The impact of COVID-19 on value-at-risk estimations for US and China stock markets
Jiang YuhanDepartment of MathematicsXiamen University MalaysiaSepang, Selangor Darul Ehsan, 43900, MalaysiaView full profile → , Yin DeruDepartment of MathematicsXiamen University MalaysiaSepang, Selangor Darul Ehsan, 43900, MalaysiaView full profile → , Fan SuzeDepartment of MathematicsXiamen University MalaysiaSepang, Selangor Darul Ehsan, 43900, MalaysiaView full profile → , *Chin Wen CheongCorresponding authorwcchin@xmu.edu.myDepartment of MathematicsXiamen University MalaysiaSepang, Selangor Darul Ehsan, 43900, MalaysiaView full profile → , Lim Minlimmin@xmu.edu.myDepartment of MathematicsXiamen University MalaysiaSepang, Selangor Darul Ehsan, 43900, MalaysiaView full profile →
* Corresponding author · click or hover a name for details
- Received:
- 13 Jun 2023
- Published Online:
- 30 Nov 2024
- Article type:
- Research Article
- Language:
- EN
- Article no.:
- JSMS-1232
- Pages:
- 1453–1472
Abstract
Keywords
Subject Classifications
References
[1] V. Bhatnagar, R. C. Poonia, P. Nagar, S. Kumar, V. Singh, L. Raja, and P. Dass, “Descriptive analysis of COVID-19 patients in the context of India,” Journal of Interdisciplinary Mathematics, vol. 24, no. 3, pp. 489–504 (2021), doi: 10.1080/09720502.2020.1761635.
[2] World Health Organization (WHO), “Coronavirus disease (COVID-19),” [Online]. Available: https://www.who.int/news-room/fact-sheets/detail/coronavirus-disease-(covid-19). [Accessed: Nov. 12, 2024].
[3] T. K. Tissaoui, B. Hkiri, W. Alghassab, M. Talbi, and K. I. Alfreahat, “Market volatility and illiquidity during the COVID-19 outbreak: Evidence from the Saudi stock exchange through the wavelet coherence approaches,” North American Journal of Economics & Finance, vol. 59, p. 101585 (2021).
[4] E. Vera-Valdés, “The persistence of financial volatility after COVID-19,” Finance Research Letters, vol. 44, p. 102056 (2021).
[5] H. Nammouri, S. Chlibi, and O. Labidi, “Co-movements in sector price indexes during the COVID-19 crisis: Evidence from the US,” Finance Research Letters, vol. 46, no. A, p. 102295 (2021).
[6] M. Scherf, X. Matschke, and R. M. Oliver, “Stock market reactions to COVID-19 lockdown: A global analysis,” Finance Research Letters, vol. 45, p. 102245 (2021).
[7] J. Dias Curto and P. Serrasqueiro, “The impact of COVID-19 on S&P500 sector indices and FATANG stocks volatility: An expanded APARCH model,” Finance Research Letters, vol. 46, no. A, p. 102247 (2021).
[8] W. Rouatbia, E. Demir, R. Kizys, and A. Zaremba, “Immunizing markets against the pandemic: COVID-19 vaccinations and stock volatility around the world,” International Review of Financial Analysis, vol. 77, p. 101819 (2021).
[9] V. Singh, R. C. Poonia, S. Kumar, P. Dass, P. Agarwal, V. Bhatnagar, and L. Raja, “Prediction of COVID-19 coronavirus pandemic based on time series data using support vector machine,” Journal of Discrete Mathematical Sciences and Cryptography (2020), doi: 10.1080/09720529.2020.1784535.
[10] T. Albulescu, “COVID-19 and the United States financial markets’ volatility,” Finance Research Letters, vol. 38, p. 101699 (2021).
[11] S. R. B. “How COVID-19 has affected stock market persistence? Evidence from the G7’s,” Physica A: Statistical Mechanics and its Applications, vol. 581, p. 126210 (2021).
[12] M. B. Hasan, M. Mahi, M. K. Hassan, and A. B. Bhuiyan, “Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis,” The North American Journal of Economics and Finance, vol. 58, p. 101504 (2021).
[13] L. R. Glosten, R. Jagannathan, and D. E. Runkle, “On the relation between the expected value and the volatility of nominal excess return on stocks,” Journal of Finance, vol. 48, pp. 1779–1801 (1993).
[14] M. Haas, New Methods in Backtesting, Financial Engineering, Research Center Caesar, Bonn (2001).
