Bullockmullen3782

I examine the spillover effects across the three different long-short portfolio indices during the COVID-19 pandemic. The relative outperformance of the ESG portfolio, reported by Nofsinger and Varma (2014) and Lins et al. (2017), comes from the fact that the probability of its returns getting affected by the other safer investment strategies increases during an economic slowdown. It implies that investors become more attentive to corporate fundamentals - causing capital flowing away from the defensive and EAFE portfolios to the ESG portfolio during crisis periods. Investors find refuge in the ESG approach as it focuses on the long-run sustainability of firms.How do retail investors respond to the outbreak of COVID-19? We use transaction-level trading data to show that investors significantly increase their trading activities as the COVID-19 pandemic unfolds, both at the extensive and at the intensive margin. Investors, on average, increase their brokerage deposits and open more new accounts. The average weekly trading intensity increases by 13.9% as the number of COVID-19 cases doubles. learn more The increase in trading is especially pronounced for male and older investors, and affects stock and index trading. Following the 9.99%-drop of the Dow Jones on March 12, investors significantly reduce the usage of leverage.We examine the role of ESG performance during market-wide financial crisis, triggered in response to the COVID-19 global pandemic. The unique circumstances create an inimitable opportunity to question if investors interpret ESG performance as a signal of future stock performance and/or risk mitigation. Using a novel dataset covering China's CSI300 constituents, we show (i) high-ESG portfolios generally outperform low-ESG portfolios (ii) ESG performance mitigates financial risk during financial crisis and (iii) the role of ESG performance is attenuated in 'normal' times, confirming its incremental importance during crisis. We phrase the results in the context of ESG investment practices.We merge two unique historical datasets on commodity and stock prices covering four centuries and three leading stock markets (Netherlands, UK, and US) to show that, consistent with theoretical predictions, commodity returns can predict stock returns. We show that about 64% and 56% of the commodity returns can predict stock returns in-sample and out-of-sample, respectively. Aggregating commodity returns by market, returns from agriculture, energy, and livestock and meat markets appear to consistently predict stock returns. These results are robust to recessions and expansions.Understanding the impact of infectious disease pandemic on stock market volatility is of great concerns for investors and policy makers, especially during recent new coronavirus spreading period. Using an extended GARCH-MIDAS model and a newly developed Infectious Disease Equity Market Volatility Tracker (EMV-ID), we investigate the effects of infectious disease pandemic on volatility of US, China, UK and Japan stock markets through January 2005 to April 2020. The empirical results show that, up to 24-month lag, infectious disease pandemic has significant positive impacts on the permanent volatility of international stock markets, even after controlling the influences of past realized volatility, global economic policy uncertainty and the volatility leverage effect. At different lags of eruptions in infectious disease pandemic, EMV-ID has distinct effects on various stock markets while it has the smallest impact on permanent volatility of China's stock market.This paper examines the causal relationship between crude oil and gold spot prices to assess how the economic impact of COVID-19 has affected them. We analyze West Texas Light crude oil (WTI) and gold prices from January 4, 2010, to May 4, 2020. We detect common periods of mild explosivity in WTI and gold markets. More importantly, we find a bilateral contagion effect of bubbles in oil and gold markets during the recent COVID-19 outbreak.This study investigates the impact of COVID-19 pandemic on the microstructure of US equity markets. In particular, we explain the liquidity and volatility dynamics via indexes that capture multiple dimensions of the pandemic. Our results suggest that increases in confirmed cases and deaths due to coronavirus are associated with a significant increase in market illiquidity and volatility. Similarly, declining sentiment and the implementations of restrictions and lockdowns contribute to the deterioration of liquidity and stability of markets.We empirically investigate the effect of the official announcements regarding the COVID-19 new cases of infection and fatality ratio, on the financial markets volatility in the United States (US). We consider both COVID-19 global and US figures and show that the sanitary crisis enhances the S&P 500 realized volatility. Our findings are robust to different model specifications and suggest that the prolongation of the coronavirus pandemic is an important source of financial volatility, challenging the risk management activity.The Covid-19 pandemic and global economic recession has shrunk global energy demand and collapsed fossil fuel prices. Therefore, renewable energy projects are losing their competitiveness. This endangers the achievement of several Sustainable Development Goals (SDGs) and the Paris Agreement on Climate Change. Various consulting companies define the SDGs differently. Institutional investors hire consulting companies and allocate their investment based on the consultants' suggestions. This paper theoretically shows that the