Conference Paper/Proceeding/Abstract 236 views
COVID-19, Financial Stress, and the Time-Varying Beta of Airlines
World Finance Conference, University of Agder, Kristiansand, Norway, August 2-4 2023
Swansea University Authors:
Syed Shabi-Ul-Hassan , Sarosh Shabi
Abstract
This paper empirically investigates the effects of the COVID-19 pandemic on the time-varying beta of 20 international airlines. An Investigation is conducted using daily data (2014-2023) and the BEKK GARCH model is applied to create the time-varying betas. Non-linear asymmetric autoregressive distri...
Published in: | World Finance Conference, University of Agder, Kristiansand, Norway, August 2-4 2023 |
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ISBN: | 978-989-54931-6-6 |
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https://www.world-finance-conference.com/conference.php?id=25 |
URI: | https://cronfa.swan.ac.uk/Record/cronfa64354 |
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v2 64354 2023-09-04 COVID-19, Financial Stress, and the Time-Varying Beta of Airlines e22064d3ecfb7a4a5a0861cb1ec35e64 0000-0003-0884-0576 Syed Shabi-Ul-Hassan Syed Shabi-Ul-Hassan true false 26e8e5cfec88f18c9b3ab8455b10170c 0000-0001-9198-2860 Sarosh Shabi Sarosh Shabi true false 2023-09-04 BAF This paper empirically investigates the effects of the COVID-19 pandemic on the time-varying beta of 20 international airlines. An Investigation is conducted using daily data (2014-2023) and the BEKK GARCH model is applied to create the time-varying betas. Non-linear asymmetric autoregressive distributed lag (NARDL) model has been employed to test the effect of the pandemic on the betas. Results show ample effects of the pandemic and the financial stress created by the pandemic on the airlines’ beta. The individual airline’s volatility imposes a larger effect than the market volatility does. These results are stronger for European and Asian airlines. Strong evidence of financial stress affecting the beta. The financial stress results are the strongest for the US airlines and the weakest for European airlines. These results may have implications for investors who are interested in portfolio risk management. Conference Paper/Proceeding/Abstract World Finance Conference, University of Agder, Kristiansand, Norway, August 2-4 2023 978-989-54931-6-6 Time-Varying Beta, GARCH, BEKK, COVID-19, Financial Stress, Airlines 0 0 0 0001-01-01 https://www.world-finance-conference.com/conference.php?id=25 Presentation/Discussion. World Finance Conference, University of Agder, Kristiansand, Norway, August 2-4 2023 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University Not Required 2023-10-24T15:35:24.4700039 2023-09-04T10:29:13.9222203 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Syed Shabi-Ul-Hassan 0000-0003-0884-0576 1 Sarosh Shabi 0000-0001-9198-2860 2 Taufiq Choudhry https://orcid.og/0000-0002-0463-0662 3 |
title |
COVID-19, Financial Stress, and the Time-Varying Beta of Airlines |
spellingShingle |
COVID-19, Financial Stress, and the Time-Varying Beta of Airlines Syed Shabi-Ul-Hassan Sarosh Shabi |
title_short |
COVID-19, Financial Stress, and the Time-Varying Beta of Airlines |
title_full |
COVID-19, Financial Stress, and the Time-Varying Beta of Airlines |
title_fullStr |
COVID-19, Financial Stress, and the Time-Varying Beta of Airlines |
title_full_unstemmed |
COVID-19, Financial Stress, and the Time-Varying Beta of Airlines |
title_sort |
COVID-19, Financial Stress, and the Time-Varying Beta of Airlines |
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e22064d3ecfb7a4a5a0861cb1ec35e64 26e8e5cfec88f18c9b3ab8455b10170c |
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e22064d3ecfb7a4a5a0861cb1ec35e64_***_Syed Shabi-Ul-Hassan 26e8e5cfec88f18c9b3ab8455b10170c_***_Sarosh Shabi |
author |
Syed Shabi-Ul-Hassan Sarosh Shabi |
author2 |
Syed Shabi-Ul-Hassan Sarosh Shabi Taufiq Choudhry |
format |
Conference Paper/Proceeding/Abstract |
container_title |
World Finance Conference, University of Agder, Kristiansand, Norway, August 2-4 2023 |
institution |
Swansea University |
isbn |
978-989-54931-6-6 |
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Faculty of Humanities and Social Sciences |
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Faculty of Humanities and Social Sciences |
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School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance |
url |
https://www.world-finance-conference.com/conference.php?id=25 |
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description |
This paper empirically investigates the effects of the COVID-19 pandemic on the time-varying beta of 20 international airlines. An Investigation is conducted using daily data (2014-2023) and the BEKK GARCH model is applied to create the time-varying betas. Non-linear asymmetric autoregressive distributed lag (NARDL) model has been employed to test the effect of the pandemic on the betas. Results show ample effects of the pandemic and the financial stress created by the pandemic on the airlines’ beta. The individual airline’s volatility imposes a larger effect than the market volatility does. These results are stronger for European and Asian airlines. Strong evidence of financial stress affecting the beta. The financial stress results are the strongest for the US airlines and the weakest for European airlines. These results may have implications for investors who are interested in portfolio risk management. |
published_date |
0001-01-01T15:35:28Z |
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1780647857366237184 |
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11.021648 |