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Stability of Financial Markets and Sustainability Post-COVID-19

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A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".

Deadline for manuscript submissions: closed (16 April 2024) | Viewed by 27749

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Special Issue Editors

Dr. Mosab I. Tabash

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Guest Editor

College of Business, Al Ain University, Al Ain P.O. Box 64141, United Arab Emirates
Interests: finance; Islamic finance; investment; tourism; environmental issues; corporate governance; financial performance; capital structure; SDGS; merges and acqusistions
Special Issues, Collections and Topics in MDPI journals

Dr. Krzysztof Drachal

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Guest Editor

Faculty of Economic Sciences, University of Warsaw, ul. Długa 44/50, 00-241 Warszawa, Poland
Interests: oil price; bayesian forecasting; dynamic model averaging; forecasting oil price; predicting oil price; spot oil price; time-varying parameters; time-series forecasting; energy economics; finance; econometrics; model averaging
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

While investors often focus on daily headlines about the post-pandemic reopening and economic recovery, it is important to consider the long-term impact of COVID-19. The economic impact of the global spread of COVID-19 has heightened market risk aversion in ways that have not been witnessed since the global financial crisis. Stock markets have declined by over 30%; the implied volatilities of equities and oil have spiked to crisis levels; and credit spreads on non-investment grade debt have widened sharply as investors reduce risks (Iglesias & Rivera-Alonso, 2022; Khan et al., 2022; Kinateder et al., 2021). Research on the influence of the pandemic and finance reveals a relatively low number of investigations related to the stability of financial markets after the outbreak of the COVID-19 pandemic. The concept of financial stability is ambiguous and can be interpreted in many ways, as well as from different perspectives, including from the perspective of infrastructure, institutions, instruments, markets, regulations and financial results. The influence of financial stability can be viewed as the circumstance in which a financial system allows for the efficient transfer of savings into investments without disruptions. Stability can also be defined as the ability of a financial system to resist shocks without compromising the distribution of savings, investments, and payment processing (Jati et al., 2022; Kinateder et al., 2021). Many academics and executives emphasise digital transformation as one of the first defensive steps for assuring sustainability during all major disasters, which include disruptions in communication, supply, and delivery, as well as physical limitations (Shi & Zheng, 2022). Alternative investments, such as cryptocurrencies, are also becoming important area of research in finance (Jati et al., 2022).

This Special Issue will foster and promote state-of-the-art research on the post-COVID-19 stability of financial markets and sustainability, with a focus on the following topics:

Stock market stability;
Post-COVID-19 stock market performance;
Post-COVID-19 bond market performance;
Business resilience;
Crypto currency bubbles;
Digital market efficiency;
Global economic recovery stimulus;
Roadmap for the post-pandemic era;
Sustainable practices in business;
Corporate sustainability;
Corporate governance towards sustainability.

References

Kinateder, H., Campbell, R., & Choudhury, T. (2021). Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets. Finance research letters, 43, 101951.

Iglesias, E. M., & Rivera-Alonso, D. (2022). Brent and WTI oil prices volatility during major crises and Covid-19. Journal of Petroleum Science and Engineering, 211, 110182.

Khan, M. H., Ahmed, J., Mughal, M., & Khan, I. H. (2022). Oil price volatility and stock returns: Evidence from three oil‐price wars. International Journal of Finance & Economics. https://doi.org/10.1002/ijfe.2588

Shi, H., & Zheng, H. (2022). Spillover connection between oil prices, energy risk exposure, and financial stability: implications for the COVID-19 pandemic. Environmental Science and Pollution Research, 1-15.

Jati, W., Rachmawaty, R., Holiawati, H., & Syatoto, I. (2022). Correlation of Financial Innovation, Stock Market, Cryptocurrency on Economic Growth. Economics Development Analysis Journal, 11(3), 329-338.

