Price reaction, volatility timing and funds’ performance during Covid-19

By Nawazish Mirza, Bushra Naqvi, Birjees Rahat, S. Rizvi. Finance Research Letters, 2020

195 citations recorded by the source corpus.

In this paper we assess the price reaction, performance and volatility timing of European investment funds during the outbreak of Covid-19. We analyze the time period between January and June 2020 and demonstrate that while most of the investment funds exhibit stressed performance, social entrepreneurship funds endured resilience. This performance remained robust during the various stages of evolution of this contagion. The social funds also demonstrated volatility timing that was absent for most of their counterparts. We attribute the overall stability of these funds to their niche investments in social enterprises that specialize in providing innovative solutions for social issues.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/38f3b9d29369efbf4d6c177c1cef7c0616beb19d

Citations in the corpus

• To what extent does COVID-19 drive stock market volatility? A comparison between the U.S. and China (2021, unknown): “Since 2020, the number of papers discussing the impact of COVID-19 (Mirza et al., 2020a, 2020b, 2020c; Rizvi et al., 2020; Yarovaya et al., 2021), especially its impact on the stock market has increased (Sharif et al., 2020; Zhang et al., 2020).”
• Human Capital efficiency and equity funds’ performance during the COVID-19 pandemic (2020, unknown): “The adjusted Sharpe ratio is based on Sharpe (1966) and modified to by Pezier and White (2006) to account for non-normality of returns.”
• The nexus between COVID-19 fear and stock market volatility (2021, unknown): “It increased uncertainty in financial markets, which dragged stock market volatility into a hostile region (W. Zhang et al., 2020), halting market stability (Mirza et al., 2020a; Rizvi et al., 2020).”