Study of Risk Factors in Global Stock Markets During the COVID-19 Pandemic Under Different Market Conditions
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...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SAGE Publishing
2025-01-01
|
| Series: | SAGE Open |
| Online Access: | https://doi.org/10.1177/21582440251315586 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1832580343478091776 |
|---|---|
| author | Francisco Jareño María-Isabel Martínez-Serna Pablo Sánchez |
| author_facet | Francisco Jareño María-Isabel Martínez-Serna Pablo Sánchez |
| author_sort | Francisco Jareño |
| collection | DOAJ |
| description | 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 |
| format | Article |
| id | doaj-art-3101af4720524efabfae5061a66ca621 |
| institution | Kabale University |
| issn | 2158-2440 |
| language | English |
| publishDate | 2025-01-01 |
| publisher | SAGE Publishing |
| record_format | Article |
| series | SAGE Open |
| spelling | doaj-art-3101af4720524efabfae5061a66ca6212025-01-30T11:05:31ZengSAGE PublishingSAGE Open2158-24402025-01-011510.1177/21582440251315586Study of Risk Factors in Global Stock Markets During the COVID-19 Pandemic Under Different Market ConditionsFrancisco Jareño0María-Isabel Martínez-Serna1Pablo Sánchez2University of Castilla-La Mancha, Albacete, SpainUniversity of Murcia, SpainUniversity of Castilla-La Mancha, Albacete, SpainIn 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, H12https://doi.org/10.1177/21582440251315586 |
| spellingShingle | Francisco Jareño María-Isabel Martínez-Serna Pablo Sánchez Study of Risk Factors in Global Stock Markets During the COVID-19 Pandemic Under Different Market Conditions SAGE Open |
| title | Study of Risk Factors in Global Stock Markets During the COVID-19 Pandemic Under Different Market Conditions |
| title_full | Study of Risk Factors in Global Stock Markets During the COVID-19 Pandemic Under Different Market Conditions |
| title_fullStr | Study of Risk Factors in Global Stock Markets During the COVID-19 Pandemic Under Different Market Conditions |
| title_full_unstemmed | Study of Risk Factors in Global Stock Markets During the COVID-19 Pandemic Under Different Market Conditions |
| title_short | Study of Risk Factors in Global Stock Markets During the COVID-19 Pandemic Under Different Market Conditions |
| title_sort | study of risk factors in global stock markets during the covid 19 pandemic under different market conditions |
| url | https://doi.org/10.1177/21582440251315586 |
| work_keys_str_mv | AT franciscojareno studyofriskfactorsinglobalstockmarketsduringthecovid19pandemicunderdifferentmarketconditions AT mariaisabelmartinezserna studyofriskfactorsinglobalstockmarketsduringthecovid19pandemicunderdifferentmarketconditions AT pablosanchez studyofriskfactorsinglobalstockmarketsduringthecovid19pandemicunderdifferentmarketconditions |