Pub Date : 2024-02-13DOI: 10.1108/jrf-06-2023-0133
E. Fedorova, Polina Iasakova
PurposeThis paper aims to investigate the impact of climate change news on the dynamics of US stock indices.Design/methodology/approachThe empirical basis of the study was 3,209 news articles. Sentiment analysis was performed by a pre-trained bidirectional FinBERT neural network. Thematic modeling is based on the neural network, BERTopic.FindingsThe results show that news sentiment can influence the dynamics of stock indices. In addition, five main news topics (finance and politics natural disasters and consequences industrial sector and Innovations activism and culture coronavirus pandemic) were identified, which showed a significant impact on the financial market.Originality/valueFirst, we extend the theoretical concepts. This study applies signaling theory and overreaction theory to the US stock market in the context of climate change. Second, in addition to the news sentiment, the impact of major news topics on US stock market returns is examined. Third, we examine the impact of sentimental and thematic news variables on US stock market indicators of economic sectors. Previous works reveal the impact of climate change news on specific sectors of the economy. This paper includes stock indices of the economic sectors most related to the topic of climate change. Fourth, the research methodology consists of modern algorithms. An advanced textual analysis method for sentiment classification is applied: a pre-trained bidirectional FinBERT neural network. Modern thematic modeling is carried out using a model based on the neural network, BERTopic. The most extensive topics are “finance and politics of climate change” and “natural disasters and consequences.”
{"title":"The impact of climate change news on the US stock market","authors":"E. Fedorova, Polina Iasakova","doi":"10.1108/jrf-06-2023-0133","DOIUrl":"https://doi.org/10.1108/jrf-06-2023-0133","url":null,"abstract":"PurposeThis paper aims to investigate the impact of climate change news on the dynamics of US stock indices.Design/methodology/approachThe empirical basis of the study was 3,209 news articles. Sentiment analysis was performed by a pre-trained bidirectional FinBERT neural network. Thematic modeling is based on the neural network, BERTopic.FindingsThe results show that news sentiment can influence the dynamics of stock indices. In addition, five main news topics (finance and politics natural disasters and consequences industrial sector and Innovations activism and culture coronavirus pandemic) were identified, which showed a significant impact on the financial market.Originality/valueFirst, we extend the theoretical concepts. This study applies signaling theory and overreaction theory to the US stock market in the context of climate change. Second, in addition to the news sentiment, the impact of major news topics on US stock market returns is examined. Third, we examine the impact of sentimental and thematic news variables on US stock market indicators of economic sectors. Previous works reveal the impact of climate change news on specific sectors of the economy. This paper includes stock indices of the economic sectors most related to the topic of climate change. Fourth, the research methodology consists of modern algorithms. An advanced textual analysis method for sentiment classification is applied: a pre-trained bidirectional FinBERT neural network. Modern thematic modeling is carried out using a model based on the neural network, BERTopic. The most extensive topics are “finance and politics of climate change” and “natural disasters and consequences.”","PeriodicalId":22869,"journal":{"name":"The Journal of Risk Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139840441","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
PurposeThe objective of this study is to systematically review the current body of literature in order to gain insights into the progress of research in accounting and auditing of cryptocurrencies, while also highlighting the associated risks and identifying gaps for future exploration.Design/methodology/approachTo achieve this, a structured literature review was carried out, presenting a thorough and critical assessment of the available studies focused on cryptocurrencies within the accounting and auditing domain.FindingsThe analysis reveals that the majority of the research has concentrated on the reporting and measurement aspects of cryptocurrencies, neglecting the auditing aspect. Regarding the methodology, future investigations should incorporate both theoretical and empirical manners to address this gap. Various spheres require further exploration, as they have the potential to significantly impact practitioners and academics.Originality/valueThe significance of this paper lies in its comprehensive examination of the existing literature, synthesizing and organizing information pertaining to accounting and auditing considerations of crypto transactions. Moreover, it provides valuable insights into best practices and prompts identifying avenues for further research in this field.
