact

The pandemic outbreak (Covid-19) has affected the global economy, and the impact on financial markets seems inevitable. In view of these events, this essay intends to analyse the efficiency, in its weak form, in the BRIC markets, namely the stock indexes of Brazil (BRAZIL IBOVESPA), China (Shanghai Stock Exchange), India (S&P BSE SENSEX), Russia (MOEX Russia). The data are intraday (1 hour), from May 2019 to May 2020; to obtain more robust results, we divided the sample into time scales up to 5 days (Period I), and above 10 days (Period II), in a complementary way, and we use the opening and closing prices to estimate the adjustment time of each market. The results indicate that the BRIC markets have significant persistence (over 10 days), which may jeopardize market efficiency, in its weak form. On the other hand, the low initial correlation in certain stock indexes may create some arbitrage opportunities. However, our study did not analyse anomalous meturns in these financial markets. These conclusions also open space for market regulators to take measures to ensure better information between these markets and international ones.

The Impact of the COVID-19 Pandemic on Stock Markets

2020 ◽  
Vol 1 (2) ◽  
pp. 57-70
Author(s):  
Rui Dias ◽  
João Manuel Pereira
Keyword(s):  
Financial Markets ◽  
Global Economy ◽  
Structural Breaks ◽  
Research Question ◽  
Causal Link ◽  
Data Series ◽  
Fluctuation Analysis ◽  
Wald Tests ◽  
The Impact ◽  
Detrended Fluctuation

COVID-19 has had a marked impact on the global economy, resulting in uncertainty, pessimism, and adverse effects on financial markets. In light of this event, this paper aims to test whether the evolution of COVID-19 (confirmed cases and deaths) is responsible for the stock market indices in eight European countries, from December 31, 2019 to July 23, 2020. Two key research questions have been raised to determine this causal link: Does the increase in COVID-19 cases and deaths cause shockwaves in Europe's financial markets? If so, does the presence of long memories cause high levels of arbitration? The results show mostly structural breaks in March 2020. In contrast, the VAR Granger Causality/Block Exogeneity Wald Tests model shows that the COVID-19 data series (confirmed cases and deaths) do not cause shocks in Europe's financial markets, which in return does not validate the first research question. The results of the exponents detrended fluctuation analysis (DFA) shows significant long memories ranging between 0.61-0.73.

scholarly journals HAS THE GLOBAL PANDEMIC OF 2020 LED TO PERSISTENCE IN THE SHARE PRICES OF LARGE GLOBAL COMPANIES?

2021 ◽  
Author(s):  
Hortense Santos ◽  
◽  
Rui Dias ◽  
Cristina Vasco ◽  
Paulo Alexandre ◽  
...  
Keyword(s):  
Stock Prices ◽  
Research Question ◽  
Correlation Coefficients ◽  
Trading Strategies ◽  
Fluctuation Analysis ◽  
Additional Risk ◽  
Share Prices ◽  
Global Pandemic ◽  
Global Companies ◽  
Detrended Fluctuation

This paper aims to analyze the predictability of the stocks of Apple, Microsoft Amazon.com, Tesla, Facebook, Samsung, Electronics, Johnson & Johnson, Walmart, in the period from October 1, 2019 to January 11, 2021. To carry out such an analysis, it is intended to answer two research questions, namely: (i) is there predictability in the stock prices of the companies under analysis? (ii) Can investors diversify risk by incorporating these companies’ shares into their portfolios? The results of the Exponents Detrended Fluctuation Analysis (DFA) show that Apple (0.51) Microsoft (0.49), Amazon.com (0.53), Samsung Electronics (0.53), Johnson & Johnson (0.53) do not have long memories in their time series, that is, investors cannot obtain abnormal profitability without incurring additional risk. Walmart (0.41) has anti-persistence, while Tesla (0.60), Facebook (0.55) indicate some predictability, meaning investors adjusting their trading strategies to the necessary missteps may have some above-average profitability, which partly rejects the first question of the research. To answer the second research question, we estimated the Detrended cross-correlation coefficient (pDCCA) model, which indicates 17 mean correlation coefficients (≈ 0.333 → ≈ 0.666), 7 strong cross-trend correlation coefficients (0.666 → ≈ 1,000), 4 weak correlation coefficients (≈ 0.000 → ≈ 0.333). These results show that investors should be careful to incorporate the shares of these companies into a single portfolio; the suggestion would be to group only the shares of companies that do not present predictability and have low rhoDCCA. The authors consider that this evidence will be important for institutional investors when carrying out trading strategies based on maximizing profitability, but also mitigating risk when diversifying.

scholarly journals Are ESG Shares a Safe Haven during COVID-19? Evidence from the Arab Region

2021 ◽  
Vol 14 (1) ◽  
pp. 208
Author(s):  
Musaab Mousa ◽  
Adil Saleem ◽  
Judit Sági
Keyword(s):  
Composite Index ◽  
Stock Index ◽  
Arab Region ◽  
Market Index ◽  
Long Run ◽  
Stock Market Performance ◽  
Market Shocks ◽  
Stock Indexes ◽  
The Impact ◽  
The Relationship

