Does G7 Engross the Shock of COVID 19: An Assessment with Market Volatility?

Nupur Moni Das (), Bhabani Sankar Rout () and Yashmin Khatun ()
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Nupur Moni Das: Sri Sri University
Bhabani Sankar Rout: Siksha ‘O’ Anusandhan (Deemed to be University)
Yashmin Khatun: National Institute of Technology

Asia-Pacific Financial Markets, 2023, vol. 30, issue 4, No 6, 795-816

Abstract: Abstract The paper has emphasized on the downside potential of the stock market faced by G-7 countries in the times of COVID-19 relative to other economic crises. The results of VaR models, ES, and correlation suggests that most of the nations in G-7 group experienced highest risk during COVID-19 relative to other regimes and also increased inter-linkage of different markets within the group is visible during this period. The work can definitely be a reference to the investors for taking investment decisions as well as the governments and regulators for framing policies to keep the market stable by clinging to the policies of those markets which has managed to stay stable even at turbulent times. Moreover, the group as a whole can also rethink of policy measures together to beat the crisis.

Keywords: COVID- 19; GFC; Market risk; VaR; Pandemic; Economic crisis; KUPIEC test (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10690-023-09398-8

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