{"title":"Exploring the uncharted territories: a structured literature review on cryptocurrency accounting and auditing","authors":"Adriana Tiron-Tudor, Stefania Mierlita, Francesca Manes Rossi","doi":"10.1108/jrf-10-2023-0258","DOIUrl":"https://doi.org/10.1108/jrf-10-2023-0258","url":null,"abstract":"PurposeThe objective of this study is to systematically review the current body of literature in order to gain insights into the progress of research in accounting and auditing of cryptocurrencies, while also highlighting the associated risks and identifying gaps for future exploration.Design/methodology/approachTo achieve this, a structured literature review was carried out, presenting a thorough and critical assessment of the available studies focused on cryptocurrencies within the accounting and auditing domain.FindingsThe analysis reveals that the majority of the research has concentrated on the reporting and measurement aspects of cryptocurrencies, neglecting the auditing aspect. Regarding the methodology, future investigations should incorporate both theoretical and empirical manners to address this gap. Various spheres require further exploration, as they have the potential to significantly impact practitioners and academics.Originality/valueThe significance of this paper lies in its comprehensive examination of the existing literature, synthesizing and organizing information pertaining to accounting and auditing considerations of crypto transactions. Moreover, it provides valuable insights into best practices and prompts identifying avenues for further research in this field.","PeriodicalId":22869,"journal":{"name":"The Journal of Risk Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139871296","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
PurposeThe objective of this study is to systematically review the current body of literature in order to gain insights into the progress of research in accounting and auditing of cryptocurrencies, while also highlighting the associated risks and identifying gaps for future exploration.Design/methodology/approachTo achieve this, a structured literature review was carried out, presenting a thorough and critical assessment of the available studies focused on cryptocurrencies within the accounting and auditing domain.FindingsThe analysis reveals that the majority of the research has concentrated on the reporting and measurement aspects of cryptocurrencies, neglecting the auditing aspect. Regarding the methodology, future investigations should incorporate both theoretical and empirical manners to address this gap. Various spheres require further exploration, as they have the potential to significantly impact practitioners and academics.Originality/valueThe significance of this paper lies in its comprehensive examination of the existing literature, synthesizing and organizing information pertaining to accounting and auditing considerations of crypto transactions. Moreover, it provides valuable insights into best practices and prompts identifying avenues for further research in this field.
{"title":"Exploring the uncharted territories: a structured literature review on cryptocurrency accounting and auditing","authors":"Adriana Tiron-Tudor, Stefania Mierlita, Francesca Manes Rossi","doi":"10.1108/jrf-10-2023-0258","DOIUrl":"https://doi.org/10.1108/jrf-10-2023-0258","url":null,"abstract":"PurposeThe objective of this study is to systematically review the current body of literature in order to gain insights into the progress of research in accounting and auditing of cryptocurrencies, while also highlighting the associated risks and identifying gaps for future exploration.Design/methodology/approachTo achieve this, a structured literature review was carried out, presenting a thorough and critical assessment of the available studies focused on cryptocurrencies within the accounting and auditing domain.FindingsThe analysis reveals that the majority of the research has concentrated on the reporting and measurement aspects of cryptocurrencies, neglecting the auditing aspect. Regarding the methodology, future investigations should incorporate both theoretical and empirical manners to address this gap. Various spheres require further exploration, as they have the potential to significantly impact practitioners and academics.Originality/valueThe significance of this paper lies in its comprehensive examination of the existing literature, synthesizing and organizing information pertaining to accounting and auditing considerations of crypto transactions. Moreover, it provides valuable insights into best practices and prompts identifying avenues for further research in this field.","PeriodicalId":22869,"journal":{"name":"The Journal of Risk Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139811294","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-01-16DOI: 10.1108/jrf-10-2023-0245
C. Rangu, Leonardo Badea, M. Șcheau, Larisa Găbudeanu, Iulian Panait, Valentin Radu
PurposeIn recent years, the frequency and severity of cybersecurity incidents have prompted customers to seek out specialized insurance products. However, this has also presented insurers with operational challenges and increased costs. The assessment of risks for health systems and cyber–physical systems (CPS) necessitates a heightened degree of attention. The significant values of potential damages and claims request a solid insurance system, part of cyber-resilience. This research paper focuses on the emerging cyber insurance market that is currently in the process of standardizing and improving its risk analysis concerning the potential insured entity.Design/methodology/approachThe authors' approach involves a quantitative analysis utilizing a Likert-style questionnaire designed to survey cyber insurance professionals. The authors' aim is to identify the current methods used in gathering information from potential clients, as well as the manner in which this information is analyzed by the insurers. Additionally, the authors gather insights on potential improvements that could be made to this process.FindingsThe study the authors elaborated it has a particularly important cyber and risk components for insurance area, because it addresses a “niche” area not yet proper addressed in specialized literature – cyber insurance. Cyber risk management approaches are not uniform at the international level, nor at the insurer level. Also, not all insurers can perform solid assessments, especially