IDEAS home Printed from https://ideas.repec.org/a/eee/jrpoli/v83y2023ics0301420723003288.html
   My bibliography  Save this article

Assessing the impacts of Covid-19 on stock exchange, gold prices, and financial markets: Fresh evidences from econometric analysis

Author

Listed:
  • Li, Junji
  • Wang, Rui
  • Aizhan, Duisebayeva
  • Karimzade, Mehriban

Abstract

This research analyses the relative efficacy of gold price, financial market, and stock exchange hedging against sectoral and industry-level global stock market returns. Incorporating Gold into equity-based asset allocation techniques and assessing the stock market and financial sector during the COVID-19 epidemic is one way to diversify your portfolio and reduce risk. After orthogonalizing raw returns concerning a robust collection of relevant universal variables, we conduct our analysis inside a bivariate GARCH(p, q) framework. To further assess ideal portfolio proportions and the efficacy of hedging methods, we expand the volatility spillovers study by calculating the optimal weights for a minimal risk portfolio and determining the hedge ratio. In high-volatility environments, our results show which financial market and stock exchange sectors and industries investors should prioritize to minimize the risk and maximize reward. Use of country-specific macroeconomic variables indices to supplement the worldwide index, (3) separate analysis for the COVID-19 first wave due to the existing argument that the pandemic raises unexpected market events and our early data showing co-movement among the three unpredictability metrics during the pandemic. These findings have important implications for portfolio entrepreneurs and business investors looking to buy international equities.

