ArticleAnnals of operations research2022
Volatility impacts on the European banking sector: GFC and COVID-19.
Article in Annals of operations research, 2022. The graph could read no effect estimate from its abstract, so it casts no vote on the map. An erratum has been issued. Cited by 7 papers.
What it found
Each row is one number read from the abstract, on the scale the paper reported it, with its interval. Left of the dashed line favours the treatment, right favours the comparator. Under each row is the sentence it came from. New to these charts? A ten-minute tutorial.
The abstract states no effect estimate the extractor could read, or names no intervention and outcome on the map, so this paper lights no cell and moves no belief. It is still indexed, cited and linked below.
The trial behind it
Trials whose registry record cites this paper, or whose number appears in the abstract. A trial that started after this paper was published is citing it as background, not reporting it.
Neither the registry nor the abstract names a trial number. If this is a trial report, that itself is worth knowing.
Who cites it
7 citing papers in PubMed.
- Exchange rate instabilities during the Russia-Ukraine war: Evidence from V4 countries.Heliyon · 2024Article
- Development of a policy and regulatory framework for mitigating cyberfraud in the South African banking industry.Heliyon · 2024Article
- Short-term effect of COVID-19 pandemic on cryptocurrency markets: A DCC-GARCH model analysis.Heliyon · 2023Article
- Corporate vulnerability in the US and China during COVID-19: A machine learning approach.Journal of economic asymmetries · 2023Article
- Carbon trading and COVID-19: a hybrid machine learning approach for international carbon price forecasting.Annals of operations research · 2023Article
- Examining the hedge performance of US dollar, VIX, and gold during the coronavirus pandemic: Is US dollar a better hedge asset?PloS one · 2023Article
- Impact of COVID-19 pandemic on Moroccan sectoral stocks indices.Scientific African · 2022Review
Corrections and comments
- Erratum issued
Authors and funding
4 authors.
Funding
No grant is acknowledged in the PubMed record.
Abstract
This paper analyses the volatility transmission between European Global Systematically Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model is applied to determine the dynamic correlation between returns of Europe's GSIBs and the world's most prominent measure of market "fear", the CBOE Volatility Index (VIX). The results identify a higher negative co-relationship between the VIX and GSIB returns during the COVID-19 period compared with the Global Financial Crisis (GFC), with one-day lagged changes in the VIX negatively Granger-causing bank returns. The asymmetric impact of changes in implied volatility is examined by quantile regressions, with the findings showing that in the lower quartile-where extreme negative bank returns are present-jumps in the VIX are highly significant. This effect is more pronounced during COVID-19 than during the GFC. Additional robustness analysis shows that these findings are consistent during the periods of the Swine Flu and Zika virus epidemics.
Indexed as
Identifiers
What OpenQuestion holds
Registered trials
Read under generation 80e0d062 · epoch 390. Bibliography from PubMed, PubMed Central and OpenAlex; grants from NIH RePORTER; trial links from ClinicalTrials.gov; estimates, votes and beliefs from the OpenQuestion graph.