Black Swan Event and The Stock Market Volatility Response to Shocks in Developed, Emerging, Frontier and the BRIC Markets: Lessons from the COVID-19 Pandemic
Autor(a) principal: | |
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Data de Publicação: | 2022 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng por |
Título da fonte: | BBR. Brazilian Business Review (English edition. Online) |
Texto Completo: | http://www.bbronline.com.br/index.php/bbr/article/view/720 |
Resumo: | We study the impact of shocks (news flow) on stock market volatility in different economic regions, namely the developed, emerging, frontier, and BRIC stock markets during the COVID-19 pandemic, which was a‘Black Swan Event’. The daily returns of relevant MSCI indices from January 30, 2020 to October 30, 2020 are examined using the EGARCH model’s News Impact Curve to gain a perspective on the volatility behavior in stock markets in the developed, emerging, frontier, and BRIC countries’ stock markets. Evidence suggests that the developed markets in the Pacific and Europe, the BRIC countries, the emerging markets in Asia, Europe, and Latin America, and the frontier markets in Asia were associated with asymmetric volatility response to shocks. Further, the developed markets in North America and the frontier markets in Africa were associated with a symmetric volatility response. We observe that the volatility response to shocks in different regions is not uniform and varies according to the size and sign of the shock. The findings of the study provide insights to the investors and academics in understanding the behavior of volatility globally during a Black Swan Event, and provide critical inputs in global portfolio decisions. |
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Black Swan Event and The Stock Market Volatility Response to Shocks in Developed, Emerging, Frontier and the BRIC Markets: Lessons from the COVID-19 PandemicEvento Cisne Negro e a Volatilidade do Mercado de Ações Resposta a Choques em Mercados Desenvolvidos, Emergentes, Fronteiriços e BRIC: Lições da Pandemia do COVID-19VolatilityBRICEmerging marketsDeveloped marketsFrontier marketsVolatilidadeBRICMercados emergentesMercados desenvolvidosMercados de fronteiraWe study the impact of shocks (news flow) on stock market volatility in different economic regions, namely the developed, emerging, frontier, and BRIC stock markets during the COVID-19 pandemic, which was a‘Black Swan Event’. The daily returns of relevant MSCI indices from January 30, 2020 to October 30, 2020 are examined using the EGARCH model’s News Impact Curve to gain a perspective on the volatility behavior in stock markets in the developed, emerging, frontier, and BRIC countries’ stock markets. Evidence suggests that the developed markets in the Pacific and Europe, the BRIC countries, the emerging markets in Asia, Europe, and Latin America, and the frontier markets in Asia were associated with asymmetric volatility response to shocks. Further, the developed markets in North America and the frontier markets in Africa were associated with a symmetric volatility response. We observe that the volatility response to shocks in different regions is not uniform and varies according to the size and sign of the shock. The findings of the study provide insights to the investors and academics in understanding the behavior of volatility globally during a Black Swan Event, and provide critical inputs in global portfolio decisions.Estuda-se o impacto dos choques (fluxo de notícias) na volatilidade do mercado de ações nas diferentes regiões econômicas, nomeadamente os mercados de ações desenvolvidos, emergentes, de fronteira e BRIC durante a pandemia de COVID-19, um ‘Evento Cisne Negro’. Os retornos diários dos índices MSCI relevantes a partir de 30 de janeiro 2020 a 30 de outubro de 2020 são examinados usando a Curva de Impacto de Notícias do modelo EGARCH para obter uma perspectiva sobre o comportamento da volatilidade nos mercados de ações nos mercados de ações desenvolvidos, emergentes, de fronteira e BRIC. Evidências sugerem que os mercados desenvolvidos no Pacífico e na Europa, os BRICs, os mercados emergentes na Ásia, Europa, América Latina e os mercados de fronteira na Ásia foram associados à resposta de volatilidade assimétrica a choques. Além disso, os mercados desenvolvidos na América do Norte e os mercados fronteiriços na África foram associados a uma resposta de volatilidade simétrica. Observa-se que a resposta da volatilidade a choques em diferentes regiões não é uniforme e varia de acordo com o tamanho e sinal do choque. As descobertas do estudo fornecem insights para os investidores e acadêmicos na compreensão do comportamento da volatilidade globalmente durante um Evento Cisne Negro e fornecem informações críticas nas decisões globais de portfólio.FUCAPE Business Shool2022-09-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/72010.15728/bbr.2022.19.5.2.enBrazilian Business Review; Vol. 19 No. 5 (2022): September to October 2022; 492-507Brazilian Business Review; v. 19 n. 5 (2022): Setembro a Outubro 2022; 492-5071808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/720/1085http://www.bbronline.com.br/index.php/bbr/article/view/720/1086Copyright (c) 2022 Brazilian Business Reviewhttp://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessBhattacharjee, NayanjyotiDe, Anupam2022-09-01T20:02:47Zoai:ojs.pkp.sfu.ca:article/720Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2022-09-01T20:02:47BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false |