since their companies should first prove that they are fully compliant with international cyber security standards.Research limitations/implicationsThis research has concentrated on analyzing the current practices in terms of gathering information about the insured entity before issuing the cyber insurance policy, level of details concerning the cyber security posture of the insured entity and way such information should be analyzed in a standardized and useful manner. The novelty of this research resides in the analysis performed as detailed above and the proposals in terms of information gathered, depth of analysis and standardization of approach made. Future work on the topic can focus on the standardization process for analyzing cyber risk for insurance clients, to improve the proposal based also on historical elements and trends in the market. Thus, future research can further refine the standardization process to analyze in more depth the way this can be implemented and included in relevant legislation at the EU level.Practical implicationsProposed improvements include proposals in terms of the level of detail and the usefulness of an independent centralized approach for information gathering and analysis, especially given the re-insurance and brokerage activities. The authors also propose a common practical procedural approach in risk management, with the involvement of insurance companies and certification institutions of cyber security auditors.Original
{"title":"Cyber insurance risk analysis framework considerations","authors":"C. Rangu, Leonardo Badea, M. Șcheau, Larisa Găbudeanu, Iulian Panait, Valentin Radu","doi":"10.1108/jrf-10-2023-0245","DOIUrl":"https://doi.org/10.1108/jrf-10-2023-0245","url":null,"abstract":"PurposeIn recent years, the frequency and severity of cybersecurity incidents have prompted customers to seek out specialized insurance products. However, this has also presented insurers with operational challenges and increased costs. The assessment of risks for health systems and cyber–physical systems (CPS) necessitates a heightened degree of attention. The significant values of potential damages and claims request a solid insurance system, part of cyber-resilience. This research paper focuses on the emerging cyber insurance market that is currently in the process of standardizing and improving its risk analysis concerning the potential insured entity.Design/methodology/approachThe authors' approach involves a quantitative analysis utilizing a Likert-style questionnaire designed to survey cyber insurance professionals. The authors' aim is to identify the current methods used in gathering information from potential clients, as well as the manner in which this information is analyzed by the insurers. Additionally, the authors gather insights on potential improvements that could be made to this process.FindingsThe study the authors elaborated it has a particularly important cyber and risk components for insurance area, because it addresses a “niche” area not yet proper addressed in specialized literature – cyber insurance. Cyber risk management approaches are not uniform at the international level, nor at the insurer level. Also, not all insurers can perform solid assessments, especially since their companies should first prove that they are fully compliant with international cyber security standards.Research limitations/implicationsThis research has concentrated on analyzing the current practices in terms of gathering information about the insured entity before issuing the cyber insurance policy, level of details concerning the cyber security posture of the insured entity and way such information should be analyzed in a standardized and useful manner. The novelty of this research resides in the analysis performed as detailed above and the proposals in terms of information gathered, depth of analysis and standardization of approach made. Future work on the topic can focus on the standardization process for analyzing cyber risk for insurance clients, to improve the proposal based also on historical elements and trends in the market. Thus, future research can further refine the standardization process to analyze in more depth the way this can be implemented and included in relevant legislation at the EU level.Practical implicationsProposed improvements include proposals in terms of the level of detail and the usefulness of an independent centralized approach for information gathering and analysis, especially given the re-insurance and brokerage activities. The authors also propose a common practical procedural approach in risk management, with the involvement of insurance companies and certification institutions of cyber security auditors.Original","PeriodicalId":22869,"journal":{"name":"The Journal of Risk Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139528711","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-01-04DOI: 10.1108/jrf-10-2023-0256
C. Boța-Avram
PurposeThis study aims to review the current literature on the positive and negative effects of digitalisation in preventing corruption. It analyses existing research patterns and provides recommendations for future studies.Design/methodology/approachThis paper employed bibliometric analysis and systematic review to scrutinise 190 papers from the Web of Science database from 2000 to 2023. Biblioshiny on R Studio was used for advanced bibliometric analysis to determine publication dynamics, influential journals, publications and impactful authors and a three-field plot to analyse relationships among countries, keywords and journals.FindingsThis study provides a bibliometric analysis of the past and actual developments in the field related to the effects of digitalisation on corruption. Based on the systematic literature review on a sample of the 50 most influential articles, this study identified background theories employed, the primary research methodologies adopted and valuable insights into both the positive and negative aspects of the impact of digitalisation on corruption.Originality/valueThis study provides an extended overview of the effects of digitalisation on corruption and advances new avenues for further research related to this field. The white and dark sides of the effects of digitalisation on corruption are highlighted. Furthermore, the study identifies the need for further research in this field to gain a more in-depth understanding of the nexus between digitalisation and corruption.
