This book analyses the impact of the COVID-19 pandemic in different areas of Finance emphasizing the contagion effect in capital markets. The volume presents evidence-based case studies from the global financial crisis that followed after the onset of the pandemic in March 2020.
Author(s): Stéphane Goutte, Khaled Guesmi, Christian Urom
Series: Contributions to Finance and Accounting
Publisher: Springer
Year: 2022
Language: English
Pages: 136
City: Cham
Contents
Market-Timing Skills in the Aftermath of COVID-19 Outbreak: Evidence from Islamic Funds
1 Introduction
2 Theoretical Underpinnings
3 Methodology
4 Data
5 Empirical Results
5.1 Descriptive Statistics
5.2 Results
6 Conclusion
References
The Relationship Between US Stock, Commodity and Virtual Markets During COVID-19 Forced Crisis
1 Introduction
2 Literature Review
3 Data and Methodology
3.1 Data
3.2 Methodology
4 Empirical Results
5 Conclusion
References
Towards a Better Comprehension of Tourism Crisis in the Era of Covid-19
1 Introduction
2 The Economic Crisis Linked to the COVID-19 Pandemic
2.1 The Tourism Crisis in the Era of Covid 19
2.2 A Tourism Crisis that Hides an Energy One
2.3 Case Study on Tunisian Context: The Tourism Sector Facing the COVID-19 Pandemic
3 Conclusion
References
The Asymmetric Response of Equity Markets to Sentiment Risk: A New Asset Pricing Model
1 Introduction
2 Literature Review
3 Data and Methodology
3.1 Data Descriptions
3.2 Estimated Model Specification
4 Empirical Estimates and Discussions
4.1 Preliminary Statistical Analysis
4.2 Empirical Results
5 Conclusion
Annexes
References
The Transmission of Oil Shocks to the Developed and Emerging Stock Markets: COVID-19 from First to the Second Wave
1 Introduction
2 Methodology
3 Data
4 Results
4.1 Stochastic Volatility
4.2 Impulse Responses
5 Conclusion
References
The Volatility Connectedness Between Oil and Stocks: Evidence from the G7 Markets
1 Introduction
2 Data and Methodology
2.1 The Volatility Process
2.2 The Vector Auto-regression Model (VAR)
2.3 The Bayesian VAR Model with Stochastic Volatility
2.4 The Spillover Index
2.5 Asymmetric Volatility Spillovers Index
3 Results
3.1 Asymmetric Volatility Spillovers
3.2 Robustness Checks
4 Conclusion and Policy Implication
Appendix 1
Appendix 2
Appendix 3
References
Economic Sentiment and Climate Transition During the COVID-19 Pandemic
1 Introduction
2 Related Studies
3 Data and Empirical Methods
3.1 Data
3.2 Empirical Methods
4 Results and Discussion
5 Conclusion
References
The Impact of COVID-19 on the Volatility Transmission Across Equity and Commodity Markets
1 Introduction
2 Methodology
3 Data and Empirical Results
4 Robustness Test
5 Conclusion
References
