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A description of the COVID-19 outbreak role in financial risk forecasting

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  • Müller, Fernanda Maria
  • Santos, Samuel Solgon
  • Righi, Marcelo Brutti

Abstract

This study aims to describe the risk of the system composed on the market indexes of the countries that were more affected by COVID-19. Our sample encompasses the thirty-five countries with more cases and/or deaths caused by COVID-19 until November 2020. As a second contribution, we describe the risk of each market index individually. As a general pattern, we note that losses and individual and systemic risks peaked in March 2020. We verify that countries that were epicenters of the COVID-19 pandemic experienced critical levels of risk, which is partially explained by more stringent confinement measures since these are the ones whose labor markets will suffer more in the medium and long run. We perceived a market recovery, arguably due to the low-interest rates and expansive actions taken by central banks. Nonetheless, we also observed that the systemic risk returned to pre-pandemic levels at the end of 2020.

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  • Müller, Fernanda Maria & Santos, Samuel Solgon & Righi, Marcelo Brutti, 2023. "A description of the COVID-19 outbreak role in financial risk forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    • Handle: RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000177
    DOI: 10.1016/j.najef.2023.101894
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    More about this item

    Keywords

    Single-index risk; Systemic risk; COVID-19;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General
    • G1 - Financial Economics - - General Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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