目的本研究旨在回顾当前关于数字化对预防腐败的积极和消极影响的文献。本文采用文献计量分析和系统回顾的方法，仔细研究了 Web of Science 数据库中 2000 年至 2023 年的 190 篇论文。使用 R Studio 上的 Biblioshiny 进行了高级文献计量分析，以确定出版动态、有影响力的期刊、出版物和有影响力的作者，并使用三田图分析了国家、关键词和期刊之间的关系。研究结果本研究对数字化对腐败的影响相关领域的过去和实际发展进行了文献计量分析。在对 50 篇最有影响力的文章进行系统文献综述的基础上，本研究确定了所采用的背景理论、主要研究方法以及数字化对腐败影响的积极和消极方面的宝贵见解。研究强调了数字化对腐败影响的白色和阴暗面。此外，本研究还指出了在这一领域开展进一步研究的必要性，以便更深入地了解数字化与腐败之间的关系。
{"title":"Examining the white and dark sides of digitalisation effects on corruption: unveiling research patterns and insights for future research","authors":"C. Boța-Avram","doi":"10.1108/jrf-10-2023-0256","DOIUrl":"https://doi.org/10.1108/jrf-10-2023-0256","url":null,"abstract":"PurposeThis study aims to review the current literature on the positive and negative effects of digitalisation in preventing corruption. It analyses existing research patterns and provides recommendations for future studies.Design/methodology/approachThis paper employed bibliometric analysis and systematic review to scrutinise 190 papers from the Web of Science database from 2000 to 2023. Biblioshiny on R Studio was used for advanced bibliometric analysis to determine publication dynamics, influential journals, publications and impactful authors and a three-field plot to analyse relationships among countries, keywords and journals.FindingsThis study provides a bibliometric analysis of the past and actual developments in the field related to the effects of digitalisation on corruption. Based on the systematic literature review on a sample of the 50 most influential articles, this study identified background theories employed, the primary research methodologies adopted and valuable insights into both the positive and negative aspects of the impact of digitalisation on corruption.Originality/valueThis study provides an extended overview of the effects of digitalisation on corruption and advances new avenues for further research related to this field. The white and dark sides of the effects of digitalisation on corruption are highlighted. Furthermore, the study identifies the need for further research in this field to gain a more in-depth understanding of the nexus between digitalisation and corruption.","PeriodicalId":22869,"journal":{"name":"The Journal of Risk Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139450751","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-01-04DOI: 10.1108/jrf-06-2023-0137
Trung Hai Le
PurposeThis paper investigates how various strategies for combining forecasts, both simple and optimised approaches, are compared with popular individual risk models in estimating value-at-risk (VaR) and expected shortfall (ES) in emerging market at alternative risk levels.Design/methodology/approachUsing the case study of the Vietnamese stock market, the author produced one-day-ahead VaR and ES forecast from seven individual risk models and ten alternative forecast combinations. Next, the author employed a battery of backtesting procedures and alternative loss functions to evaluate the global predictive accuracy of the different methods. Finally, the author investigated the relative performance over time of VaR and ES forecasts using fluctuation test.FindingsThe empirical results indicate that, although combined forecasts have reasonable predictive abilities, they are often outperformed by one individual risk model. Furthermore, the author showed that the complex combining methods with optimised weighting functions do not perform better than simple combining methods. The fluctuation test suggests that the poor performance of combined forecasts is mainly due to their inability to cope with periods of instability.Research limitations/implicationsThis study reveals the limitation of combining strategies in the one-day-ahead VaR and ES forecasts in emerging markets. A possible direction for further research is to investigate whether this finding holds for multi-day ahead forecasts. Moreover, the inferior performance of combined forecasts during periods of instability motivates further research on the combining strategies that take into account for potential structure breaks in the performance of individual risk models. A potential approach is to improve the individual risk models with macroeconomic variables using a mixed-data sampling approach.Originality/valueFirst, the authors contribute to the literature on the forecasting combinations for VaR and ES measures. Second, the author explored a wide range of alternative risk models to forecast both VaR and ES with recent data including periods of the COVID-19 pandemic. Although forecast combination strategies have been providing several good results in several fields, the literature of forecast combination in the VaR and ES context is surprisingly limited, especially for emerging market returns. To the best of the author’s knowledge, this is the first study investigating predictive power of combining methods for VaR and ES in an emerging market.
