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COVID-19’s disasters are perilous than Global Financial Crisis: A rumor or fact?

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  • Shehzad, Khurram
  • Xiaoxing, Liu
  • Kazouz, Hayfa

Abstract

This investigation employed the Asymmetric Power GARCH model and found that COVID-19 substantially harms the US and Japan's market returns. Moreover, COVID-19 has influenced the variance of the US, Germany, and Italy's stock markets more than the Global Financial Crises (GFC). However, GFC indicated a more significant impact on the financial volatility of the Nikkei 225 index and SSEC than COVID-19. The study confirmed the leverage effect for the S&P 500, Nasdaq Composite Index, DAX 30, Nikkei 225, FTSE MIB, and SSEC. The analysis authenticated that the health crisis that befell due to COVID-19 have imperatively originated the financial crisis globally; however, the Asian markets still make available better prospects for portfolio optimization.

Suggested Citation

  • Shehzad, Khurram & Xiaoxing, Liu & Kazouz, Hayfa, 2020. "COVID-19’s disasters are perilous than Global Financial Crisis: A rumor or fact?," Finance Research Letters, Elsevier, vol. 36(C).
    • Handle: RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320305249
    DOI: 10.1016/j.frl.2020.101669
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    References listed on IDEAS

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    More about this item

    Keywords

    COVID-19; Global Financial Crises; APGARCH model; Financial markets; Leverage effect;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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