Conference Paper/Proceeding/Abstract 529 views
COVID-19, Financial Stress, and the Time-Varying Beta of Airlines
Syed Shabi-Ul-Hassan 
,
Sarosh Shabi ,
Taufiq Choudhry
,
Sarosh Shabi ,
Taufiq Choudhry
World Finance Conference, University of Agder, Kristiansand, Norway, August 2-4 2023
Swansea University Authors:
Syed Shabi-Ul-Hassan , Sarosh Shabi
Abstract
This study examines the impact of the COVID-19 pandemic on the time-varying systematic risk (beta) of 20 international airlines. Utilizing daily data from 2014 to 2023, time-varying betas are estimated through the BEKK-GARCH framework. To assess the asymmetric influence of the pandemic on airline be...
| Published in: | World Finance Conference, University of Agder, Kristiansand, Norway, August 2-4 2023 |
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| ISBN: | 978-989-54931-6-6 |
| Published: |
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| Online Access: |
https://www.world-finance-conference.com/conference.php?id=25 |
| URI: | https://cronfa.swan.ac.uk/Record/cronfa64354 |
| Abstract: |
This study examines the impact of the COVID-19 pandemic on the time-varying systematic risk (beta) of 20 international airlines. Utilizing daily data from 2014 to 2023, time-varying betas are estimated through the BEKK-GARCH framework. To assess the asymmetric influence of the pandemic on airline betas, the Non-linear Autoregressive Distributed Lag (NARDL) model is employed. The findings reveal significant effects of the pandemic and the associated financial stress on airlines’ exposure to market risk. Notably, firm-specific volatility contributes more substantially to changes in beta than market-wide volatility. The effects are particularly pronounced for European and Asian carriers. Moreover, financial stress is found to exert a strong influence on beta, with the most pronounced effects observed for U.S. airlines, while European airlines exhibit relatively weaker responses. These results offer important implications for investors and portfolio managers concerned with risk management in the airline industry during periods of heightened uncertainty. |
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| Item Description: |
Presentation/Discussion. World Finance Conference, University of Agder, Kristiansand, Norway, August 2-4 2023 |
| Keywords: |
Time-Varying Beta, GARCH, BEKK, COVID-19, Financial Stress, Airlines |
| College: |
Faculty of Humanities and Social Sciences |