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Study of risk factors in global stock markets during the COVID-19 pandemic under different market conditions

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dc.contributor.authorJareño, Francisco
dc.contributor.authorMartínez Serna, María Isabel
dc.contributor.authorSánchez, Pablo
dc.contributor.departmentOrganización de Empresas y Finanzas
dc.contributor.otherFacultades, Departamentos, Servicios y Escuelas::Departamentos de la UMU::Organización de Empresas y Finanzases
dc.date.accessioned2025-02-28T06:55:51Z
dc.date.available2025-02-28T06:55:51Z
dc.date.issued2025-01-29
dc.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/10.1177/21582440251315586es
dc.description.abstractIn 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.es
dc.formatapplication/pdfes
dc.format.extent20es
dc.identifier.citationSAGE Open, 2025, Vol. 15, Issue 1, pp. 1-20
dc.identifier.doihttps://doi.org/10.1177/21582440251315586
dc.identifier.issnElectronic: 2158-2440
dc.identifier.urihttp://hdl.handle.net/10201/151242
dc.languageenges
dc.publisherSAGE Publicationses
dc.relationThis work was supported by the Spanish Ministerio de Ciencia e Innovación (PID2021-128829NB-100) funded by MCIN/AEI/10.13039/501100011033 and by “ERDF A way of making Europe”, as well as the Spanish Junta de Comunidades de Castilla-La Mancha (SBPLY/21/180501/000086) and the Spanish Universidad de Castilla-La Mancha (2022-GRIN-34491), both of which were co-financed with ERDF funds. Martínez-Serna also acknowledges financial support from Fundación CajaMurcia.es
dc.relation.publisherversionhttps://journals.sagepub.com/doi/full/10.1177/21582440251315586es
dc.rightsinfo:eu-repo/semantics/openAccesses
dc.rightsAtribución 4.0 Internacional*
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/*
dc.titleStudy of risk factors in global stock markets during the COVID-19 pandemic under different market conditionses
dc.typeinfo:eu-repo/semantics/articlees
dspace.entity.typePublicationes
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