Which COVID-19 information really impacts stock markets? [Dataset] (2022)
Data
SZCZYGIELSKI, J.J., CHARTERIS, A., BWANYA, P.R. and BRZESZCZYŃSKI, J. 2023. Which COVID-19 information really impacts stock markets? [Dataset]. Journal of international financial markets, institutions and money [online], 84, article 101592. Available from: https://doi.org/10.1016/j.intfin.2022.101592

Information about COVID-19 pandemic abounds, but which COVID-19 data actually impacts stock prices? We investigate which measures of COVID-19 matter most by applying elastic net regression for measure selection using a sample of the 35 largest stock... Read More about Which COVID-19 information really impacts stock markets? [Dataset].

Which COVID-19 information really impacts stock markets? (2022)
Journal Article
SZCZYGIELSKI, J.J., CHARTERIS, A., BWANYA, P.R. and BRZESZCZYŃSKI, J. 2023. Which COVID-19 information really impacts stock markets? Journal of international financial markets, institutions and money [online], 84, article 101592. Available from: https://doi.org/10.1016/j.intfin.2022.101592

Information about COVID-19 pandemic abounds, but which COVID-19 data actually impacts stock prices? We investigate which measures of COVID-19 matter most by applying elastic net regression for measure selection using a sample of the 35 largest stock... Read More about Which COVID-19 information really impacts stock markets?.

Rethinking financial contagion: information transmission mechanism during the COVID-19 pandemic. (2022)
Journal Article
YAROVAYA, L, BRZESZCZYŃSKI, J., GOODBELL, J., LUCEY, B. and LAU, C.K.M. 2022. Rethinking financial contagion: information transmission mechanism during the COVID-19 pandemic. Journal of international financial markets, institutions and money [online], 80, article 101589. Available from: https://doi.org/10.1016/j.intfin.2022.101589

Rapidly growing numbers of empirical papers assessing the financial effects of COVID-19 pandemic triggered an urgent need for a study summarising the existing knowledge of contagion phenomenon. This paper provides a review of conceptual approaches to... Read More about Rethinking financial contagion: information transmission mechanism during the COVID-19 pandemic..

Has the risk of socially responsible investments (SRI) companies stocks changed in the COVID-19 period? International evidence. (2022)
Journal Article
BRZESZCZYŃSKI, J., GAJDKA, J., PIETRASZEWSKI, P. and SCHABEK, T. 2022. Has the risk of socially responsible investments (SRI) companies stocks changed in the COVID-19 period? International evidence. Finance research letters [online], 49, article 102986. Available from: https://doi.org/10.1016/j.frl.2022.102986

In this study, we investigate changes in risk of socially responsible investments (SRI) companies in the periods before and during the COVID-19 pandemic relying on a broad dataset covering SRI indices from 35 markets analyzed between 2016 and 2021. O... Read More about Has the risk of socially responsible investments (SRI) companies stocks changed in the COVID-19 period? International evidence..

Systemic risk measures and regulatory challenges. (2021)
Journal Article
ELLIS, S., SHARMA, S., and BRZESZCZYŃSKI, J. 2022. Systemic risk measures and regulatory challenges. Journal of financial stability [online], 61, article 100960. Available from: https://doi.org/10.1016/j.jfs.2021.100960

This paper discusses different definitions of systemic risk and identifies the challenges, which regulators face in addressing this phenomenon. We conducted a systematic literature review of 4859 abstracts to categorize the various methodologies deve... Read More about Systemic risk measures and regulatory challenges..

The impact and role of COVID-19 uncertainty: a global industry analysis. (2021)
Journal Article
SZCZYGIELSKI, J.J., CHARTERIS, A., BWANYA, P.R. and BRZESZCZYŃSKI, J. 2022. The impact and role of COVID-19 uncertainty: a global industry analysis. International review of financial analysis [online], 80, article 101837. Available from: https://doi.org/10.1016/j.irfa.2021.101837

The novel 2019 coronavirus (COVID-19) has resulted in uncertainty that permeates every aspect of life and business. In this study we undertake a comprehensive analysis of the impact of COVID-19 related uncertainty on global industry returns and volat... Read More about The impact and role of COVID-19 uncertainty: a global industry analysis..

The COVID-19 storm and the energy sector: the impact and role of uncertainty. [Dataset] (2021)
Data
SZCZYGIELSKI, J.J., BRZESZCZYŃSKI, J., CHARTERIS, A. and BWANYA, P.A. 2022. The COVID-19 storm and the energy sector: the impact and role of uncertainty. [Dataset]. Energy economics [online], 109, article 105258. Available from: https://doi.org/10.1016/j.eneco.2021.105258

In this study, the authors investigate the impact and the timing of the impact of COVID-19 related uncertainty on returns and volatility for 20 national energy indices and a global energy index using ARCH/GARCH models. The data sample spans the perio... Read More about The COVID-19 storm and the energy sector: the impact and role of uncertainty. [Dataset].

The COVID-19 storm and the energy sector: the impact and role of uncertainty. (2021)
Journal Article
SZCZYGIELSKI, J.J., BRZESZCZYŃSKI, J., CHARTERIS, A. and BWANYA, P.A. 2022. The COVID-19 storm and the energy sector: the impact and role of uncertainty. Energy economics [online], 109, article 105258. Available from: https://doi.org/10.1016/j.eneco.2021.105258

Prior research has shown that energy sector stock prices are impacted by uncertainty. The coronavirus (COVID-19) pandemic has given rise to widespread health and economic-related uncertainty. In this study, we investigate the magnitude and the timing... Read More about The COVID-19 storm and the energy sector: the impact and role of uncertainty..

The only certainty is uncertainty: an analysis of the impact of COVID-19 uncertainty on regional stock markets. (2021)
Journal Article
SZCZYGIELSKI, J.J., BWANYA, P.R., CHARTERIS, A. and BRZESZCZYŃSKI, J. 2021. The only certainty is uncertainty: An analysis of the impact of COVID-19 uncertainty on regional stock markets. Finance research letters [online], 43, article 101945. Available from: https://doi.org/10.1016/j.frl.2021.101945

Uncertainty surrounding COVID-19 is widespread. We investigate the timing and quantify the impact of COVID-19 related uncertainty on returns and volatility for regional market aggregates using ARCH/GARCH models. Drawing upon economic psychology, COVI... Read More about The only certainty is uncertainty: an analysis of the impact of COVID-19 uncertainty on regional stock markets..