文章基本信息

标题：Examining the Asymmetric Impact of COVID-19 Pandemic and Global Financial Crisis on Dow Jonesand Oil Price Shock
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作者：Khurram Shehzad ; Umer Zaman ; Xiaoxing Liu 等
期刊名称：Sustainability
印刷版ISSN：2071-1050
出版年度：2021
卷号：13
期号：9
页码：4688
DOI：10.3390/su13094688
语种：English
出版社：MDPI, Open Access Journal
摘要：COVID-19 has significantly affected the financial and commodity markets. The purpose of this investigation is to understand the impact of the COVID-19 crisis on Dow Jones and West Texas Intermediate (WTI) oil returns in relation to other crises using the Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model. The results indicate that COVID-19 and the accompanying lockdown have adversely impacted both yields and that the impact on oil prices is more significant than on the Dow Jones index. The variance and squared residuals of oil prices and the Dow Jones reached their highest historical levels during the COVID-19 outbreak, even higher than during the global financial crisis, and especially the VaR of both markets reached their historical peak points during the COVID-19 era. The variance of WTI during COVID-19 is higher than that of DJI, as was also the case during the financial crisis. These findings confirm that COVID-19 has negatively impacted investors’ ability to determine optimal portfolios and thus the sustainability of financial and energy markets more than the global financial crisis of 2007–2009. We, therefore, suggest that policy changes are needed to maintain financial sustainability and help investors deal with future financial and other crises.