Publication: Study of risk factors in global stock markets during the COVID-19 pandemic under different market conditions
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Date
2025-01-29
Authors
Jareño, Francisco ; Martínez Serna, María Isabel ; Sánchez, Pablo
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Facultades, Departamentos, Servicios y Escuelas::Departamentos de la UMU::Organización de Empresas y Finanzas
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Publisher
SAGE Publications
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DOI
https://doi.org/10.1177/21582440251315586
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info:eu-repo/semantics/article
Description
© The Author(s) 2025. This manuscript version is made available under the CC-BY 4.0 license http://creativecommons.org/licenses/by/4.0/
This document is the Published Manuscript version of a Published Work that appeared in final form in SAGE Open. To access the final edited and published work see https://doi.org/10.1177/21582440251315586
Abstract
In this paper, we examine the stock markets’ response to fluctuations in international risk factors under different market states during the COVID-19 pandemic. Using data from seven countries heavily affected by the sanitary crisis, over the period between January 2020 and December 2021, we estimate an extended risk factor model through the quantile regression approach, with the purpose of identifying distinct sensitivities to risk sources depending on the bullish or bearish state of the market. Our results suggest higher explanatory ability at extreme quantiles, thereby revealing significant disparities in sensitivities, that are found to be dependent on the market conditions, on the country and on the particular risk factor.
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Citation
SAGE Open, 2025, Vol. 15, Issue 1, pp. 1-20
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Este ítem está sujeto a una licencia Creative Commons. http://creativecommons.org/licenses/by/4.0/