Dr. Mosab I. Tabash
Dr. Krzysztof Drachal
Guest Editors

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Keywords

post-pandemic strategies
stable financial market
corporate governance
sustainability
digital transformation
crypto currencies
resilience

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Published Papers (7 papers)

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Research

52 pages, 6746 KiB

Open AccessArticle

COVID-19 and Uncertainty Effects on Tunisian Stock Market Volatility: Insights from GJR-GARCH, Wavelet Coherence, and ARDL

by Emna Trabelsi

J. Risk Financial Manag. 2024, 17(9), 403; https://doi.org/10.3390/jrfm17090403 - 9 Sep 2024

Viewed by 764

Abstract

This study rigorously investigates the impact of COVID-19 on Tunisian stock market volatility. The investigation spans from January 2020 to December 2022, employing a GJR-GARCH model, bias-corrected wavelet analysis, and an ARDL approach. Specific variables related to health measures and government interventions are incorporated. The findings highlight that confirmed and death cases contribute significantly to the escalation in TUNINDEX volatility when using both the conditional variance and the realized volatility. Interestingly, aggregate indices related to government interventions exhibit substantial impacts on the realized volatility, indicating a relative resilience of the Tunisian stock market amidst the challenges posed by COVID-19. However, the application of the bias-corrected wavelet analysis yields more subtle outcomes in terms of the correlations of both measures of volatility to the same metrics. Our econometric implications bear on the application of such a technique, as well as on the use of the realized volatility as an accurate measure of the “true” value of volatility. Nevertheless, the measures and actions undertaken by the authorities do not exclude fear and insecurity from investors due to another virus or any other crisis. The positive and long-term impact on the volatility of US equity market uncertainty, VIX, economic policy uncertainty (EPU), and the infectious disease EMV tracker (IDEMV) is obvious through the autoregressive distributed lag model (ARDL). A potential vulnerability of the Tunisian stock market to future shocks is not excluded. Government and stock market authorities should grapple with economic and financial fallout and always instill investor confidence. Importantly, our results put mechanisms such as overreaction to public news and (in)efficient use of information under test. Questioning the accuracy of announcements is then recommended. Full article

(This article belongs to the Special Issue Stability of Financial Markets and Sustainability Post-COVID-19)

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23 pages, 4797 KiB

Open AccessArticle

An Empirical Examination of Bitcoin’s Halving Effects: Assessing Cryptocurrency Sustainability within the Landscape of Financial Technologies

by Juraj Fabus, Iveta Kremenova, Natalia Stalmasekova and Terezia Kvasnicova-Galovicova

J. Risk Financial Manag. 2024, 17(6), 229; https://doi.org/10.3390/jrfm17060229 - 29 May 2024

Cited by 1 | Viewed by 2928

Abstract

This article explores the significance of Bitcoin halving events within the cryptocurrency ecosystem and their impact on market dynamics. While the existing literature addresses the periods before and after Bitcoin halving, as well as financial bubbles, there is an absence of forecasting regarding Bitcoin price in the time after halving. To address this gap and provide predictions of Bitcoin price development, we conducted a rigorous analysis of past halving events in 2012, 2016, and 2020, focusing on Bitcoin price behaviour before and after each occurrence. What interests us is not only the change in the price level of Bitcoins (top and bottom), but also when this turn occurs. Through synthesizing data and trends from previous events, this article aims to uncover patterns and insights that illuminate the impact of Bitcoin halving on market dynamics and sustainability, movement of the price level, the peaks reached, and price troughs. Our approach involved employing methods such as RSI, MACD, and regression analysis. We looked for the relationship between the price of Bitcoin (top and bottom) and the number of days after the halving. We have uncovered a mathematical model, according to which the next peak will be reached 19 months (in November 2025) and the trough 31 months after Bitcoin halving 2024 (in November 2026). Looking towards the future, this study estimates predictions and expectations for the upcoming Bitcoin halving. These discoveries significantly enhance our understanding of Bitcoin’s trajectory and its implications for the finance cryptocurrency market. By offering novel insights into cryptocurrency market dynamics, this study contributes to advancing knowledge in the field and provides valuable information for cryptocurrency markets, investors, and stakeholders. Full article

