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https://doi.org/10.21256/zhaw-22451| Publication type: | Article in scientific journal |
| Type of review: | Peer review (publication) |
| Title: | Examining the asymmetric impact of COVID-19 pandemic and global financial crisis on Dow Jones and oil price shock |
| Authors: | Shehzad, Khurram Zaman, Umer Liu, Xiaoxing Górecki, Jarosław Pugnetti, Carlo |
| et. al: | No |
| DOI: | 10.3390/su13094688 10.21256/zhaw-22451 |
| Published in: | Sustainability |
| Volume(Issue): | 13 |
| Issue: | 9 |
| Page(s): | 4688 |
| Issue Date: | 2021 |
| Publisher / Ed. Institution: | MDPI |
| ISSN: | 2071-1050 |
| Language: | English |
| Subjects: | COVID-19; Oil price; Volatility; Economic risk; Financial market; EGARCH model; Financial sustainability |
| Subject (DDC): | 332: Financial economics |
| Abstract: | COVID-19 has significantly affected the financial and commodity markets. The purpose of this investigation is to understand the impact of the COVID-19 crisis on Dow Jones and West Texas Intermediate (WTI) oil returns in relation to other crises using the Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model. The results indicate that COVID-19 and the accompanying lockdown have adversely impacted both yields and that the impact on oil prices is more significant than on the Dow Jones index. The variance and squared residuals of oil prices and the Dow Jones reached their highest historical levels during the COVID-19 outbreak, even higher than during the global financial crisis, and especially the VaR of both markets reached their historical peak points during the COVID-19 era. The variance of WTI during COVID-19 is higher than that of DJI, as was also the case during the financial crisis. These findings confirm that COVID-19 has negatively impacted investors’ ability to determine optimal portfolios and thus the sustainability of financial and energy markets more than the global financial crisis of 2007–2009. We, therefore, suggest that policy changes are needed to maintain financial sustainability and help investors deal with future financial and other crises. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/22451 |
| Fulltext version: | Published version |
| License (according to publishing contract): | CC BY 4.0: Attribution 4.0 International |
| Departement: | School of Management and Law |
| Organisational Unit: | Institute for Risk & Insurance (IRI) |
| Appears in collections: | Publikationen School of Management and Law |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| 2021_Shehzad-etal_Asymmetric-impact-COVID-19.pdf | 891.78 kB | Adobe PDF |  View/Open |
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Shehzad, K., Zaman, U., Liu, X., Górecki, J., & Pugnetti, C. (2021). Examining the asymmetric impact of COVID-19 pandemic and global financial crisis on Dow Jones and oil price shock. Sustainability, 13(9), 4688. https://doi.org/10.3390/su13094688
Shehzad, K. et al. (2021) ‘Examining the asymmetric impact of COVID-19 pandemic and global financial crisis on Dow Jones and oil price shock’, Sustainability, 13(9), p. 4688. Available at: https://doi.org/10.3390/su13094688.
K. Shehzad, U. Zaman, X. Liu, J. Górecki, and C. Pugnetti, “Examining the asymmetric impact of COVID-19 pandemic and global financial crisis on Dow Jones and oil price shock,” Sustainability, vol. 13, no. 9, p. 4688, 2021, doi: 10.3390/su13094688.
SHEHZAD, Khurram, Umer ZAMAN, Xiaoxing LIU, Jarosław GÓRECKI und Carlo PUGNETTI, 2021. Examining the asymmetric impact of COVID-19 pandemic and global financial crisis on Dow Jones and oil price shock. Sustainability. 2021. Bd. 13, Nr. 9, S. 4688. DOI 10.3390/su13094688
Shehzad, Khurram, Umer Zaman, Xiaoxing Liu, Jarosław Górecki, and Carlo Pugnetti. 2021. “Examining the Asymmetric Impact of COVID-19 Pandemic and Global Financial Crisis on Dow Jones and Oil Price Shock.” Sustainability 13 (9): 4688. https://doi.org/10.3390/su13094688.
Shehzad, Khurram, et al. “Examining the Asymmetric Impact of COVID-19 Pandemic and Global Financial Crisis on Dow Jones and Oil Price Shock.” Sustainability, vol. 13, no. 9, 2021, p. 4688, https://doi.org/10.3390/su13094688.
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