The Asymmetric Impact of Funding Liquidity Risk on the Volatility of Stock Portfolios during the COVID-19 Crisis

Date

2021-02-01

Author

Kocaarslan, Barış
Soytas, Ugur

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

312
views

0
downloads

In this study, we identify economic transmission channels through which changes in funding liquidity conditions in interbank markets asymmetrically affect volatilities of stock portfolios during the COVID-19 crisis. For the purpose of this study, the quantile regression approach is utilized. Controlling for macroeconomic factors, we document that volatilities of high-risk portfolios increase more in response to a deterioration in funding liquidity conditions compared to less risky portfolios. More importantly, this increase intensifies in high-volatility periods of high-risk portfolios, which implies the impact is stronger during uncertain economic environments, such as the one caused by the COVID-19 outbreak.

URI

https://hdl.handle.net/11511/89305

Journal

SUSTAINABILITY

DOI

https://doi.org/10.3390/su13042286

Collections

Department of Business Administration, Article

Suggestions

OpenMETU
Core

The Impact of Macro-Economic Drivers in Housing Markets: The US Cas Yılmaz, Bilgi; Yerlikaya Özkurt, Fatma; Kestel, Sevtap Ayşe (2021-08-01) This paper analyzes the effect of macro-economic, financial and commodity market indicators on housing markets. We compare the efficiency of the models generated by Generalized Linear Models (GLM) and Multivariate Adaptive Regression Splines (MARS) according to method free measures for estimating the housing market trend. These models are used for the first time to identify the influence of macro-economic indicators on housing markets and the estimation of the trend in housing markets to our best knowledge....
The impact of crude oil prices on financial market indicators: copula approach Kayalar, Derya Ezgi; KÜÇÜKÖZMEN, CUMHUR ÇOŞKUN; Kestel, Sevtap Ayşe (2017-01-01) Oil price changes have varying impacts on the financial indicators of global markets and economies. This study aims to explore the dependence structure between crude oil prices and stock market indices, as well as the exchange rates in a number of economies categorized with respect to their status as developing/emerging markets, and oil importer/exporter countries. Dependence structures in this study are evaluated in considerable depth using copula models. The broad time period covered allows the investigat...
The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US Kocaarslan, Baris; SOYTAŞ, MEHMET ALİ; Soytaş, Uğur (Elsevier BV, 2020-02-01) In this study, we investigate the presence of asymmetric interactions between oil prices, oil price uncertainty, interest rates, and unemployment in a cointegration framework. Utilizing the nonlinear auto-regressive distributed lag (NARDL) approach, we show the asymmetric responses of unemployment to changes in oil prices, oil price uncertainty and interest rates in the long-run. More specifically, the results of our analyses suggest that an increase in oil price results in increased unemployment while ther...
An Investigation on the nature of the idiosyncratic risk of stock portfolios Kocaarslan, Barış; Soytaş, Uğur; Department of Business Administration (2018) In this study, based on sound economic theories, two economic transmission channels are identified to investigate the impacts of changes in funding liquidity conditions in interbank loan markets and the reserve currency (US dollar) value on the idiosyncratic portfolio-level risks. Controlling for business cycles, we find that a deterioration in funding liquidity conditions increases the idiosyncratic risk of high-risk portfolios more than that of less risky portfolios. This increase is stronger when the idi...
The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets ÖZTEK, MEHMET FATİH; Öcal, Nadir (2016-03-01) This paper provides a comprehensive and up-to-date analysis of time-varying return co-movements between Chinese stock markets and stock markets in the USA, UK, France and Japan by employing smooth transition conditional correlation (STCC-GARCH) and double smooth transition conditional correlation (DSTCC-GARCH) models with specific emphasis on the role of domestic and international news and volatility. Unlike earlier literature, we reveal that there are noticeable rising trends in conditional correlations am...

Citation Formats

B. Kocaarslan and U. Soytas, “The Asymmetric Impact of Funding Liquidity Risk on the Volatility of Stock Portfolios during the COVID-19 Crisis,” SUSTAINABILITY, pp. 0–0, 2021, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/89305.