current allocation of investors by considering SDG based on various consulting companies will lead to distortion in the investment portfolio. The desired portfolio allocation can be achieved by taxing pollution and waste such as CO2, NOx, and plastics, globally with the same tax rate. Global taxation on pollution will lead to the desired portfolio allocation of assets.The goal of this study is to investigate the impact of COVID-19 on emerging stock markets over the period March 10 - April 30, 2020. Findings reveal that the negative impact of pandemic on emerging stock markets has gradually fallen and begun to taper off by mid-April. In terms of regional classification, the impact of the outbreak has been the highest in Asian emerging markets whereas emerging markets in Europe have experienced the lowest. We also find that official response time and the size of stimulus package provided by the governments matter in offsetting the effects of the pandemic.This paper investigates the US stock market performance during the crash of March 2020 triggered by COVID-19. We find that natural gas, food, healthcare, and software stocks earn high positive returns, whereas equity values in petroleum, real estate, entertainment, and hospitality sectors fall dramatically. Moreover, loser stocks exhibit extreme asymmetric volatility that correlates negatively with stock returns. Firms react in a variety of different ways to the COVID-19 revenue shock. The analysis of the 8K and DEF14A filings of poorest performers reveals departures of senior executives, remuneration cuts, and (most surprisingly) newly approved cash bonuses and salary increases.Banking sectors across the globe are under immense stress due to the evolving COVID-19 situation and policy responses thereto. This study investigates how COVID-19 impacted the systemic risk in the banking sectors of eight of the most COVID-19 affected countries. We find a significant increase in systemic risk among the sample countries initially, while stagnancy (at an elevated level) is observed during April 2020 except for China, which is showing some recovery. By using spillover measures, we also identify systemically important institutions. The findings of this study testify to the benefits of policy responses in containing systemic risk.•The number of Covid-19 pandemic cases per million has significant negative effects on global financial markets.•The adverse effects of the coronavirus on the stock markets are less in freer countries. In other words, the stock markets of less-free countries are affected more by the same size of increase in the number of coronavirus cases.•For every increase in the growth of number of Covid-19 cases per million, the stock market returns in freer countries are associated with less return decreases.•Even though the growth of the number of Covid-19 cases per million increases the volatility in less-free countries, its effect on freer countries is not statistically different from zero.This investigation employed the Asymmetric Power GARCH model and found that COVID-19 substantially harms the US and Japan's market returns. Moreover, COVID-19 has influenced the variance of the US, Germany, and Italy's stock markets more than the Global Financial Crises (GFC). However, GFC indicated a more significant impact on the financial volatility of the Nikkei 225 index and SSEC than COVID-19. The study confirmed the leverage effect for the S&P 500, Nasdaq Composite Index, DAX 30, Nikkei 225, FTSE MIB, and SSEC. The analysis authenticated that the health crisis that befell due to COVID-19 have imperatively originated the financial crisis globally; however, the Asian markets still make available better prospects for portfolio optimization.Using the Färe-Primont index and instrumental variable fixed effect estimation for the data of small and medium-sized enterprises (SMEs), this study considers if receiving government financial support enables SMEs in Vietnam to become more productive. The paper discovers no evidence of linkage between financial support and firm productivity. However, access to financial support improves technological progress and growth in firm scale but has a negative effect on improvement in technical efficiency. The estimation results reveal that the use of productivity as an aggregated index in previous studies may hide the real effect of government support on firm productivity.This paper analyzes the evolution of CDS spread and CDS volatility around European sovereign rating announcements over the period 2008-13. We show that the effect of the announcement differs depending on the credit quality of the issuer (Investment Grade versus Speculative). The downgrading and negative credit watch of an investment grade country stabilize the market, as volatility decreases right after their release. By contrast, the announcements regarding speculative grade countries trigger an increase in both CDS spread and volatility. Lastly, we show that these announcements not only affect the CDS of the country, but spill over the German CDS.This paper develops a down-and-out call option model by introducing a structural break in volatility to capture the coronavirus (COVID-19) outbreak. The life insurer's equity and its board's utility are evaluated at the optimal guaranteed rate in the equity maximization. Results suggest that the seriousness degree of the COVID-19 outbreak and capital regulation enhance the optimal guaranteed rate and the board's utility. Increased the board's utility by increasing liabilities costs insurer profitability. Conflicts of incentives can arise during the COVID-19 outbreak.