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

Khurram Shehzad; Liu Xiaoxing; Hayfa Kazouz

doi:10.1016/j.frl.2020.101669

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

Financ Res Lett. 2020 Oct:36:101669. doi: 10.1016/j.frl.2020.101669. Epub 2020 Jun 26.

Authors

Khurram Shehzad¹, Liu Xiaoxing¹, Hayfa Kazouz²

Affiliations

¹ School of Economics and Management, Southeast University, Nanjing, China.
² Faculty of Economic sciences and Management, University of Sousse, Sousse, Tunisia.

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.

Keywords: APGARCH model; COVID-19; Financial markets; Global Financial Crises; Leverage effect.