Faculty of Management Sciences, National University of Modern Languages, Islamabad, Pakistan.
Department of Management Sciences, Shaheed Zulfiqar Ali Bhutto Institute of Sciences and Technology, Islamabad, Pakistan.
Environ Sci Pollut Res Int. 2022 Oct;29(46):70179-70191. doi: 10.1007/s11356-022-20715-y. Epub 2022 May 18.
This research study evaluates the impact of the Covid 19 pandemics on the downside risk-return volatilities across the four stock markets of the USA, UK, China, and Pakistan. The pandemic results in severe economic and financial consequences both at micro and macro levels as well as across the stock markets of various countries. The selected stock markets of the USA, UK, Pakistan, and China are significantly affected in terms of both investor risk and return during the pandemic time. The entire period distribution of the risk exhibited the downside risk behavior of both markets and investors' serious concern regarding their investment strategies. Using high-frequency data from January 2020 to April 2021, the findings of the study reveal more of the downside abnormal returns across both markets. The impact is larger and high in developed markets of USA and UK compared to the emerging markets of China and Pakistan. The outcomes of the various value-at-risk models disclose the higher downside risk implications for all markets, larger for developed countries. Similarly, the three stock markets of the USA, UK, and China were found to be significantly connected during a pandemic. Investors' reactions were positive and high in case of positive news outbreaks and dwindling in case of negative news and downside impact. The outcomes of the study are useful for investors, portfolio managers, investment advisors, and others to understand the dynamics of the pandemic situation and devise effective strategies to overcome the severities of downside risk.
本研究评估了新冠疫情对美国、英国、中国和巴基斯坦四个股票市场的下行风险-回报波动率的影响。疫情在微观和宏观层面以及各国股票市场都造成了严重的经济和金融后果。在疫情期间，美国、英国、巴基斯坦和中国的选定股票市场在投资者风险和回报方面都受到了显著影响。整个时期的风险分布表现出了市场和投资者对其投资策略的严重关注的下行风险行为。本研究使用了 2020 年 1 月至 2021 年 4 月的高频数据，发现研究结果在两个市场中都出现了更多的下行异常回报。与中国和巴基斯坦等新兴市场相比，美国和英国等发达市场的影响更大且更高。各种风险价值模型的结果表明，所有市场的下行风险含义都更高，对于发达国家而言更大。同样，在疫情期间，美国、英国和中国的三个股票市场被发现存在显著的关联。在出现正面消息时，投资者的反应是积极而强烈的，而在出现负面消息和下行影响时，反应则减弱。本研究的结果对于投资者、投资组合经理、投资顾问和其他人士了解疫情情况的动态并制定有效的策略来克服下行风险的严重性非常有用。