(This article belongs to the Special Issue Stability of Financial Markets and Sustainability Post-COVID-19)

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24 pages, 339 KiB

Open AccessArticle

Pandemics and Stock Price Volatility: A Sectoral Analysis

by Niraj Prasad Koirala and Linus Nyiwul

J. Risk Financial Manag. 2023, 16(11), 467; https://doi.org/10.3390/jrfm16110467 - 28 Oct 2023

Viewed by 1716

Abstract

In this paper, we assess the impacts of the five most recent pandemics on the volatility of stock prices across forty-nine sectors of the economy in the United States. These five most recent pandemics are the 1957–1958 Asian flu, the 1977 Russian flu, SARS-CoV-1, swine flu and COVID-19. Applying the GJR-GARCH model, we find that pandemics other than COVID-19 have heterogeneous impacts on the volatility of stock returns. The results of our analysis indicate that COVID-19 has increased the volatility of stock returns in all sectors. Similarly, stocks in more than seventy percent of sectors in our study declined during the ongoing pandemic, perhaps reflecting the severity of the pandemic. In addition, our results on sectors such as healthcare and natural gas diverge from other literature. The mixed results on SARS-CoV-1 are partially explained by the fact it emerged at a time when stock valuations were particularly pessimistic. In the case of Russian flu, it was relatively short-lived and limited in spread relative to other pandemics in our study. Full article

(This article belongs to the Special Issue Stability of Financial Markets and Sustainability Post-COVID-19)

18 pages, 720 KiB

Open AccessArticle

Investigating the Nexus between Corporate Governance and Firm Performance in India: Evidence from COVID-19

by Mohd Anas, Ishfaq Gulzar, Mosab I. Tabash, Gayas Ahmad, Wasi Yazdani and Md. Firoz Alam

J. Risk Financial Manag. 2023, 16(7), 307; https://doi.org/10.3390/jrfm16070307 - 25 Jun 2023

Cited by 3 | Viewed by 3280

Abstract

The COVID-19 pandemic has had a dreadful influence on both economic activities and human life, in view of which management has to play a strategic role to focus on effective board leadership in order to optimize firm performance. The present study analyses the role of corporate governance practices in determining firm performance during the pandemic. A total of 151 non-financial companies from 11 diversified industries representing the NIFTY200 index for two years, 2019–2020 (pre-COVID-19) and 2020–2021 (duringCOVID-19), were selected. Paired sample t-tests, panel data regression, and one-way ANOVA were used for the analysis. The findings confirm that there is a significant difference between some corporate governance practices (board size, board independence, board’s female proportion, board attendance, and audit committee size) as well as financial performance (Tobin’s Q) before and during the COVID-19 period. The regression results of the full sample show that only board busyness has a positive and significant impact on ROA and Tobin’s Q. However, after splitting the sample year-wise, board size and audit committee meetings positively affected ROA during COVID-19. On the other hand, board independence had a negative influence. Female directors and audit committee meetings positively affected ROA in the pre-COVID-19 period, while board busyness had a negative influence. The results of one-way ANOVA show a substantial difference in the financial performance among industries. Full article

(This article belongs to the Special Issue Stability of Financial Markets and Sustainability Post-COVID-19)

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20 pages, 307 KiB

Open AccessArticle

Impact of Financial Technology on Improvement of Banks’ Financial Performance

by Hafez Baker, Thair A. Kaddumi, Mahmoud Daoud Nassar and Riham Suleiman Muqattash

