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Study of Risk Factors in Global Stock Markets During the COVID-19 Pandemic Under Different Market Conditions

Author

Listed:
  • Francisco Jareño
  • María-Isabel Martínez-Serna
  • Pablo Sánchez

Abstract

In this paper, we examine the stock markets’ response to fluctuations in international risk factors under different market states during the COVID-19 pandemic. Using data from seven countries heavily affected by the sanitary crisis, over the period between January 2020 and December 2021, we estimate an extended risk factor model through the quantile regression approach, with the purpose of identifying distinct sensitivities to risk sources depending on the bullish or bearish state of the market. Our results suggest higher explanatory ability at extreme quantiles, thereby revealing significant disparities in sensitivities, that are found to be dependent on the market conditions, on the country and on the particular risk factor. JEL classification : C22, C51, F21, G12, G32, H12

Suggested Citation

  • Francisco Jareño & María-Isabel Martínez-Serna & Pablo Sánchez, 2025. "Study of Risk Factors in Global Stock Markets During the COVID-19 Pandemic Under Different Market Conditions," SAGE Open, , vol. 15(1), pages 21582440251, January.
    • Handle: RePEc:sae:sagope:v:15:y:2025:i:1:p:21582440251315586
    DOI: 10.1177/21582440251315586
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    More about this item

    Keywords

    Risk factors; stock market returns; quantile regression; COVID-19;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • H12 - Public Economics - - Structure and Scope of Government - - - Crisis Management

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