设计/方法/方法作者通过越南股票市场的案例研究，利用七种单个风险模型和十种备选预测组合生成了一天前的风险价值和预期亏损预测。接下来，作者采用了一系列回溯测试程序和替代损失函数来评估不同方法的总体预测准确性。结果实证结果表明，尽管组合预测具有合理的预测能力，但其表现往往优于单个风险模型。此外，作者还发现，具有优化加权函数的复杂组合方法并不比简单组合方法表现更好。波动测试表明，组合预测表现不佳的主要原因是它们无法应对不稳定时期。研究局限性/启示本研究揭示了组合策略在新兴市场的一日前 VaR 和 ES 预测中的局限性。进一步研究的一个可能方向是调查这一结论是否适用于提前多日预测。此外，在不稳定时期，组合预测的性能较差，这促使我们进一步研究考虑到单个风险模型性能中潜在结构断裂的组合策略。一种可能的方法是使用混合数据抽样方法，利用宏观经济变量改进单个风险模型。原创性/价值首先，作者为有关 VaR 和 ES 度量预测组合的文献做出了贡献。其次，作者利用包括 COVID-19 大流行时期在内的近期数据，探索了预测 VaR 和 ES 的多种备选风险模型。虽然预测组合策略在多个领域都取得了不错的成果，但在 VaR 和 ES 方面的预测组合文献却少得令人吃惊，尤其是在新兴市场回报方面。据笔者所知，这是第一项调查新兴市场 VaR 和 ES 组合方法预测能力的研究。
{"title":"Forecasting value-at-risk and expected shortfall in emerging market: does forecast combination help?","authors":"Trung Hai Le","doi":"10.1108/jrf-06-2023-0137","DOIUrl":"https://doi.org/10.1108/jrf-06-2023-0137","url":null,"abstract":"PurposeThis paper investigates how various strategies for combining forecasts, both simple and optimised approaches, are compared with popular individual risk models in estimating value-at-risk (VaR) and expected shortfall (ES) in emerging market at alternative risk levels.Design/methodology/approachUsing the case study of the Vietnamese stock market, the author produced one-day-ahead VaR and ES forecast from seven individual risk models and ten alternative forecast combinations. Next, the author employed a battery of backtesting procedures and alternative loss functions to evaluate the global predictive accuracy of the different methods. Finally, the author investigated the relative performance over time of VaR and ES forecasts using fluctuation test.FindingsThe empirical results indicate that, although combined forecasts have reasonable predictive abilities, they are often outperformed by one individual risk model. Furthermore, the author showed that the complex combining methods with optimised weighting functions do not perform better than simple combining methods. The fluctuation test suggests that the poor performance of combined forecasts is mainly due to their inability to cope with periods of instability.Research limitations/implicationsThis study reveals the limitation of combining strategies in the one-day-ahead VaR and ES forecasts in emerging markets. A possible direction for further research is to investigate whether this finding holds for multi-day ahead forecasts. Moreover, the inferior performance of combined forecasts during periods of instability motivates further research on the combining strategies that take into account for potential structure breaks in the performance of individual risk models. A potential approach is to improve the individual risk models with macroeconomic variables using a mixed-data sampling approach.Originality/valueFirst, the authors contribute to the literature on the forecasting combinations for VaR and ES measures. Second, the author explored a wide range of alternative risk models to forecast both VaR and ES with recent data including periods of the COVID-19 pandemic. Although forecast combination strategies have been providing several good results in several fields, the literature of forecast combination in the VaR and ES context is surprisingly limited, especially for emerging market returns. To the best of the author’s knowledge, this is the first study investigating predictive power of combining methods for VaR and ES in an emerging market.","PeriodicalId":22869,"journal":{"name":"The Journal of Risk Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139385476","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-01-03DOI: 10.1108/jrf-04-2023-0085
Thi Thanh Xuan Pham, Trang Thanh Thi Chu
PurposeThis study undertakes a comprehensive investigation into the far-reaching repercussions of Covid-19 stimulus packages and containment policies on stock returns, meticulously examining a diverse array of 14 distinct markets.Design/methodology/approachThis study employed the Panel SVAR model to analyze the relationships between various policies and stock market performance during the Covid-19 outbreak. The sample comprises 5432 daily observations spanning from December 2020 to January 2022 for the 14 selected markets, with missing data excluded.FindingsThe findings reveal three consistent impacts across all 14 markets. Firstly, stock returns immediately reversed and decreased within a day when Governments tightened containment policies. Secondly, economic stimulus packages led to a fall in stock returns. Thirdly, an increasing death rate caused the stock return to decrease in the following two days. These findings are supported by the uniform impulse responses in all three shocks, including common, composite and idiosyncratic shocks. Furthermore, all inverse root tests satisfy the stability conditions, indicating the stability and reliability of Panel SVAR estimations.Practical implicationsOne vital implication is that all government decisions and measures taken against the shock of Covid-19 must consider economic impacts to avoid unnecessary financial losses and support the effective functioning of stock markets during similar shocks. Secondly, investors should view the decline in stock returns due to Covid-19 effects as temporary, resulting from anxiety about the outbreak. The study highlights the importance of monitoring the impact of policies on financial markets and the broader economy during crises. Overall, these insights can prove helpful for investment decisions and policymaking during future crises.Originality/valueThis study constitutes a noteworthy addition to the literature on behavioural finance and the efficient market hypothesis, offering a meticulous analysis of the multifaceted repercussions of Covid-19 on market interactions. In particular, it unveils the magnitude, duration and intricate patterns of market volatilities linked to significant shock events, encompassing a comprehensive dataset spanning 14 distinct markets.
