The Asymmetric Impact of Funding Liquidity Risk on the Volatility of Stock Portfolios during the COVID-19 Crisis

KOCAARSLAN B., Soytas U.

SUSTAINABILITY, cilt.13, sa.4, ss.1-12, 2021 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 13 Sayı: 4
  • Basım Tarihi: 2021
  • Doi Numarası: 10.3390/su13042286
  • Dergi Adı: SUSTAINABILITY
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus, Aerospace Database, CAB Abstracts, Communication Abstracts, Food Science & Technology Abstracts, Geobase, INSPEC, Metadex, Veterinary Science Database, Directory of Open Access Journals, Civil Engineering Abstracts
  • Sayfa Sayıları: ss.1-12
  • Orta Doğu Teknik Üniversitesi Adresli: Hayır

Özet

In this study, we identify economic transmission channels through which changes in funding liquidity conditions in interbank markets asymmetrically affect volatilities of stock portfolios during the COVID-19 crisis. For the purpose of this study, the quantile regression approach is utilized. Controlling for macroeconomic factors, we document that volatilities of high-risk portfolios increase more in response to a deterioration in funding liquidity conditions compared to less risky portfolios. More importantly, this increase intensifies in high-volatility periods of high-risk portfolios, which implies the impact is stronger during uncertain economic environments, such as the one caused by the COVID-19 outbreak.