No Cover Image

Conference Paper/Proceeding/Abstract 834 views

COVID-19, Financial Stress, and the Time-Varying Beta of Airlines

Syed Shabi-Ul-Hassan Orcid Logo, Sarosh Shabi Orcid Logo, Taufiq Choudhry Orcid Logo

World Finance Conference, University of Agder, Kristiansand, Norway, August 2-4 2023

Swansea University Authors: Syed Shabi-Ul-Hassan Orcid Logo, Sarosh Shabi Orcid Logo

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...

Full description

Published in: World Finance Conference, University of Agder, Kristiansand, Norway, August 2-4 2023
ISBN: 978-989-54931-6-6
Published:
Online Access: https://www.world-finance-conference.com/conference.php?id=25
URI: https://cronfa.swan.ac.uk/Record/cronfa64354
first_indexed 2023-09-04T09:37:37Z
last_indexed 2025-04-12T04:23:49Z
id cronfa64354
recordtype SURis
fullrecord <?xml version="1.0"?><rfc1807><datestamp>2025-04-11T10:23:36.0890573</datestamp><bib-version>v2</bib-version><id>64354</id><entry>2023-09-04</entry><title>COVID-19, Financial Stress, and the Time-Varying Beta of Airlines</title><swanseaauthors><author><sid>e22064d3ecfb7a4a5a0861cb1ec35e64</sid><ORCID>0000-0003-0884-0576</ORCID><firstname>Syed</firstname><surname>Shabi-Ul-Hassan</surname><name>Syed Shabi-Ul-Hassan</name><active>true</active><ethesisStudent>false</ethesisStudent></author><author><sid>26e8e5cfec88f18c9b3ab8455b10170c</sid><ORCID>0000-0001-9198-2860</ORCID><firstname>Sarosh</firstname><surname>Shabi</surname><name>Sarosh Shabi</name><active>true</active><ethesisStudent>false</ethesisStudent></author></swanseaauthors><date>2023-09-04</date><deptcode>CBAE</deptcode><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&#x2019; 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.</abstract><type>Conference Paper/Proceeding/Abstract</type><journal>World Finance Conference, University of Agder, Kristiansand, Norway, August 2-4 2023</journal><volume/><journalNumber/><paginationStart/><paginationEnd/><publisher/><placeOfPublication/><isbnPrint/><isbnElectronic>978-989-54931-6-6</isbnElectronic><issnPrint/><issnElectronic/><keywords>Time-Varying Beta, GARCH, BEKK, COVID-19, Financial Stress, Airlines</keywords><publishedDay>0</publishedDay><publishedMonth>0</publishedMonth><publishedYear>0</publishedYear><publishedDate>0001-01-01</publishedDate><doi/><url>https://www.world-finance-conference.com/conference.php?id=25</url><notes>Presentation/Discussion. World Finance Conference, University of Agder, Kristiansand, Norway, August 2-4 2023</notes><college>COLLEGE NANME</college><department>Management School</department><CollegeCode>COLLEGE CODE</CollegeCode><DepartmentCode>CBAE</DepartmentCode><institution>Swansea University</institution><apcterm>Not Required</apcterm><funders/><projectreference/><lastEdited>2025-04-11T10:23:36.0890573</lastEdited><Created>2023-09-04T10:29:13.9222203</Created><path><level id="1">Faculty of Humanities and Social Sciences</level><level id="2">School of Management - Accounting and Finance</level></path><authors><author><firstname>Syed</firstname><surname>Shabi-Ul-Hassan</surname><orcid>0000-0003-0884-0576</orcid><order>1</order></author><author><firstname>Sarosh</firstname><surname>Shabi</surname><orcid>0000-0001-9198-2860</orcid><order>2</order></author><author><firstname>Taufiq</firstname><surname>Choudhry</surname><orcid>https://orcid.og/0000-0002-0463-0662</orcid><order>3</order></author></authors><documents/><OutputDurs/></rfc1807>
spelling 2025-04-11T10:23:36.0890573 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 CBAE 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. 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 Management School COLLEGE CODE CBAE Swansea University Not Required 2025-04-11T10:23:36.0890573 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
author_id_str_mv e22064d3ecfb7a4a5a0861cb1ec35e64
26e8e5cfec88f18c9b3ab8455b10170c
author_id_fullname_str_mv 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
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str 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
document_store_str 0
active_str 0
description 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.
published_date 0001-01-01T05:15:18Z
_version_ 1856985858137128960
score 11.09613

Similar Items