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Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis

Citations

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography for Economics:
  1. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Economic consequences > Stock market

Citations

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Cited by:

  1. Saadaoui Mallek, Ray & Albaity, Mohamed & Molyneux, Philip, 2022. "Herding behaviour heterogeneity under economic and political risks: Evidence from GCC," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 345-361.
  2. Bevilacqua, Mattia & Morelli, David & Uzan, Paola Sultana Renée, 2021. "Striking the implied volatility of US drone companies," International Review of Financial Analysis, Elsevier, vol. 77(C).
  3. Gächter, Martin & Huber, Florian & Meier, Martin, 2022. "A shot for the US economy," Finance Research Letters, Elsevier, vol. 47(PA).
  4. Chopra, Monika & Mehta, Chhavi, 2022. "Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis," Journal of Asian Economics, Elsevier, vol. 79(C).
  5. Caiado, Jorge & Lúcio, Francisco, 2023. "Stock market forecasting accuracy of asymmetric GARCH models during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
  6. Zhang, Wenting & Hamori, Shigeyuki, 2021. "Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany," International Review of Financial Analysis, Elsevier, vol. 74(C).
  7. Mohd Ziaur Rehman & Shabeer Khan & Ghulam Abbas & Mohammed Alhashim, 2023. "Novel COVID-19 Outbreak and Global Uncertainty in the Top-10 Affected Countries: Evidence from Wavelet Coherence Approach," Sustainability, MDPI, vol. 15(6), pages 1-20, March.
  8. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2022. "The impact and role of COVID-19 uncertainty: A global industry analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
  9. Bharat Kumar Meher & Iqbal Thonse Hawaldar & Mathew Thomas Gil & Deebom Zorle Dum, 2021. "Measuring Leverage Effect of Covid 19 on Stock Price Volatility of Energy Companies Using High Frequency Data," International Journal of Energy Economics and Policy, Econjournals, vol. 11(6), pages 489-502.
  10. Mukhriz Izraf Azman Aziz & Norzalina Ahmad & Jin Zichu & Safwan Mohd Nor, 2022. "The Impact of COVID-19 on the Connectedness of Stock Index in ASEAN+3 Economies," Mathematics, MDPI, vol. 10(9), pages 1-22, April.
  11. Szczygielski, Jan Jakub & Bwanya, Princess Rutendo & Charteris, Ailie & Brzeszczyński, Janusz, 2021. "The only certainty is uncertainty: An analysis of the impact of COVID-19 uncertainty on regional stock markets," Finance Research Letters, Elsevier, vol. 43(C).
  12. Li, Yanshuang & Zhuang, Xintian & Wang, Jian & Dong, Zibing, 2021. "Analysis of the impact of COVID-19 pandemic on G20 stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  13. Emna Trabelsi, 2024. "COVID-19 and Uncertainty Effects on Tunisian Stock Market Volatility: Insights from GJR-GARCH, Wavelet Coherence, and ARDL," JRFM, MDPI, vol. 17(9), pages 1-52, September.
  14. Takyi, Paul Owusu & Bentum-Ennin, Isaac, 2021. "The impact of COVID-19 on stock market performance in Africa: A Bayesian structural time series approach," Journal of Economics and Business, Elsevier, vol. 115(C).
  15. Raza, Syed Ali & Shah, Nida & Suleman, Muhammed Tahir, 2024. "A multifractal detrended fluctuation analysis of Islamic and conventional financial markets efficiency during the COVID-19 pandemic," International Economics, Elsevier, vol. 177(C).
  16. Runumi Das & Arabinda Debnath, 2022. "Analyzing the COVID-19 Pandemic Volatility Spillover Influence on the Collaboration of Foreign and Indian Stock Markets," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 14(2), pages 411-452, June.
  17. Huaibing Yu, 2020. "Have Stock Markets across the Globe Been Kidnapped by the Covid-19 Pandemic?," Bulletin of Applied Economics, Risk Market Journals, vol. 7(2), pages 165-173.
  18. Najaf Iqbal & Elie Bouri & Guangrui Liu & Ashish Kumar, 2024. "Volatility spillovers during normal and high volatility states and their driving factors: A cross‐country and cross‐asset analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 975-995, January.
