No Cover Image

Conference Paper/Proceeding/Abstract 201 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 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...

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
Tags: Add Tag
No Tags, Be the first to tag this record!
first_indexed 2023-09-04T09:37:37Z
last_indexed 2023-09-04T09:37:37Z
id cronfa64354
recordtype SURis
fullrecord <?xml version="1.0" encoding="utf-8"?><rfc1807 xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:xsd="http://www.w3.org/2001/XMLSchema"><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>BAF</deptcode><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 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.</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>Accounting and Finance</department><CollegeCode>COLLEGE CODE</CollegeCode><DepartmentCode>BAF</DepartmentCode><institution>Swansea University</institution><apcterm>Not Required</apcterm><funders/><projectreference/><lastEdited>2023-10-24T15:35:24.4700039</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 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
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 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
_version_ 1780647857366237184
score 11.016614

Similar Items