The world experienced significant changes in its social and economic lives in 2020–21. Major stock markets experienced an immediate decline. This paper attempts to examine the impact of COVID-19 on stock market performance as well as to identify the differences between the responses of ESG stocks and normal stocks to pandemic conditions in the Arab region. Daily time series for three years between March 2019 and March 2021 were collected for the S&P Pan Arab Composite index and S&P/Hawkamah ESG Pan Arab Index. We used a generalized autoregressive conditional heteroscedasticity (GARCH) model to measure market shocks and a non-linear autoregressive distributed lagged (NARDL) regression model to display the relationship between COVID-19 measurements and the performance of stock indexes. The findings suggest that the volatilities of ESG portfolios and conventional ones were equally affected in the pre-COVID period. However, in the post-COVID period, the magnitude of volatility in the ESG stock index was significantly less compared to that of the conventional stock index. The results also revealed that in the ESG market, shock tended to remain for a shorter period. Furthermore, the ESG index was not affected by the number of confirmed cases and deaths. However, evidence of asymmetric long-run cointegration existed between the S&P index and number of cases and deaths. Increases in the numbers of cases and deaths caused a decline in market index, whereas the reverse trends were observed in the retreat of the pandemic.

scholarly journals COVID-19: Impact on United Kingdom Horse Owners

Animals ◽  
2020 ◽  
Vol 10 (10) ◽  
pp. 1862
Author(s):  
Jane M. Williams ◽  
Hayley Randle ◽  
David Marlin
Keyword(s):  
United Kingdom ◽  
Online Survey ◽  
Health And Wellbeing ◽  
Human Interactions ◽  
The United Kingdom ◽  
Global Pandemic ◽  
Chi Squared ◽  
Horse Health ◽  
The Impact ◽  
Horse Owners

COVID-19 was declared a global pandemic on 11 March 2020; the United Kingdom (UK) implemented quarantine measures shortly afterward, resulting in rapid changes in how owners managed and interacted with their horses. This study provides a rapid analysis of the initial impact of the COVID-19 outbreak on the management of UK leisure and competition horses. A 17 question online survey was distributed via equestrian social media sites to ascertain the impact of COVID-19 on horse and yard management and on human–horse interactions. Frequency analysis combined with Chi-squared and thematic analyses identified the impact of COVID-19 on UK horse owners. Major changes within horse management and horse–human interactions were reported for the majority of horse owners (>65%), regardless of the establishment type or region. Social distancing and visiting restrictions were implemented at most yards, but nearly half were not providing hand sanitization or disinfection protocols for the shared areas/equipment to prevent cross-contamination between users. The financial impact of the pandemic combined with restricted access to veterinary professionals resulted in owners expressing concerns that horse health and welfare may be compromised as a result. Horse owners also felt that the reduced opportunities for horse–human interactions were negatively affecting their mental health and wellbeing.

scholarly journals THE IMPACT OF COVID-19 ON EXCHANGE RATE VOLATILITY: AN ECONOPHYSICS APPROACH

2020 ◽  
Author(s):  
Rui Dias ◽  
◽  
Hortense Santos ◽  
Keyword(s):  
Exchange Rates ◽  
Correlation Coefficient ◽  
Cross Correlation ◽  
Exchange Rate Volatility ◽  
Correlation Coefficients ◽  
Weak Form ◽  
Fluctuation Analysis ◽  
Global Pandemic ◽  
Exchange Markets ◽  
The Impact

This paper aims to analyze the efficiency, in its weak form, between exchange rates, US-RMB, US-EUR, US-JPY, US-MYR, US-PHP, US-SGD, US-THB, US-CHF, US-GBP, in the period from July 1, 2019 to October 27, 2020. To perform this analysis, different approaches were undertaken to assess whether: (i) the impact of the global pandemic created long memories in international foreign exchange markets? The results of the exponents Detrended Fluctuation Analysis (DFA) show that the exchange rates US-THB (0.60), US-MYR (0.59), US-SGD (0. 59), present long memories, to a lesser extent the exchange pairs US-GBP (0.56), US-EUR (0.53). On the other side, exchange rates US-RMB (0. 47), US-JPY (0. 43), US-CHF (0. 46), US-PHP (0. 38) show anti persistence, while the Detrended cross-correlation coefficient (𝑝𝐷𝐶𝐶𝐴) results show 19 average correlation coefficients (≌ 0.333 → ≌ 0.666), 10 weak correlation coefficient (≌ 0,000 → ≌ 0.333), 7 strong non-trend cross correlation coefficients (0.666→ ≌ 1,000). In conclusion, we show that the exchange pairs analyzed show some predictability, that is, there are levels of arbitrage that can be explored by investors; we also found that the exchange rates analyzed have characteristics of diversification, due to the low autocorrelation between markets. The objective of this study was not to analyze abnormal profitability by investors without incurring additional risk.

Central European Banking Sector Integration and Shocks During the Global Pandemic (COVID-19)

2021 ◽  
pp. 272-288
Author(s):  
Pedro Pardal ◽  
Rui Teixeira Dias ◽  
Hortense Santos ◽  
Cristina Vasco
Keyword(s):  
Banking Sector ◽  
Research Question ◽  
Portfolio Diversification ◽  
The Czech Republic ◽  
Central European ◽  
Global Pandemic ◽  
Causality Tests ◽  
European Banking ◽  
The Impact ◽  
Sector Integration

This chapter aims to analyze the impact of the global 2020 pandemic on the banking sectors of the Czech Republic, Hungary, Poland, Romania, Russia, and Slovakia countries in the period from January 2, 2017 to August 10, 2020. The results of the Gregory-Hansen test, in the covid subperiod, show 27 integrations (in 30 possible). When comparing the pre-covid and covid subperiods, the level of integration has increased 386% between markets, which could call into question portfolio diversification, validating the first research question. In corroboration, the authors have verified that the results of Granger's causality tests, in the COVID-19 subperiod, increased significantly. In view of these results and bearing in mind the results of integration, they can show that the crisis caused by the global pandemic of 2020 has increased the synchronization between these regional banking sectors, significantly decreasing the hypothesis of implementing efficient portfolio diversification, thus validating the second research question.

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