  19. Imlak Shaikh, 2022. "Impact of COVID-19 pandemic on the energy markets," Economic Change and Restructuring, Springer, vol. 55(1), pages 433-484, February.
  20. Apergis, Nicholas & Mustafa, Ghulam & Malik, Shafaq, 2023. "The role of the COVID-19 pandemic in US market volatility: Evidence from the VIX index," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 27-35.
  21. Peng-Fei Dai & Xiong Xiong & Zhifeng Liu & Toan Luu Duc Huynh & Jianjun Sun, 2021. "Preventing crash in stock market: The role of economic policy uncertainty during COVID-19," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-15, December.
  22. Qiuyun Wang & Lu Liu, 2022. "Pandemic or panic? A firm-level study on the psychological and industrial impacts of COVID-19 on the Chinese stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
  23. Julien Chevallier, 2020. "COVID-19 Pandemic and Financial Contagion," JRFM, MDPI, vol. 13(12), pages 1-25, December.
  24. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2023. "Which COVID-19 information really impacts stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
  25. Szczygielski, Jan Jakub & Brzeszczyński, Janusz & Charteris, Ailie & Bwanya, Princess Rutendo, 2022. "The COVID-19 storm and the energy sector: The impact and role of uncertainty," Energy Economics, Elsevier, vol. 109(C).
  26. Elrashidy, Zeinab & Haniffa, Roszaini & Sherif, Mohamed & Baroudi, Sarra, 2024. "Determinants of reward crowdfunding success: Evidence from Covid-19 pandemic," Technovation, Elsevier, vol. 132(C).
  27. Sherif, Mohamed, 2020. "The impact of Coronavirus (COVID-19) outbreak on faith-based investments: An original analysis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
  28. Hashmi, Shabir Mohsin & Chang, Bisharat Hussain & Rong, Li, 2021. "Asymmetric effect of COVID-19 pandemic on E7 stock indices: Evidence from quantile-on-quantile regression approach," Research in International Business and Finance, Elsevier, vol. 58(C).
  29. Mbongiseni Ncube & Mabutho Sibanda & Frank Ranganai Matenda, 2024. "Investigating the Effects of the COVID-19 Pandemic on Stock Volatility in Sub-Saharan Africa: Analysis Using Explainable Artificial Intelligence," Economies, MDPI, vol. 12(5), pages 1-37, May.
  30. Muhammad Naeem Shahid, 2022. "COVID-19 and adaptive behavior of returns: evidence from commodity markets," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-15, December.
  31. Meltem Altın & Mustafa Atalay, 2024. "The COVID-19 Pandemic’s Impact on the Performance of Firms on the BIST 100 Index," Istanbul Business Research, Istanbul University Business School, vol. 53(1), pages 119-136, April.
  32. Steven Buigut and Burcu Kapar, 2022. "Do COVID-19 Incidence and Government Intervention Influence Media Indices?," Bulletin of Applied Economics, Risk Market Journals, vol. 9(2), pages 79-100.
  33. Ahundjanov, Behzod B. & Akhundjanov, Sherzod B. & Okhunjanov, Botir B., 2021. "Risk perception and oil and gasoline markets under COVID-19," Journal of Economics and Business, Elsevier, vol. 115(C).
  34. Gofran, Ruhana Zareen & Gregoriou, Andros & Haar, Lawrence, 2022. "Impact of Coronavirus on liquidity in financial markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
  35. Ulze, Markus & Stadler, Johannes & Rathgeber, Andreas W., 2021. "No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 163-184.
  36. Hai Long & Jianzhi Zhao, 2021. "The Impact of SARS Epidemic and Financial Crisis on China’s Economy Structure Referenced to the Potential Impact of COVID-19," Bulletin of Applied Economics, Risk Market Journals, vol. 8(1), pages 97-108.
  37. Sirine Zribi, 2022. "Effects of social influence on crowdfunding performance: implications of the covid-19 pandemic," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-8, December.
  38. Oleg Kucher & Alexander Kurov & Marketa Halova Wolfe, 2023. "A shot in the arm: The effect of COVID‐19 vaccine news on financial and commodity markets," The Financial Review, Eastern Finance Association, vol. 58(3), pages 575-596, August.
  39. Efthimios Zervas & Leonidas Vatikiotis & Zoe Gareiou & Stella Manika & Ruth Herrero-Martin, 2021. "Assessment of the Greek National Plan of Energy and Climate Change—Critical Remarks," Sustainability, MDPI, vol. 13(23), pages 1-18, November.
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