Suggested Citation

  • Li, Junji & Wang, Rui & Aizhan, Duisebayeva & Karimzade, Mehriban, 2023. "Assessing the impacts of Covid-19 on stock exchange, gold prices, and financial markets: Fresh evidences from econometric analysis," Resources Policy, Elsevier, vol. 83(C).
    • Handle: RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003288
    DOI: 10.1016/j.resourpol.2023.103617
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0301420723003288
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.resourpol.2023.103617?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Zhang, Dongyang & Mohsin, Muhammad & Rasheed, Abdul Khaliq & Chang, Youngho & Taghizadeh-Hesary, Farhad, 2021. "Public spending and green economic growth in BRI region: Mediating role of green finance," Energy Policy, Elsevier, vol. 153(C).
    2. Xiuzhen, Xie & Zheng, Wenxiu & Umair, Muhammad, 2022. "Testing the fluctuations of oil resource price volatility: A hurdle for economic recovery," Resources Policy, Elsevier, vol. 79(C).
    3. Chang, Lei & Qian, Chong & Dilanchiev, Azer, 2022. "Nexus between financial development and renewable energy: Empirical evidence from nonlinear autoregression distributed lag," Renewable Energy, Elsevier, vol. 193(C), pages 475-483.
    4. Chang, Lei & Baloch, Zulfiqar Ali & Saydaliev, Hayot Berk & Hyder, Mansoor & Dilanchiev, Azer, 2022. "Testing oil price volatility during Covid-19: Global economic impact," Resources Policy, Elsevier, vol. 78(C).
    5. Li, ChangZheng & Umair, Muhammad, 2023. "Does green finance development goals affects renewable energy in China," Renewable Energy, Elsevier, vol. 203(C), pages 898-905.
    6. Tom Montgomery & Micaela Mazzei, 2020. "Social innovation: how societies find the power to change," International Review of Applied Economics, Taylor & Francis Journals, vol. 34(5), pages 691-696, September.
    7. Edward B. Barbier & Joanne C. Burgess, 2017. "Natural Resource Economics, Planetary Boundaries and Strong Sustainability," Sustainability, MDPI, vol. 9(10), pages 1-12, October.
    8. Wang, Kai-Hua & Umar, Muhammad & Akram, Rabia & Caglar, Ersin, 2021. "Is technological innovation making world "Greener"? An evidence from changing growth story of China," Technological Forecasting and Social Change, Elsevier, vol. 165(C).
    9. Mohsin, Muhammad & Taghizadeh-Hesary, Farhad & Iqbal, Nadeem & Saydaliev, Hayot Berk, 2022. "The role of technological progress and renewable energy deployment in green economic growth," Renewable Energy, Elsevier, vol. 190(C), pages 777-787.
    10. Agyekum, Ephraim Bonah & Amjad, Fahd & Mohsin, Muhammad & Ansah, Michael Nii Sanka, 2021. "A bird's eye view of Ghana's renewable energy sector environment: A Multi-Criteria Decision-Making approach," Utilities Policy, Elsevier, vol. 70(C).
    11. Mohsin, M. & Zhou, P. & Iqbal, N. & Shah, S.A.A., 2018. "Assessing oil supply security of South Asia," Energy, Elsevier, vol. 155(C), pages 438-447.
    12. Liu, Fang & Umair, Muhammad & Gao, Junjun, 2023. "Assessing oil price volatility co-movement with stock market volatility through quantile regression approach," Resources Policy, Elsevier, vol. 81(C).
    13. Zhang, Yonggang & Dilanchiev, Azer, 2022. "Economic recovery, industrial structure and natural resource utilization efficiency in China: Effect on green economic recovery," Resources Policy, Elsevier, vol. 79(C).
    14. Carlota Perez, 2009. "Technological revolutions and techno-economic paradigms," The Other Canon Foundation and Tallinn University of Technology Working Papers in Technology Governance and Economic Dynamics 20, TUT Ragnar Nurkse Department of Innovation and Governance.
    15. Fang, Wei & Liu, Zhen & Surya Putra, Ahmad Romadhoni, 2022. "Role of research and development in green economic growth through renewable energy development: Empirical evidence from South Asia," Renewable Energy, Elsevier, vol. 194(C), pages 1142-1152.
    16. Pan, Weihua & Cao, Hang & Liu, Ying, 2023. "“Green” innovation, privacy regulation and environmental policy," Renewable Energy, Elsevier, vol. 203(C), pages 245-254.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Li, Yali & Pang, Dezhi & Cifuentes-Faura, Javier, 2023. "Time-Varying linkages among financial development, natural resources utility, and globalization for economic recovery in China," Resources Policy, Elsevier, vol. 82(C).
    2. Fang, Ying & Fan, Ying & Haroon, Muhammad & Dilanchiev, Azer, 2023. "Exploring the relationship between global economic policy and volatility of crude futures: A two-factor GARCH-MIDAS analysis," Resources Policy, Elsevier, vol. 85(PA).
    3. Xia, Yu, 2023. "Role of stock market return and natural resources utilisation on green economic development: Empirical evidence from China," Resources Policy, Elsevier, vol. 81(C).
    4. Qi, Haozhi & Huang, Xucheng & Sheeraz, Muhammad, 2023. "Green financing for renewable energy development: Driving the attainment of zero-emission targets," Renewable Energy, Elsevier, vol. 213(C), pages 30-37.
    5. Xu, Zilin & Mohsin, Muhammad & Ullah, Kaleem & Ma, Xiaoyu, 2023. "Using econometric and machine learning models to forecast crude oil prices: Insights from economic history," Resources Policy, Elsevier, vol. 83(C).
    6. Zhang, Rongxin & Aljumah, Ahmad Ibrahim & Ghardallou, Wafa & Li, Zeyun & Li, Jinhua & Cifuentes-Faura, Javier, 2023. "How economic development promotes the sustainability targets? Role of natural resources utilization," Resources Policy, Elsevier, vol. 85(PA).
    7. Tang, Qianning & Shahla, Rzayeva & Leyla, Aliyeva & Sevinj, Huseynova, 2023. "Moderating role of carbon emission and institutional stability on renewable energy across developing countries," Renewable Energy, Elsevier, vol. 209(C), pages 413-419.
    8. Telfah, Sadeq & Chau, Ka Yin & Tran, Trung Kien & Bui, Anh Tuan & Tai, Nguyen Tan & Phan, Thi Thu Hien, 2023. "Role of financial markets and natural resource utilization in green economic recovery: Evidence from selected developing economies," Resources Policy, Elsevier, vol. 83(C).
    9. Cao, Feifei, 2023. "Digital financial innovation and renewable electrification: A step toward zero carbon nexus," Renewable Energy, Elsevier, vol. 215(C).
    10. Sun, Gebing & Li, Guozhi & Dilanchiev, Azer & Kazimova, Asli, 2023. "Promotion of green financing: Role of renewable energy and energy transition in China," Renewable Energy, Elsevier, vol. 210(C), pages 769-775.
    11. Cui, Kai & Li, Xinxue & Li, Gang, 2023. "What kind of fiscal policies and natural resources efficiency promotes green economic growth? Evidence from regression analysis," Resources Policy, Elsevier, vol. 85(PB).
    12. Chang, Lei & Taghizadeh-Hesary, Farhad & Mohsin, Muhammad, 2023. "Role of artificial intelligence on green economic development: Joint determinates of natural resources and green total factor productivity," Resources Policy, Elsevier, vol. 82(C).
    13. Zhang, Ziwei & Fu, Hu & Xie, Shiqi & Cifuentes-Faura, Javier & Urinov, Bobur, 2023. "Role of green finance and regional environmental efficiency in China," Renewable Energy, Elsevier, vol. 214(C), pages 407-415.
    14. Zhao, Shixiu & He, Xiaoyi & Faxritdinovna, Kenjayeva Umriya, 2023. "Does industrial structure changes matter in renewable energy development? Mediating role of green finance development," Renewable Energy, Elsevier, vol. 214(C), pages 350-358.
    15. Dong, Chunlong & Wu, Hao & Zhou, Jianwen & Lin, Huifang & Chang, Lei, 2023. "Role of renewable energy investment and geopolitical risk in green finance development: Empirical evidence from BRICS countries," Renewable Energy, Elsevier, vol. 207(C), pages 234-241.
    16. Dai, Li & Xiong, Yuyu, 2023. "Does the green finance development and renewable energy affect the economic recovery in Asian economies," Renewable Energy, Elsevier, vol. 216(C).
    17. Peipei, Wang & Eyvazov, Elchin & Giyasova, Zeynab & Kazimova, Asli, 2023. "The nexus between natural resource rents and financial wealth on economic recovery: Evidence from European Union economies," Resources Policy, Elsevier, vol. 82(C).
    18. Wei Fang & Zhenyu Yang & Zhen Liu & Assem Abu Hatab, 2023. "Green recovery of cropland carrying capacity in developed regions: empirical evidence from Guangdong, China," Economic Change and Restructuring, Springer, vol. 56(4), pages 2405-2436, August.
    19. Fan, Weina & Anser, Muhammad Khalid & Nasir, Muhammad Hamid & Nazar, Raima, 2023. "Uncertainty in firm innovation scheme and impact of green fiscal policy; Economic recovery of Chinese firms in the post-Covid-19 era," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 1424-1439.
    20. Kuang, Hewu & Liang, Yiyan & Zhao, Wenjia & Cai, Jiahong, 2023. "Impact of natural resources and technology on economic development and sustainable environment – Analysis of resources-energy-growth-environment linkages in BRICS," Resources Policy, Elsevier, vol. 85(PB).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003288. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/30467 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.