Testing volatility spillovers using GARCH models in the Japanese stock market during COVID-19
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Author(s)Cristi SpulbarLink to ORCID Index: https://orcid.org/0000-0002-3909-9496
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Ramona BirauLink to ORCID Index: https://orcid.org/0000-0003-1638-4291
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Jatin TrivediLink to ORCID Index: https://orcid.org/0000-0003-4418-8124
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Iqbal Thonse HawaldarLink to ORCID Index: https://orcid.org/0000-0001-7181-2493
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Elena Loredana MineaLink to ORCID Index: https://orcid.org/0000-0002-9656-6812
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DOIhttp://dx.doi.org/10.21511/imfi.19(1).2022.20
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Article InfoVolume 19 2022, Issue #1, pp. 262-273
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Creative Commons Attribution 4.0 International License
This paper investigates volatility spillovers in the stock market in Japan during the COVID-19 pandemic by using GARCH family models. The empirical analysis is focused on the dynamics of the NIKKEI 225 stock market index during the sample period from July 30, 1998, to January 24, 2022. In other words, the sample period covers both the period of the global financial crisis (GFC) and the COVID-19 pandemic. The econometrics includes GARCH (1,1), GJR (1,1), and EGARCH (1,1) models. By applying GARCH family models, this empirical study also examines the long-term behavior of the Japanese stock market.
The Japanese stock market is much more stable and efficient than emerging or frontier markets characterized by higher volatility and lower liquidity. The paper establishes that NIKKEI 225 index dynamics is different in intensity in the case of the two most recent extreme events analyzed, namely the global financial crisis (GFC)of 2007–2008 and the COVID-19 pandemic. The findings confirmed the presence of the leverage effect during the sample period. Moreover, the empirical results identified the presence of high volatility in the sample returns of the selected stock market. Nevertheless, the econometric framework showed that the negative implications of the GFC were much more severe and caused more significant contractions compared to the COVID-19 pandemic for the Japanese stock market. This study contributes to the existing literature by providing additional empirical evidence on the long-term behavior of the stock market in Japan, especially in the context of extreme events.
- Keywords
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JEL Classification (Paper profile tab)G01, G15, G17
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References43
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Tables3
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Figures4
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- Figure 1. The trend of the NIKKEI 225 index using daily closing prices during the sample period
- Figure 2. The log-returns of the NIKKEI 225 index using daily closing prices during the sample period
- Figure 3. Evidence on autocorrelation and partial autocorrelation tested for NIKKEI 225 index during the sample period
- Figure 4. Relative frequency distribution for NIKKEI 225 index during the sample period
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- Table 1. Frequency distribution for NIKKEI 225 index
- Table 2. Summary statistics
- Table 3. Statistical property of GARCH (1, 1), GJR (1, 1), and EGARCH (1, 1) models
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Challenges of small and medium enterprises during the COVID-19 pandemic: Case of Georgia
Amiran Maglakelidze ,
Gulnaz Erkomaishvili
doi: http://dx.doi.org/10.21511/ppm.19(4).2021.02
Problems and Perspectives in Management Volume 19, 2021 Issue #4 pp. 20-28 Views: 3056 Downloads: 1586 TO CITE АНОТАЦІЯThe COVID-19 pandemic has had a significant impact on small and medium enterprises (SMEs). The purpose of this study is to assess the impact of the COVID-19 pandemic on SMEs in Georgia, identify the challenges of SMEs in pandemic conditions, and analyze government economic policy measures. For this purpose, 102 small and medium entrepreneurs from different regions of Georgia were interviewed. The survey was conducted by sending a questionnaire through digital channels. The results were processed using data analysis, quantitative and qualitative research methods, and presented graphically. As a result, key challenges and development directions that are typical for SMEs operations in Georgia during the pandemic were identified. For 60.8% of surveyed SME owners, lockdown is the main challenge. Sales volume of 45.1% of SMEs decreased. In addition, 39.3% of the surveyed SME owners increased the innovative capabilities of a company and 37.2% increased the sales volume of a company through digital channels. The main challenge of the pandemic, lockdown, gave impetus to a change in entrepreneurial behavior. In a pandemic, entrepreneurial activity has become more favorable through digital channels. During the pandemic, there is a need to continue the government’s program of tax incentives and subsidies for SMEs. In addition, the government should promote education in the fields of entrepreneurship, innovation, and technology.
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The Case of COVID-19 impact on the level of non-performing loans of conventional commercial banks in Indonesia
Siti Epa Hardiyanti ,
Lukmanul Hakim Aziz
doi: http://dx.doi.org/10.21511/bbs.16(1).2021.06
Banks and Bank Systems Volume 16, 2021 Issue #1 pp. 62-68 Views: 1659 Downloads: 1129 TO CITE АНОТАЦІЯThis study aims to investigate the impact of COVID-19 on the increase in bad credits at conventional commercial banks in Indonesia. The data used in this study are secondary data sourced from the Ministry of Health and from the Financial Services Authority (OJK), each of which consists of 50 data samples. The data analysis technique used in this study is simple regression analysis to determine the magnitude of the influence of COVID-19 on non-performing loans. The results of the data analysis show that COVID-19 has a significant effect on non-performing loans, and the COVID-19 variable can be used as an external indicator of the increase in non-performing loans for commercial banks in Indonesia. The implication of the research is that other researchers can make COVID-19 an external indicator of an emergency beyond human ability that can affect the level of non-performing loans. For banking, this study can be used as a reference when considering credit risk management policy during the COVID-19 pandemic.
Acknowledgment
The researchers are grateful to University of Sultan Ageng Tirtayasa for financial support. In addition, the authors sincerely apologize for the errors and mistakes found in this paper. -
Digitalization and higher education for sustainable development in the context of the Covid-19 pandemic: A content analysis approach
Ruihui Pu ,
Danai Tanamee ,
Songyu Jiang
doi: http://dx.doi.org/10.21511/ppm.20(1).2022.03
Problems and Perspectives in Management Volume 20, 2022 Issue #1 pp. 27-40 Views: 1336 Downloads: 710 TO CITE АНОТАЦІЯHigher education for sustainable development (HESD) in the Covid-19 pandemic faces different challenges. Empirically few studies to date have introduced much on the digitalization of higher education for sustainable development. This study aims to explore and explain the digitalization of HESD from different attitudes and to build linkages of the digitalization in HESD. Furthermore, the study makes content analysis where 1,200 tweets on digitalization in higher education for sustainable development are collected from Twitter, and 19 documents have further categorized information data via NVivo. In addition, 22 students and 9 instructors were invited for a semi-structured interview to further supplement this study and confirm its findings. This study finds that attitudes towards digitalization in the study area can be divided into three correlated attitude layers. Teaching attitudes and educational attitudes are the first level, and the second level is the digital platform attitude, technology use attitude, and resource attitude. Furthermore, network attitude, service attitude, and development attitude are the third level. Thus, through the analysis, this study suggests higher education institutions should make improvements in digitalized teaching, education quality via innovation, technological development, resources use, and development via creating a better digital platform or environment is essential for genuinely promoting the HESD.