{"title":"Covid-19 severity, government responses and stock market reactions: a study of 14 highly affected countries","authors":"Thi Thanh Xuan Pham, Trang Thanh Thi Chu","doi":"10.1108/jrf-04-2023-0085","DOIUrl":"https://doi.org/10.1108/jrf-04-2023-0085","url":null,"abstract":"PurposeThis study undertakes a comprehensive investigation into the far-reaching repercussions of Covid-19 stimulus packages and containment policies on stock returns, meticulously examining a diverse array of 14 distinct markets.Design/methodology/approachThis study employed the Panel SVAR model to analyze the relationships between various policies and stock market performance during the Covid-19 outbreak. The sample comprises 5432 daily observations spanning from December 2020 to January 2022 for the 14 selected markets, with missing data excluded.FindingsThe findings reveal three consistent impacts across all 14 markets. Firstly, stock returns immediately reversed and decreased within a day when Governments tightened containment policies. Secondly, economic stimulus packages led to a fall in stock returns. Thirdly, an increasing death rate caused the stock return to decrease in the following two days. These findings are supported by the uniform impulse responses in all three shocks, including common, composite and idiosyncratic shocks. Furthermore, all inverse root tests satisfy the stability conditions, indicating the stability and reliability of Panel SVAR estimations.Practical implicationsOne vital implication is that all government decisions and measures taken against the shock of Covid-19 must consider economic impacts to avoid unnecessary financial losses and support the effective functioning of stock markets during similar shocks. Secondly, investors should view the decline in stock returns due to Covid-19 effects as temporary, resulting from anxiety about the outbreak. The study highlights the importance of monitoring the impact of policies on financial markets and the broader economy during crises. Overall, these insights can prove helpful for investment decisions and policymaking during future crises.Originality/valueThis study constitutes a noteworthy addition to the literature on behavioural finance and the efficient market hypothesis, offering a meticulous analysis of the multifaceted repercussions of Covid-19 on market interactions. In particular, it unveils the magnitude, duration and intricate patterns of market volatilities linked to significant shock events, encompassing a comprehensive dataset spanning 14 distinct markets.","PeriodicalId":22869,"journal":{"name":"The Journal of Risk Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139118133","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-01-03DOI: 10.1108/jrf-04-2023-0085
Thi Thanh Xuan Pham, Trang Thanh Thi Chu
PurposeThis study undertakes a comprehensive investigation into the far-reaching repercussions of Covid-19 stimulus packages and containment policies on stock returns, meticulously examining a diverse array of 14 distinct markets.Design/methodology/approachThis study employed the Panel SVAR model to analyze the relationships between various policies and stock market performance during the Covid-19 outbreak. The sample comprises 5432 daily observations spanning from December 2020 to January 2022 for the 14 selected markets, with missing data excluded.FindingsThe findings reveal three consistent impacts across all 14 markets. Firstly, stock returns immediately reversed and decreased within a day when Governments tightened containment policies. Secondly, economic stimulus packages led to a fall in stock returns. Thirdly, an increasing death rate caused the stock return to decrease in the following two days. These findings are supported by the uniform impulse responses in all three shocks, including common, composite and idiosyncratic shocks. Furthermore, all inverse root tests satisfy the stability conditions, indicating the stability and reliability of Panel SVAR estimations.Practical implicationsOne vital implication is that all government decisions and measures taken against the shock of Covid-19 must consider economic impacts to avoid unnecessary financial losses and support the effective functioning of stock markets during similar shocks. Secondly, investors should view the decline in stock returns due to Covid-19 effects as temporary, resulting from anxiety about the outbreak. The study highlights the importance of monitoring the impact of policies on financial markets and the broader economy during crises. Overall, these insights can prove helpful for investment decisions and policymaking during future crises.Originality/valueThis study constitutes a noteworthy addition to the literature on behavioural finance and the efficient market hypothesis, offering a meticulous analysis of the multifaceted repercussions of Covid-19 on market interactions. In particular, it unveils the magnitude, duration and intricate patterns of market volatilities linked to significant shock events, encompassing a comprehensive dataset spanning 14 distinct markets.
