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COVID-19 and Global Financial Crisis : = A Comparative Analysis of Stock Market and Foreign Exchange Market Performance.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	COVID-19 and Global Financial Crisis :/
其他題名:	A Comparative Analysis of Stock Market and Foreign Exchange Market Performance.
作者:	Bajic, Dusan.
面頁冊數:	1 online resource (96 pages)
附註:	Source: Masters Abstracts International, Volume: 85-01.
Contained By:	Masters Abstracts International85-01.
標題:	Finance. -
電子資源:	click for full text (PQDT)
ISBN:	9798379795559

COVID-19 and Global Financial Crisis : = A Comparative Analysis of Stock Market and Foreign Exchange Market Performance.
Bajic, Dusan.

COVID-19 and Global Financial Crisis :A Comparative Analysis of Stock Market and Foreign Exchange Market Performance. - 1 online resource (96 pages)

Source: Masters Abstracts International, Volume: 85-01.

Thesis (M.S.)--Webster University, 2023.

Includes bibliographical references

This study examines the impact of the COVID-19 pandemic and the Global Financial Crisis on the stock market performance and foreign exchange markets using daily returns of three major stock indices (S&P 500, DAX, and Nikkei) and three currency pairs (JPY/USD, EUR/USD, and GBP/USD). In order to carry out this research, study used DCC GARCH (1,1) model. This model allowed me to calculate dynamic conditional variances of each of these six variables, as well as dynamic conditional correlations between each of them. My analysis reveals that both events have caused damages to both stock market and foreign exchange market performance. However, effects that were caused by these two events have varied across markets and countries. After conducting the statistical examination of the data, results indicate that it is possible to reject both null hypotheses. Specifically, there is a significant difference between the impact of COVID-19 and the impact of the Global Financial Crisis on both the stock market and foreign exchange market performance. Additionally, I discover that both events' effects on foreign exchange markets have been complex, with evidence of both short-term volatility and long-term structural changes, based on the results I have obtained from DCC GARCH (1,1) model. Overall, my findings provide insightful information about the relationship between the performance of the stock market and foreign exchange market and global economic crises, such as the Global Financial Crisis and the outbreak of the COVID-19.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798379795559Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

Financial CrisisIndex Terms--Genre/Form:

554714
Electronic books.

COVID-19 and Global Financial Crisis : = A Comparative Analysis of Stock Market and Foreign Exchange Market Performance.
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