J. Risk Financial Manag. 2023, 16(4), 230; https://doi.org/10.3390/jrfm16040230 - 5 Apr 2023

Cited by 13 | Viewed by 11895

Abstract

This study investigates the main financial technologies adopted by banks to improve their financial performance. The study population consists of commercial banks listed on the Amman Stock Exchange and Abu Dhabi Securities Exchange, and includes financial information and data from 2012 to 2020. A total of 115 questionnaires, consisting of five questionnaires for each bank, were distributed to the study population in Jordan and the United Arab Emirates. The dependent variable is financial performance, while the independent variable is financial technology (FinTech). Multiple linear regression analysis was conducted to test the hypotheses. The results showed that FinTech has a positive effect on both total deposit and net profits. This study recommends that banks be encouraged to adopt inclusive strategies to attain sustainable development. Full article

(This article belongs to the Special Issue Stability of Financial Markets and Sustainability Post-COVID-19)

16 pages, 496 KiB

Open AccessArticle

The Impact of ICT on the Profitability of Indian Banks: The Moderating Role of NPA

by Swapnilsingh Thakur, Shailesh Rastogi, Neha Parashar, Pracheta Tejasmayee and Jyoti Mehndiratta Kappal

J. Risk Financial Manag. 2023, 16(4), 211; https://doi.org/10.3390/jrfm16040211 - 24 Mar 2023

Cited by 2 | Viewed by 3795

Abstract

The role of Information and Communications Technology (ICT) cannot be ignored in today’s era of working. Its effects are studied in several sectors by various researchers. This study covers the impact of ICT on the profitability of banks. Thirty-three banks are operating in India. A sample period of 10 years (2010 to 2019) was studied. The study also provides insight into how ICT helps the banks’ profitability during and post-COVID-19. A panel data analysis is performed to estimate the results. This study found that ICT adversely impacts banks’ profitability (NIM) in India in a linear association. However, the quadratic association indicates a positive U-curved relationship between ICT and profitability. In addition, the Net of Non-Performing Assets significantly but negatively impacts the connectivity of ICT and profitability. The findings imply that banks should invest in ICT to maximize the long run. The findings have no significant implication on all stakeholders, including policymakers, shareholders, and managers, to consider implementing ICT tools as an essential factor in enhancing a bank’s profitability in the long run. In addition, the level of otherwise lowered investments in ICT cannot be a fruitful step. The current study augments the existing literature on banking by providing novel evidence on the association of ICT with profitability under the influence of NPA. This study argues for the application of ICT in banks in order to increase their profitability. ICT helps the bank maintain transparency, accountability, and even the reach of financial services increases. This situation again leads to the enhancement of the country’s economy. Full article

(This article belongs to the Special Issue Stability of Financial Markets and Sustainability Post-COVID-19)

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19 pages, 2407 KiB

Open AccessArticle

Dynamic Conditional Correlation and Volatility Spillover between Conventional and Islamic Stock Markets: Evidence from Developed and Emerging Countries

by Mohammad Sahabuddin, Md. Aminul Islam, Mosab I. Tabash, Md. Kausar Alam, Linda Nalini Daniel and Imad Ibraheem Mostafa

J. Risk Financial Manag. 2023, 16(2), 111; https://doi.org/10.3390/jrfm16020111 - 10 Feb 2023

Cited by 5 | Viewed by 2320

Abstract

This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional and Islamic stock markets in developed and emerging countries in order to develop better portfolio and asset allocation strategies. We used both multivariate GARCH (MGARCH) and multi-scales-based maximal overlap discrete wavelet transform (MODWT) approaches to investigate dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets in developed and emerging countries. The results show that conventional and Islamic markets move together in the long run for a specific time horizon and present time-varying volatility and dynamic conditional correlation, while volatility movement changes due to financial catastrophes and market conditions. Further, the findings point out that Chinese conventional and Islamic stock indexes showed higher volatility, whereas Malaysian conventional and Islamic stock indexes showed comparatively lower volatility during the global financial crisis. This study provides fresh insights and practical implications for risk management, asset allocation, and portfolio diversification strategies that evaluate stock market reactions to the crisis in the international avenues of finance literature. Full article

(This article belongs to the Special Issue Stability of Financial Markets and Sustainability Post-COVID-19)

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