{"title":"Covid-19 severity, government responses and stock market reactions: a study of 14 highly affected countries","authors":"Thi Thanh Xuan Pham, Trang Thanh Thi Chu","doi":"10.1108/jrf-04-2023-0085","DOIUrl":"https://doi.org/10.1108/jrf-04-2023-0085","url":null,"abstract":"PurposeThis study undertakes a comprehensive investigation into the far-reaching repercussions of Covid-19 stimulus packages and containment policies on stock returns, meticulously examining a diverse array of 14 distinct markets.Design/methodology/approachThis study employed the Panel SVAR model to analyze the relationships between various policies and stock market performance during the Covid-19 outbreak. The sample comprises 5432 daily observations spanning from December 2020 to January 2022 for the 14 selected markets, with missing data excluded.FindingsThe findings reveal three consistent impacts across all 14 markets. Firstly, stock returns immediately reversed and decreased within a day when Governments tightened containment policies. Secondly, economic stimulus packages led to a fall in stock returns. Thirdly, an increasing death rate caused the stock return to decrease in the following two days. These findings are supported by the uniform impulse responses in all three shocks, including common, composite and idiosyncratic shocks. Furthermore, all inverse root tests satisfy the stability conditions, indicating the stability and reliability of Panel SVAR estimations.Practical implicationsOne vital implication is that all government decisions and measures taken against the shock of Covid-19 must consider economic impacts to avoid unnecessary financial losses and support the effective functioning of stock markets during similar shocks. Secondly, investors should view the decline in stock returns due to Covid-19 effects as temporary, resulting from anxiety about the outbreak. The study highlights the importance of monitoring the impact of policies on financial markets and the broader economy during crises. Overall, these insights can prove helpful for investment decisions and policymaking during future crises.Originality/valueThis study constitutes a noteworthy addition to the literature on behavioural finance and the efficient market hypothesis, offering a meticulous analysis of the multifaceted repercussions of Covid-19 on market interactions. In particular, it unveils the magnitude, duration and intricate patterns of market volatilities linked to significant shock events, encompassing a comprehensive dataset spanning 14 distinct markets.","PeriodicalId":22869,"journal":{"name":"The Journal of Risk Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139123875","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-01-03DOI: 10.1108/jrf-04-2023-0085
Thi Thanh Xuan Pham, Trang Thanh Thi Chu
PurposeThis study undertakes a comprehensive investigation into the far-reaching repercussions of Covid-19 stimulus packages and containment policies on stock returns, meticulously examining a diverse array of 14 distinct markets.Design/methodology/approachThis study employed the Panel SVAR model to analyze the relationships between various policies and stock market performance during the Covid-19 outbreak. The sample comprises 5432 daily observations spanning from December 2020 to January 2022 for the 14 selected markets, with missing data excluded.FindingsThe findings reveal three consistent impacts across all 14 markets. Firstly, stock returns immediately reversed and decreased within a day when Governments tightened containment policies. Secondly, economic stimulus packages led to a fall in stock returns. Thirdly, an increasing death rate caused the stock return to decrease in the following two days. These findings are supported by the uniform impulse responses in all three shocks, including common, composite and idiosyncratic shocks. Furthermore, all inverse root tests satisfy the stability conditions, indicating the stability and reliability of Panel SVAR estimations.Practical implicationsOne vital implication is that all government decisions and measures taken against the shock of Covid-19 must consider economic impacts to avoid unnecessary financial losses and support the effective functioning of stock markets during similar shocks. Secondly, investors should view the decline in stock returns due to Covid-19 effects as temporary, resulting from anxiety about the outbreak. The study highlights the importance of monitoring the impact of policies on financial markets and the broader economy during crises. Overall, these insights can prove helpful for investment decisions and policymaking during future crises.Originality/valueThis study constitutes a noteworthy addition to the literature on behavioural finance and the efficient market hypothesis, offering a meticulous analysis of the multifaceted repercussions of Covid-19 on market interactions. In particular, it unveils the magnitude, duration and intricate patterns of market volatilities linked to significant shock events, encompassing a comprehensive dataset spanning 14 distinct markets.
{"title":"Covid-19 severity, government responses and stock market reactions: a study of 14 highly affected countries","authors":"Thi Thanh Xuan Pham, Trang Thanh Thi Chu","doi":"10.1108/jrf-04-2023-0085","DOIUrl":"https://doi.org/10.1108/jrf-04-2023-0085","url":null,"abstract":"PurposeThis study undertakes a comprehensive investigation into the far-reaching repercussions of Covid-19 stimulus packages and containment policies on stock returns, meticulously examining a diverse array of 14 distinct markets.Design/methodology/approachThis study employed the Panel SVAR model to analyze the relationships between various policies and stock market performance during the Covid-19 outbreak. The sample comprises 5432 daily observations spanning from December 2020 to January 2022 for the 14 selected markets, with missing data excluded.FindingsThe findings reveal three consistent impacts across all 14 markets. Firstly, stock returns immediately reversed and decreased within a day when Governments tightened containment policies. Secondly, economic stimulus packages led to a fall in stock returns. Thirdly, an increasing death rate caused the stock return to decrease in the following two days. These findings are supported by the uniform impulse responses in all three shocks, including common, composite and idiosyncratic shocks. Furthermore, all inverse root tests