Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics
TLDR
In this paper , the authors examined volatility connectedness of 11 sectoral indices in the US using daily data from January 1, 2013 to December 31, 2020 and found an extraordinary increase in total connectedness, from early stages of international spread to the end of July 2020.About:
This article is published in Finance Research Letters.The article was published on 2022-03-01 and is currently open access. It has received 23 citations till now. The article focuses on the topics: Social connectedness & Stylized fact.read more
Citations
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Connectedness of Stock Markets with Gold and Oil: New Evidence from COVID-19 Pandemic
TL;DR: The authors explored the impact of the COVID-19 pandemic on the dynamic connectedness among gold, oil and five leading stock markets by applying a new DCC-GARCH connectedness approach.
Journal ArticleDOI
Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic
TL;DR: This paper explored the impact of the COVID-19 pandemic on the dynamic connectedness among gold, oil and five leading stock markets by applying a new DCC-GARCH connectedness approach.
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Financing constraints and firm-level responses to the COVID-19 pandemic: International evidence
TL;DR: The authors found that credit-rationed firms were more likely to experience greater liquidity and cash flow problems and more likely than unconstrained firms to be delinquent in meeting their obligations to financial institutions during the economic crisis.
Journal ArticleDOI
Financing constraints and firm-level responses to the COVID-19 pandemic: International evidence
TL;DR: The authors found that credit-rationed firms were more likely to experience greater liquidity and cash flow problems and more likely than unconstrained firms to be delinquent in meeting their obligations to financial institutions during the economic crisis.
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An application of a TVP-VAR extended joint connected approach to explore connectedness between WTI crude oil, gold, stock and cryptocurrencies during the COVID-19 health crisis
Le Thanh Ha,Nguyen Thi Nham +1 more
TL;DR: In this article , the authors employ a time-varying parameter vector autoregression (TVP-VAR) in combination with an extended joint connectedness approach to study interlinkages between four markets, namely the crude oil, gold, stock, and cryptocurrency markets.
References
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H.Hashem Pesaran,Yongcheol Shin +1 more
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Impulse response analysis in nonlinear multivariate models
TL;DR: In this paper, the authors present a unified approach to impulse response analysis which can be used for both linear and nonlinear multivariate models and demonstrate the use of these measures for a nonlinear bivariate model of US output and the unemployment rate.
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Better to give than to receive: Predictive directional measurement of volatility spillovers
TL;DR: This paper used a generalized vector autoregressive framework to characterize daily volatility spillovers across US stock, bond, foreign exchange and commodities markets, from January 1999 to January 2010, and showed that despite significant volatility fluctuations in all four markets during the sample, cross-market volatility spillover were quite limited until the global financial crisis, which began in 2007.