dc.title.none.fl_str_mv |
Black Swan Event and The Stock Market Volatility Response to Shocks in Developed, Emerging, Frontier and the BRIC Markets: Lessons from the COVID-19 Pandemic Evento Cisne Negro e a Volatilidade do Mercado de Ações Resposta a Choques em Mercados Desenvolvidos, Emergentes, Fronteiriços e BRIC: Lições da Pandemia do COVID-19 |
title |
Black Swan Event and The Stock Market Volatility Response to Shocks in Developed, Emerging, Frontier and the BRIC Markets: Lessons from the COVID-19 Pandemic |
spellingShingle |
Black Swan Event and The Stock Market Volatility Response to Shocks in Developed, Emerging, Frontier and the BRIC Markets: Lessons from the COVID-19 Pandemic Bhattacharjee, Nayanjyoti Volatility BRIC Emerging markets Developed markets Frontier markets Volatilidade BRIC Mercados emergentes Mercados desenvolvidos Mercados de fronteira |
title_short |
Black Swan Event and The Stock Market Volatility Response to Shocks in Developed, Emerging, Frontier and the BRIC Markets: Lessons from the COVID-19 Pandemic |
title_full |
Black Swan Event and The Stock Market Volatility Response to Shocks in Developed, Emerging, Frontier and the BRIC Markets: Lessons from the COVID-19 Pandemic |
title_fullStr |
Black Swan Event and The Stock Market Volatility Response to Shocks in Developed, Emerging, Frontier and the BRIC Markets: Lessons from the COVID-19 Pandemic |
title_full_unstemmed |
Black Swan Event and The Stock Market Volatility Response to Shocks in Developed, Emerging, Frontier and the BRIC Markets: Lessons from the COVID-19 Pandemic |
title_sort |
Black Swan Event and The Stock Market Volatility Response to Shocks in Developed, Emerging, Frontier and the BRIC Markets: Lessons from the COVID-19 Pandemic |
author |
Bhattacharjee, Nayanjyoti |
author_facet |
Bhattacharjee, Nayanjyoti De, Anupam |
author_role |
author |
author2 |
De, Anupam |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Bhattacharjee, Nayanjyoti De, Anupam |
dc.subject.por.fl_str_mv |
Volatility BRIC Emerging markets Developed markets Frontier markets Volatilidade BRIC Mercados emergentes Mercados desenvolvidos Mercados de fronteira |
topic |
Volatility BRIC Emerging markets Developed markets Frontier markets Volatilidade BRIC Mercados emergentes Mercados desenvolvidos Mercados de fronteira |
description |
We study the impact of shocks (news flow) on stock market volatility in different economic regions, namely the developed, emerging, frontier, and BRIC stock markets during the COVID-19 pandemic, which was a‘Black Swan Event’. The daily returns of relevant MSCI indices from January 30, 2020 to October 30, 2020 are examined using the EGARCH model’s News Impact Curve to gain a perspective on the volatility behavior in stock markets in the developed, emerging, frontier, and BRIC countries’ stock markets. Evidence suggests that the developed markets in the Pacific and Europe, the BRIC countries, the emerging markets in Asia, Europe, and Latin America, and the frontier markets in Asia were associated with asymmetric volatility response to shocks. Further, the developed markets in North America and the frontier markets in Africa were associated with a symmetric volatility response. We observe that the volatility response to shocks in different regions is not uniform and varies according to the size and sign of the shock. The findings of the study provide insights to the investors and academics in understanding the behavior of volatility globally during a Black Swan Event, and provide critical inputs in global portfolio decisions. |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022-09-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Peer-reviewed Article Artigo revisado pelos pares |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://www.bbronline.com.br/index.php/bbr/article/view/720 10.15728/bbr.2022.19.5.2.en |
url |
http://www.bbronline.com.br/index.php/bbr/article/view/720 |
identifier_str_mv |
10.15728/bbr.2022.19.5.2.en |
dc.language.iso.fl_str_mv |
eng por |
language |
eng por |
dc.relation.none.fl_str_mv |
http://www.bbronline.com.br/index.php/bbr/article/view/720/1085 http://www.bbronline.com.br/index.php/bbr/article/view/720/1086 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2022 Brazilian Business Review http://creativecommons.org/licenses/by/4.0 info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2022 Brazilian Business Review http://creativecommons.org/licenses/by/4.0 |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
FUCAPE Business Shool |
publisher.none.fl_str_mv |
FUCAPE Business Shool |
dc.source.none.fl_str_mv |
Brazilian Business Review; Vol. 19 No. 5 (2022): September to October 2022; 492-507 Brazilian Business Review; v. 19 n. 5 (2022): Setembro a Outubro 2022; 492-507 1808-2386 1807-734X reponame:BBR. Brazilian Business Review (English edition. Online) instname:Fucape Business School (FBS) instacron:FBS |
instname_str |
Fucape Business School (FBS) |
instacron_str |
FBS |
institution |
FBS |
reponame_str |
BBR. Brazilian Business Review (English edition. Online) |
collection |
BBR. Brazilian Business Review (English edition. Online) |
repository.name.fl_str_mv |
BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS) |
repository.mail.fl_str_mv |
|| bbronline@bbronline.com.br |
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1754732239900377088 |