Price reaction, volatility timing and funds’ performance during Covid-19

Nawazish Mirza, Bushra Naqvi, Birjees Rahat and Syed Kumail Abbas Rizvi

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

Abstract: In this paper we assess the price reaction, performance and volatility timing of European investment funds during the outbreak of Covid-19. We analyze the time period between January and June 2020 and demonstrate that while most of the investment funds exhibit stressed performance, social entrepreneurship funds endured resilience. This performance remained robust during the various stages of evolution of this contagion. The social funds also demonstrated volatility timing that was absent for most of their counterparts. We attribute the overall stability of these funds to their niche investments in social enterprises that specialize in providing innovative solutions for social issues.

Keywords: Volatility timing; Price reaction; Covid-19 (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (39)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320305316

DOI: 10.1016/j.frl.2020.101657

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