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Price reaction, volatility timing and funds’ performance during Covid-19

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  • Mirza, Nawazish
  • Naqvi, Bushra
  • Rahat, Birjees
  • Rizvi, Syed Kumail Abbas

Abstract

In this paper we assess the price reaction, performance and volatility timing of European investment funds during the outbreak of Covid-19. We analyze the time period between January and June 2020 and demonstrate that while most of the investment funds exhibit stressed performance, social entrepreneurship funds endured resilience. This performance remained robust during the various stages of evolution of this contagion. The social funds also demonstrated volatility timing that was absent for most of their counterparts. We attribute the overall stability of these funds to their niche investments in social enterprises that specialize in providing innovative solutions for social issues.

Suggested Citation

  • Mirza, Nawazish & Naqvi, Bushra & Rahat, Birjees & Rizvi, Syed Kumail Abbas, 2020. "Price reaction, volatility timing and funds’ performance during Covid-19," Finance Research Letters, Elsevier, vol. 36(C).
    • Handle: RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320305316
    DOI: 10.1016/j.frl.2020.101657
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    More about this item

    Keywords

    Volatility timing; Price reaction; Covid-19;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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