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Dr. Mohamed yousfi
High Commercial Studies Institute, University of Sousse, Sousse 4000, Tunisia

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0 Commodity Risk Management
0 crisis impact.
0 Finance and Economics
0 Energy Analysis
0 Econometric analysis and modelling

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Journal article
Published: 14 May 2021 in Journal of Risk and Financial Management
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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.

ACS Style

Mohamed Yousfi; Abderrazak Dhaoui; Houssam Bouzgarrou. Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management. Journal of Risk and Financial Management 2021, 14, 222 .

AMA Style

Mohamed Yousfi, Abderrazak Dhaoui, Houssam Bouzgarrou. Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management. Journal of Risk and Financial Management. 2021; 14 (5):222.

Chicago/Turabian Style

Mohamed Yousfi; Abderrazak Dhaoui; Houssam Bouzgarrou. 2021. "Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management." Journal of Risk and Financial Management 14, no. 5: 222.

Journal article
Published: 27 February 2021 in Technological Forecasting and Social Change
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This paper makes the first comparative assessment of the impacts of the first and second waves of the ongoing COVID-19 pandemic for the US stock market and its uncertainty. To this end, we investigate the dynamic conditional correlation and the asymmetric impacts of shocks on the correlation between the US and Chinese stock markets before and during the COVID-19 crisis. Furthermore, we analyze and compare the relationship between the COVID-19 pandemic and US returns and uncertainty during the first and second waves of the pandemic. First, we find that the dynamic correlation approach supports the presence of volatility spillovers (contagion effects) between the two stock markets, especially during the rapid spread phase of COVID-19 in the US. Second, the analysis of news impact correlation surfaces shows that the shocks to the US and Chinese markets have asymmetric effects on the correlation between the two markets. Finally, we find a persistent link between US returns, uncertainty, and the COVID-19 pandemic during the first and second waves of the outbreak. Our results prove that the pandemic has shown harmful consequences for financial markets in general and the US economy in particular.

ACS Style

Mohamed Yousfi; Younes Ben Zaied; Nidhaleddine Ben Cheikh; Béchir Ben Lahouel; Houssem Bouzgarrou. Effects of the COVID-19 pandemic on the US stock market and uncertainty: A comparative assessment between the first and second waves. Technological Forecasting and Social Change 2021, 167, 120710 .

AMA Style

Mohamed Yousfi, Younes Ben Zaied, Nidhaleddine Ben Cheikh, Béchir Ben Lahouel, Houssem Bouzgarrou. Effects of the COVID-19 pandemic on the US stock market and uncertainty: A comparative assessment between the first and second waves. Technological Forecasting and Social Change. 2021; 167 ():120710.

Chicago/Turabian Style

Mohamed Yousfi; Younes Ben Zaied; Nidhaleddine Ben Cheikh; Béchir Ben Lahouel; Houssem Bouzgarrou. 2021. "Effects of the COVID-19 pandemic on the US stock market and uncertainty: A comparative assessment between the first and second waves." Technological Forecasting and Social Change 167, no. : 120710.