•We investigate the relationship between policy responses to the COVID-19 pandemic and stock market volatility.•We explore several different non-pharmaceutical interventions in 67 ...countries.•Stringent policy responses increase return volatility in international stock markets.•The effect is independent from the role of the coronavirus pandemic itself and is robust to many considerations.•Information campaigns and public event cancellations are the major contributors to the growth of volatility.
Do government interventions aimed at curbing the spread of COVID-19 affect stock market volatility? To answer this question, we explore the stringency of policy responses to the novel coronavirus pandemic in 67 countries around the world. We demonstrate that non-pharmaceutical interventions significantly increase equity market volatility. The effect is independent from the role of the coronavirus pandemic itself and is robust to many considerations. Furthermore, two types of actions that are usually applied chronologically particularly early—information campaigns and public event cancellations—are the major contributors to the growth of volatility.
In this paper, we use a bivariate Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model within the world's dominant financial asset classes— represented by ...sovereign bonds, commodities, and major exchange rates—to characterize the correlation within the major asset classes among the Global Financial Crisis (GFC) and COVID-19’s 100 days. Our results specify a noteworthy degradation of co-relationship within the asset classes dominant in COVID-19 compared to the GFC, especially when the VIX was at its peak, indicating massive fear among investors. We also find that gold, U.S., UK, and German sovereign bonds are a safe option for investors.
•The risk spillover between chinese and the global crude oil futures is studied.•VaR connectedness networks are built to measure upside and downside risk spillover.•China's crude oil futures behave ...as a net risk receiver in the global crude oil system.•Brent and WTI play the leading roles in risk transmission in the system.•Risk spillover presents time-varying feature and rises sharply by the COVID-19 pandemic.
This paper investigates the risk spillover between China's crude oil futures and international crude oil futures by constructing upside and downside VaR connectedness networks. The findings show that China's crude oil futures behave as a net risk receiver in the global crude oil system, in which Brent and WTI play the leading roles in risk transmission in the system. The dynamic results indicate that the risk spillover between Chinese and international crude oil futures presents obvious time-varying characteristics and has risen sharply since the beginning of 2020, induced by the COVID-19 pandemic.
•We propose some improved sparse and stable portfolio models by combining the shrinkage method and objective function L1 regularization method.•We investigate the combination of the constant ...correlation and objective function L1 regularization method.•Empirical studies show the proposed strategies offer lower levels of variances and higher risk-adjusted returns.
Parameter uncertainty and estimation errors often cause the presence of unstable asset weights and the poor performance of portfolio model. In addition, in the real world, most investors prefer to choose a small number of stocks to invest. In this paper, we propose some improved sparse and stable portfolio models by combining the shrinkage method and objective function L1 regularization method. An ‘optimal’ shrinkage constant is obtained by minimizes the expected distance between the shrinkage estimator and the true covariance matrix. Moreover, we investigate the combination of the constant correlation and objective function L1 regularization method. Empirical studies show that the proposed strategies have better out-of-sample performance than many other strategies for tested datasets.
•We analyze safe haven and hedge properties of gold against equity market investments.•We consider both domestic and foreign investors’ return perspectives.•We also repeat our analyses for the global ...crisis period.•For domestic investors, gold is both a hedge and a safe haven in most of the countries.•Gold is a safe haven in more countries as equity markets decline more severely.
The hedge and safe haven properties of gold in advanced economies’ financial markets are well documented in the literature. Studies of how this issue relates to emerging markets and developing countries are, however, very limited. This paper aims to fill this gap by empirically analyzing the hedge and safe haven properties of gold against equity market investment for a large group of emerging and developing countries from the perspective of both domestic and foreign investors. We also check whether our findings differ in the post-global crisis period. Our results show that for domestic investors, gold is both a hedge and a safe haven in most of these countries. This result also holds in the post-2008 crisis period. In addition, when falls in equity markets become more severe, gold acts as a safe haven in a larger set of countries for both domestic and foreign investors.
•We analyse gender gaps in firms’ loan demand and financing constraints.•Differences in credit constraints significantly vary with the definition of gender.•Estimated gaps increase as more precise ...measures of female participation are used.•We propose a decomposition method to assess the causes of gender differences.•Decomposition results provide support to the hypothesis of gender discrimination.
This paper investigates the existence of gender differences in firms’ access to finance. Based on firm-level data for 28 transitional European countries, we show how estimated gender gaps in credit demand and financial constraints significantly depend on the way in which female participation in ownership and management is measured. Furthermore, we find that differences in credit denial probability are not explained by the observed firm characteristics considered, but are due instead to unexplained factors, thus providing support to the hypothesis of gender-based discrimination in access to credit against women-led businesses.
•We conduct tests using bank data in china from 2008 to 2014.•Development of MMFs has shifted away bank deposits.•It reduces banks’ ability to make loans.•It has promoted interest rate liberalization ...in China.•These results remain to hold after robustness check.
We report significant effects of the development of money market funds (MMFs) on bank deposits, loans and interest rate liberalization using bank data in China from 2008 to 2014. In particular, the development of MMFs has shifted away bank deposits and reduced banks’ ability to make loans. Furthermore, the yields of bank-guaranteed financial products and MMFs show a significant and positive relation, implying that the development of MMFs has promoted interest rate liberalization in China. These results remain to hold after we control for the potential simultaneity bias.
•The COVID-19 pandemic has significant impacts on global financial markets.•Substantial increases of volatility are found in global markets due to the outbreak.•Global stock markets linkages display ...clear different patterns before and after the pandemic announcement.•Policy responses may create further uncertainties in the global financial markets.
The rapid spread of coronavirus (COVID-19) has dramatic impacts on financial markets all over the world. It has created an unprecedented level of risk, causing investors to suffer significant loses in a very short period of time. This paper aims to map the general patterns of country-specific risks and systemic risks in the global financial markets. It also analyses the potential consequence of policy interventions, such as the US’ decision to implement a zero-percent interest rate and unlimited quantitative easing (QE), and to what extent these policies may introduce further uncertainties into global financial markets.
This paper highlights the enormous economic and social impact of COVID-19 with respect to articles that have either prognosticated such a large-scale event, and its economic consequences, or have ...assessed the impacts of other epidemics and pandemics. A consideration of possible impacts of COVID-19 on financial markets and institutions, either directly or indirectly, is briefly outlined by drawing on a variety of literatures. A consideration of the characteristics of COVID-19, along with what research suggests have been the impacts of other past events that in some ways roughly parallel COVID-19, points toward avenues of future investigation.
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