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Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-22451
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dc.contributor.authorShehzad, Khurram-
dc.contributor.authorZaman, Umer-
dc.contributor.authorLiu, Xiaoxing-
dc.contributor.authorGórecki, Jarosław-
dc.contributor.authorPugnetti, Carlo-
dc.date.accessioned2021-05-12T10:03:13Z-
dc.date.available2021-05-12T10:03:13Z-
dc.date.issued2021-
dc.identifier.issn2071-1050de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/22451-
dc.description.abstractCOVID-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.de_CH
dc.language.isoende_CH
dc.publisherMDPIde_CH
dc.relation.ispartofSustainabilityde_CH
dc.rightshttp://creativecommons.org/licenses/by/4.0/de_CH
dc.subjectCOVID-19de_CH
dc.subjectOil pricede_CH
dc.subjectVolatilityde_CH
dc.subjectEconomic riskde_CH
dc.subjectFinancial marketde_CH
dc.subjectEGARCH modelde_CH
dc.subjectFinancial sustainabilityde_CH
dc.subject.ddc332: Finanzwirtschaftde_CH
dc.titleExamining the asymmetric impact of COVID-19 pandemic and global financial crisis on Dow Jones and oil price shockde_CH
dc.typeBeitrag in wissenschaftlicher Zeitschriftde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Management and Lawde_CH
zhaw.organisationalunitInstitut für Risk & Insurance (IRI)de_CH
dc.identifier.doi10.3390/su13094688de_CH
dc.identifier.doi10.21256/zhaw-22451-
zhaw.funding.euNode_CH
zhaw.issue9de_CH
zhaw.originated.zhawYesde_CH
zhaw.pages.start4688de_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.volume13de_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
zhaw.author.additionalNode_CH
zhaw.display.portraitYesde_CH
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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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