 A description of the COVID-19 outbreak role in financial risk forecastingFernanda Maria Müller, Samuel Solgon Santos and Marcelo Righi () The North American Journal of Economics and Finance, 2023, vol. 66, issue C Abstract: This study aims to describe the risk of the system composed on the market indexes of the countries that were more affected by COVID-19. Our sample encompasses the thirty-five countries with more cases and/or deaths caused by COVID-19 until November 2020. As a second contribution, we describe the risk of each market index individually. As a general pattern, we note that losses and individual and systemic risks peaked in March 2020. We verify that countries that were epicenters of the COVID-19 pandemic experienced critical levels of risk, which is partially explained by more stringent confinement measures since these are the ones whose labor markets will suffer more in the medium and long run. We perceived a market recovery, arguably due to the low-interest rates and expansive actions taken by central banks. Nonetheless, we also observed that the systemic risk returned to pre-pandemic levels at the end of 2020. Keywords: Single-index risk; Systemic risk; COVID-19 (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000177 DOI: 10.1016/j.najef.2023.101894 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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