Aye Corona! The contagion effects of being named Corona during the COVID-19 pandemic.
Shaen Corbet,Shaen Corbet,Yang Hou,Yang Hu,Brian M. Lucey,Brian M. Lucey,Brian M. Lucey,Les Oxley +7 more
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In this paper, the authors show that the existence of sharp, dynamic and new correlations between companies related to the term "corona", outside of pre-existing interrelationships.About:
This article is published in Finance Research Letters.The article was published on 2021-01-01 and is currently open access. It has received 173 citations till now.read more
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Financial contagion during COVID-19 crisis.
TL;DR: The empirical results show that listed firms across these countries, financial and non-financial firms alike, experience significant increase in conditional correlations between their stock returns, however, the magnitude of increase in these correlations is considerably higher for financial firms during the COVID-19 outbreak.
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Safe haven or risky hazard? Bitcoin during the Covid-19 bear market
Thomas Conlon,Richard McGee +1 more
TL;DR: It is shown that Bitcoin does not act as a safe haven, instead decreasing in price in lockstep with the S&P 500 as the crisis develops, and cast doubt on the ability of Bitcoin to provide shelter from turbulence in traditional markets.
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Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe
TL;DR: It is demonstrated that non-pharmaceutical interventions significantly increase equity market volatility.
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Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets
TL;DR: In this article, the authors examined the expected economic impact of government actions by analyzing the effect of such actions on stock market returns using daily data from January 22 to April 17, 2020 from 77 countries.
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Return connectedness across asset classes around the COVID-19 outbreak
TL;DR: In this paper, the authors show evidence of a dramatic change in the structure and time-varying patterns of return connectedness across various assets (gold, crude oil, world equities, currencies, and bonds) around the COVID-19 outbreak.
References
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Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev,Tim Bollerslev +1 more
TL;DR: In this paper, a natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in 1982 to allow for past conditional variances in the current conditional variance equation is proposed.
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Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models
TL;DR: In this article, a new class of multivariate models called dynamic conditional correlation models is proposed, which have the flexibility of univariate generalized autoregressive conditional heteroskedasticity (GARCH) models coupled with parsimonious parametric models for the correlations.
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COVID-19 and finance: Agendas for future research.
TL;DR: The enormous economic and social impact of COVID-19 is highlighted with respect to articles that have either prognosticated such a large-scale event, and its economic consequences, or have assessed the impacts of other epidemics and pandemics.
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A Rose.com by Any Other Name
TL;DR: In this paper, the authors investigate the valuation effects of one particular form of corporate name change, those of companies who add ".com" to their names. But they find no evidence that the announcement of a name change results in a positive stock price reaction for the firm.
Book
Economics in the time of COVID-19
TL;DR: In this paper, the authors address some key questions: How, and how far and fast, will the economic damage spread? How bad will it get? How long will the damage last? What are the mechanisms of economic contagion? And, above all, what can governments do about it.