Please use this identifier to cite or link to this item: 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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