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COVID-19’s disasters are perilous than Global Financial Crisis: A rumor or fact?

Khurram Shehzad (), Liu Xiaoxing and Hayfa Kazouz

Finance Research Letters, 2020, vol. 36, issue C

Abstract: 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.

Keywords: COVID-19; Global Financial Crises; APGARCH model; Financial markets; Leverage effect (search for similar items in EconPapers)
JEL-codes: G01 G11 G14 G15 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (92)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320305249

DOI: 10.1016/j.frl.2020.101669

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