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Stock market contagion during the COVID-19 pandemic in emerging economies

PublikationArtikel (med peer review)
Ali Ahmed

Sammanfattning

The purpose of this paper is to examine the connected dynamics of the affected Asian financial markets and global financial market in relation to the outbreak of the coronavirus (COVID-19) pandemic. We particularly examine the temporal dependence and connectedness of the affected markets with the global financial market by using the time-varying dependence approach in a time-frequency space under COVID-19. Our findings indicate a strong, positive dependence among the investigated markets’ due to the outbreak of COVID-19. In addition, we report an increased tendency of co-movements over the higher horizon which is documented by COVID-19. These findings are of significant interest for market participants, policymakers, and international investors.

Uddin, G. S., Yahya, M., Goswami, G. G., Lucey, B., & Ahmed, A. (2022). Stock market contagion during the COVID-19 pandemic in emerging economies.International Review of Economics & Finance, 79, 302-309.

Liknande innehåll

Interconnectedness and risk profile of hydrogen against major asset classes
Artikel (med peer review)Publikation
Lucey, B., Yahya, M., Khoja, L., Uddin, G. S., & Ahmed, A.
Publiceringsår

2024

Publicerat i

Renewable and Sustainable Energy Reviews

Sammanfattning

This study examines the interconnectedness and risk profile of hydrogen in comparison to other assets from December 2019 to April 2022, using a time-varying copula approach. The findings reveal that hydrogen’s relationships with conventional commodities and markets can shift significantly during extreme uncertainty. The COVID-19 pandemic had a marked impact on hydrogen’s market connections. However, hydrogen did not uniformly increase linkages, highlighting its distinct profile even as an energy commodity. Despite its sensitivity to crises, hydrogen’s reactions were varied, emphasizing the necessity for customized interpretations. Calculation of value-at-risk, conditional value-at-risk and Delta CoVaR demonstrated that green bonds exhibited the lowest investment risks across frequencies, which can be attributed to factors such as government support and growing demand. In the case of hydrogen, the risk metrics were inconsistent, reflecting its status as an early-stage adoption asset with niche applications in transportation and industry. These findings have key implications for managing risk associated with energy transition and for facilitating the adoption of hydrogen. The empirical insights provided herein can aid policymakers in developing supportive regulations and incentives to expedite the scaling of hydrogen. Moreover, Investors can leverage hydrogen’s risk quantification for portfolio optimization and hedging strategies. Overall, by elucidating hydrogen’s unique dynamics, this study informs stakeholder decisions to facilitate the hydrogen economy.

Climate risk and sustainable investing
BokkapitelPublikation
Dutta, A., Bhuiyan, M. R. U., Ahmed, A., & Uddin, G. S.
Publiceringsår

2023

Publicerat i

In Phoumin, H., Taghizadeh-Hesary, F., & Kimura, F. (Eds.). Green Finance and Renewable Energy in ASEAN and East Asia. Economic Research Institute for ASEAN and East Asia.

Sammanfattning

While numerous empirical papers have investigated the volatility dynamics of Chinese clean energy equity markets, this is among the first studies to assess the impact of climate uncertainty on the risk levels of such assets. Given that China is extensively investing in green projects to achieve carbon neutrality, this strand of research offers important implications for investors and policymakers. Methodologically, we employ the GARCH-MIDAS model to examine the effect of the climate policy uncertainty (CPU) index on the volatility levels of the Chinese clean energy exchange-traded fund (ETF). We compare the effects of the CPU index with leading uncertainty indicators, including the crude oil volatility index, geopolitical risk, and technology sector volatility. The in-sample and out-of-sample analyses show that CPU has significant predictive contents for forecasting the volatility of renewable energy ETF and that the GARCH-MIDAS-CPU process outperforms other approaches. These results offer key implications for policymakers and socially responsible investors.

Ethnic Discrimination During the Covid-19 pandemic
BokkapitelPublikation
Ahmed, A., Lundahl, M., & Wadensjö, E.
Publiceringsår

2023

Publicerat i

Migration and Integration in a Post-Pandemic World: Socioeconomic Opportunities and Challenges (pp. 291–314).

Sammanfattning

Ethnic discrimination is common in labor and housing markets. It leads to lower wages and higher unemployment for ethnic minorities, to segregation in the labor market, and to residential segregation. Several studies show that the Covid-19 pandemic increased the extent of ethnic discrimination. The prejudice against hiring migrants may have increased because people from countries where the epidemic started or from countries with a lower vaccination coverage were blamed for the spread. It may also have increased in the cases where the Covid-19 pandemic led to higher unemployment making it less costly for employers to discriminate.

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