satisfy the stability conditions, indicating the stability and reliability of Panel SVAR estimations.Practical implicationsOne vital implication is that all government decisions and measures taken against the shock of Covid-19 must consider economic impacts to avoid unnecessary financial losses and support the effective functioning of stock markets during similar shocks. Secondly, investors should view the decline in stock returns due to Covid-19 effects as temporary, resulting from anxiety about the outbreak. The study highlights the importance of monitoring the impact of policies on financial markets and the broader economy during crises. Overall, these insights can prove helpful for investment decisions and policymaking during future crises.Originality/valueThis study constitutes a noteworthy addition to the literature on behavioural finance and the efficient market hypothesis, offering a meticulous analysis of the multifaceted repercussions of Covid-19 on market interactions. In particular, it unveils the magnitude, duration and intricate patterns of market volatilities linked to significant shock events, encompassing a comprehensive dataset spanning 14 distinct markets.","PeriodicalId":22869,"journal":{"name":"The Journal of Risk Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139113985","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-01-03DOI: 10.1108/jrf-04-2023-0085
Thi Thanh Xuan Pham, Trang Thanh Thi Chu
PurposeThis study undertakes a comprehensive investigation into the far-reaching repercussions of Covid-19 stimulus packages and containment policies on stock returns, meticulously examining a diverse array of 14 distinct markets.Design/methodology/approachThis study employed the Panel SVAR model to analyze the relationships between various policies and stock market performance during the Covid-19 outbreak. The sample comprises 5432 daily observations spanning from December 2020 to January 2022 for the 14 selected markets, with missing data excluded.FindingsThe findings reveal three consistent impacts across all 14 markets. Firstly, stock returns immediately reversed and decreased within a day when Governments tightened containment policies. Secondly, economic stimulus packages led to a fall in stock returns. Thirdly, an increasing death rate caused the stock return to decrease in the following two days. These findings are supported by the uniform impulse responses in all three shocks, including common, composite and idiosyncratic shocks. Furthermore, all inverse root tests satisfy the stability conditions, indicating the stability and reliability of Panel SVAR estimations.Practical implicationsOne vital implication is that all government decisions and measures taken against the shock of Covid-19 must consider economic impacts to avoid unnecessary financial losses and support the effective functioning of stock markets during similar shocks. Secondly, investors should view the decline in stock returns due to Covid-19 effects as temporary, resulting from anxiety about the outbreak. The study highlights the importance of monitoring the impact of policies on financial markets and the broader economy during crises. Overall, these insights can prove helpful for investment decisions and policymaking during future crises.Originality/valueThis study constitutes a noteworthy addition to the literature on behavioural finance and the efficient market hypothesis, offering a meticulous analysis of the multifaceted repercussions of Covid-19 on market interactions. In particular, it unveils the magnitude, duration and intricate patterns of market volatilities linked to significant shock events, encompassing a comprehensive dataset spanning 14 distinct markets.
{"title":"Covid-19 severity, government responses and stock market reactions: a study of 14 highly affected countries","authors":"Thi Thanh Xuan Pham, Trang Thanh Thi Chu","doi":"10.1108/jrf-04-2023-0085","DOIUrl":"https://doi.org/10.1108/jrf-04-2023-0085","url":null,"abstract":"PurposeThis study undertakes a comprehensive investigation into the far-reaching repercussions of Covid-19 stimulus packages and containment policies on stock returns, meticulously examining a diverse array of 14 distinct markets.Design/methodology/approachThis study employed the Panel SVAR model to analyze the relationships between various policies and stock market performance during the Covid-19 outbreak. The sample comprises 5432 daily observations spanning from December 2020 to January 2022 for the 14 selected markets, with missing data excluded.FindingsThe findings reveal three consistent impacts across all 14 markets. Firstly, stock returns immediately reversed and decreased within a day when Governments tightened containment policies. Secondly, economic stimulus packages led to a fall in stock returns. Thirdly, an increasing death rate caused the stock return to decrease in the following two days. These findings are supported by the uniform impulse responses in all three shocks, including common, composite and idiosyncratic shocks. Furthermore, all inverse root tests satisfy the stability conditions, indicating the stability and reliability of Panel SVAR estimations.Practical implicationsOne vital implication is that all government decisions and measures taken against the shock of Covid-19 must consider economic impacts to avoid unnecessary financial losses and support the effective functioning of stock markets during similar shocks. Secondly, investors should view the decline in stock returns due to Covid-19 effects as temporary, resulting from anxiety about the outbreak. The study highlights the importance of monitoring the impact of policies on financial markets and the broader economy during crises. Overall, these insights can prove helpful for investment decisions and policymaking during future crises.Originality/valueThis study constitutes a noteworthy addition to the literature on behavioural finance and the efficient market hypothesis, offering a meticulous analysis of the multifaceted repercussions of Covid-19 on market interactions. In particular, it unveils the magnitude, duration and intricate patterns of market volatilities linked to significant shock events, encompassing a comprehensive dataset spanning 14 distinct markets.","PeriodicalId":22869,"journal":{"name":"The Journal of Risk Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139114866","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：