Special Issue "Financial Markets in Times of Crisis"

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: 30 September 2021.

Special Issue Editors

Prof. Dr. Waël Louhichi
E-Mail Website
Guest Editor
Department of Accounting and Finance, ESSCA Management School, 49000 Angers, France
Interests: commodities and energy markets; market microstructure; empirical finance; behavior finance; financial accounting; corporate finance
Prof. Dr. Zied Ftiti
E-Mail Website
Guest Editor
1. OCRE Laboratory, EDC Paris Business School, 92415 Paris, France
2. ISG de Tunis-LR-GEF2A Laboratory, Tunis Institute, University of Tunis, Boulevard du 9 Avril 1938, Tunis, Tunisia
Interests: financial econometrics; financial economics; macroeconomics; energy economics
Special Issues and Collections in MDPI journals

Special Issue Information

Dear Colleagues,

The objective of this Special Issue is to cover topics related to the impact of the recent crises on financial and commodity markets. We invite scholars and practitioners to submit original and recent work to this Special Issue. Both theoretical and empirical articles are welcome. 

Prof. Dr. Waël Louhichi
Prof. Dr. Zied Ftiti
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1200 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • financial crisis
  • pandemic crisis
  • risk management
  • financial markets
  • commodity markets

Published Papers (3 papers)

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Research

Article
Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management
J. Risk Financial Manag. 2021, 14(5), 222; https://doi.org/10.3390/jrfm14050222 - 14 May 2021
Viewed by 871
Abstract
This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets and different financial variables and commodities during the pre-COVID-19 and COVID-19 crisis, using daily data and multivariate GARCH models. Our results indicate that the risk spillover [...] Read more.
This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets and different financial variables and commodities during the pre-COVID-19 and COVID-19 crisis, using daily data and multivariate GARCH models. Our results indicate that the risk spillover has reached the highest level during the COVID-19 period, compared to the pre-COVID period, which means that the COVID-19 pandemic enforced the risk spillover between U.S. stock markets and the remains assets. We confirm the economic benefit of diversification in both tranquil and crisis periods (e.g., a negative dynamic conditional correlation between the VIX and SP500). Moreover, the hedging analysis exhibits that the Dow Jones Islamic has the highest hedging effectiveness either before or during the recent COVID19 crisis, offering better resistance to uncertainty caused by unpredictable turmoil such as the COVID19 outbreak. Our finding may have some implications for portfolio managers and investors to reduce their exposure to the risk in their portfolio construction. Full article
(This article belongs to the Special Issue Financial Markets in Times of Crisis)
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Article
Month-End Regularities in the Overnight Bank Funding Markets
J. Risk Financial Manag. 2021, 14(5), 204; https://doi.org/10.3390/jrfm14050204 - 03 May 2021
Viewed by 372
Abstract
The money market rates in the United States exhibit various calendar patterns that are grounded in institutional and regulatory factors. In this paper, we document a new regularity in the overnight fed funds market. Specifically, we identify patterns of decreased volatility along with [...] Read more.
The money market rates in the United States exhibit various calendar patterns that are grounded in institutional and regulatory factors. In this paper, we document a new regularity in the overnight fed funds market. Specifically, we identify patterns of decreased volatility along with consistent and significant month-end rate drops in the fed fund rates. Our findings suggest that short-term liquidity requirements of the Basel III reforms are, in part, responsible for the regularity in fed funds. Full article
(This article belongs to the Special Issue Financial Markets in Times of Crisis)
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Article
Relative Stock Market Performance during the Coronavirus Pandemic: Virus vs. Policy Effects in 80 Countries
J. Risk Financial Manag. 2021, 14(4), 177; https://doi.org/10.3390/jrfm14040177 - 12 Apr 2021
Viewed by 427
Abstract
This paper examines relative stock market performance following the onset of the coronavirus pandemic for a sample of 80 stock markets. Weekly data on coronavirus cases and deaths are employed alongside Oxford indices on each nation’s stringency and government support intensity. The results [...] Read more.
This paper examines relative stock market performance following the onset of the coronavirus pandemic for a sample of 80 stock markets. Weekly data on coronavirus cases and deaths are employed alongside Oxford indices on each nation’s stringency and government support intensity. The results are broken down both by month and by geographical region. The full sample results show that increased coronavirus cases exert the expected overall effect of worsening relative stock market performance, but with little consistent impact of rising deaths. There is some evidence of significantly negative stock market effects arising from lockdowns as reflected in the Oxford stringency index. There are also positive reactions to government support in March and December in the overall sample—combined with some additional pervasive effects seen in mid-2020 in Latin America. Full article
(This article belongs to the Special Issue Financial Markets in Times of Crisis)
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