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  1. Article ; Online: Introduction of the special issue on COVID-19 and the financial and economic systems.

    Narayan, Paresh Kumar

    Financial innovation

    2022  Volume 8, Issue 1, Page(s) 59

    Language English
    Publishing date 2022-05-12
    Publishing country Germany
    Document type Editorial
    ZDB-ID 2824759-0
    ISSN 2199-4730 ; 2199-4730
    ISSN (online) 2199-4730
    ISSN 2199-4730
    DOI 10.1186/s40854-022-00363-4
    Database MEDical Literature Analysis and Retrieval System OnLINE

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  2. Article ; Online: Understanding exchange rate shocks during COVID-19.

    Narayan, Paresh Kumar

    Finance research letters

    2021  Volume 45, Page(s) 102181

    Abstract: Using a dynamic VAR model fitted to hourly data, we evaluate the evolution of spillover shocks from exchange rates returns of EURO, Yen, CAD and GBP. We find that over the COVID-19 sample: (a) total exchange rate shock spillovers explain around 37.7% of ... ...

    Abstract Using a dynamic VAR model fitted to hourly data, we evaluate the evolution of spillover shocks from exchange rates returns of EURO, Yen, CAD and GBP. We find that over the COVID-19 sample: (a) total exchange rate shock spillovers explain around 37.7% of the forecast error variance in the exchange rate market compared to only 26.1% in the pre-COVID-19 period; and (b) exchange rate own shocks explain between 56% to 75% of own exchange rate movements. These results hold in multiple robustness tests. The implication is that exchange rates predict most of their own changes. We confirm this through an economic significance test where we show that the shock spillovers predict exchange rate returns and these predicted exchange rates can be useful in extracting buy and sell trading signals.
    Language English
    Publishing date 2021-05-30
    Publishing country Netherlands
    Document type Journal Article
    ISSN 1544-6131
    ISSN (online) 1544-6131
    DOI 10.1016/j.frl.2021.102181
    Database MEDical Literature Analysis and Retrieval System OnLINE

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  3. Article: Commentary on a method for testing resistance to shocks.

    Narayan, Paresh Kumar

    MethodsX

    2020  Volume 8, Page(s) 101194

    Abstract: This note tours the Narayan (2020a: Has COVID-19 Changed Exchange Rate Resistance to Shocks ...

    Abstract This note tours the Narayan (2020a: Has COVID-19 Changed Exchange Rate Resistance to Shocks?) approach to testing for resistance of a time-series variable to shocks. We take a step-by-step account of this approach and demonstrate its applicability with respect to the crude oil price.•
    Language English
    Publishing date 2020-12-29
    Publishing country Netherlands
    Document type Journal Article
    ZDB-ID 2830212-6
    ISSN 2215-0161
    ISSN 2215-0161
    DOI 10.1016/j.mex.2020.101194
    Database MEDical Literature Analysis and Retrieval System OnLINE

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  4. Article ; Online: Commentary on a method for testing resistance to shocks

    Paresh Kumar Narayan

    MethodsX, Vol 8, Iss , Pp 101194- (2021)

    2021  

    Abstract: This note tours the Narayan (2020a: Has COVID-19 Changed Exchange Rate Resistance to Shocks ...

    Abstract This note tours the Narayan (2020a: Has COVID-19 Changed Exchange Rate Resistance to Shocks?) approach to testing for resistance of a time-series variable to shocks. We take a step-by-step account of this approach and demonstrate its applicability with respect to the crude oil price. • The approach entails steps (1) to (8), as outline in the paper. • Future researchers will find this method useful in evaluating the resistance of variables to not only COVID-19 shocks but to any shock which has had a sufficiently long life.
    Keywords Coronavirus ; COVID-19 ; Crude oil prices ; Exchange rates ; Narayan–Popp test ; Persistency ; Science ; Q
    Language English
    Publishing date 2021-01-01T00:00:00Z
    Publisher Elsevier
    Document type Article ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

    Full text online

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  5. Article ; Online: Commentary on a method for testing resistance to shocks

    Narayan, Paresh Kumar

    MethodsX. 2021, v. 8 p.101194-

    2021  

    Abstract: This note tours the Narayan (2020a: Has COVID-19 Changed Exchange Rate Resistance to Shocks ...

    Abstract This note tours the Narayan (2020a: Has COVID-19 Changed Exchange Rate Resistance to Shocks?) approach to testing for resistance of a time-series variable to shocks. We take a step-by-step account of this approach and demonstrate its applicability with respect to the crude oil price.•The approach entails steps (1) to (8), as outline in the paper.•Future researchers will find this method useful in evaluating the resistance of variables to not only COVID-19 shocks but to any shock which has had a sufficiently long life.
    Keywords COVID-19 infection ; energy costs ; time series analysis ; Narayan–Popp (2010) test ; Coronavirus ; COVID-19 ; Crude oil prices ; Exchange rates ; Narayan–Popp test ; Persistency ; Shock resistance ; Time series ; Unit roots
    Language English
    Publishing place Elsevier B.V.
    Document type Article ; Online
    ZDB-ID 2830212-6
    ISSN 2215-0161
    ISSN 2215-0161
    DOI 10.1016/j.mex.2020.101194
    Database NAL-Catalogue (AGRICOLA)

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  6. Article ; Online: Did green debt instruments aid diversification during the COVID-19 pandemic?

    Narayan, Paresh Kumar / Rizvi, Syed Aun R / Sakti, Ali

    Financial innovation

    2022  Volume 8, Issue 1, Page(s) 21

    Abstract: Faced with a persistent pandemic, investors are concerned about portfolio diversification. While the literature on COVID-19 has evolved impressively, limited work remains on diversification opportunities. We contribute to the literature by exploring the ... ...

    Abstract Faced with a persistent pandemic, investors are concerned about portfolio diversification. While the literature on COVID-19 has evolved impressively, limited work remains on diversification opportunities. We contribute to the literature by exploring the volatility and co-movement of different sovereign debt instruments, including green sukuk, sukuk, bond and Islamic and conventional equity indices for Indonesia. Our results consistently point towards increased asset co-movement and weak profitability during the pandemic. Interestingly, sukuk and green sukuk have a 14% correlation with stocks, suggesting potential diversification prospects in times of extreme shocks.
    Language English
    Publishing date 2022-03-03
    Publishing country Germany
    Document type Journal Article
    ZDB-ID 2824759-0
    ISSN 2199-4730 ; 2199-4730
    ISSN (online) 2199-4730
    ISSN 2199-4730
    DOI 10.1186/s40854-021-00331-4
    Database MEDical Literature Analysis and Retrieval System OnLINE

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  7. Article ; Online: The role of R&D and economic policy uncertainty in Sri Lanka's economic growth.

    Amarasekara, Chandranath / Iyke, Bernard Njindan / Narayan, Paresh Kumar

    Financial innovation

    2022  Volume 8, Issue 1, Page(s) 16

    Abstract: In this paper, we assess the role of investment in research and development (R&D) and economic policy uncertainty (EPU) in Sri Lanka's economic growth experience. We do this by first determining which endogenous growth theories best explain the evolution ...

    Abstract In this paper, we assess the role of investment in research and development (R&D) and economic policy uncertainty (EPU) in Sri Lanka's economic growth experience. We do this by first determining which endogenous growth theories best explain the evolution of total factor productivity (TFP) in the country. Using historical time series data (1980-2018), we find that semi-endogenous growth theories best explain the evolution of TFP in Sri Lanka. This evidence suggests that R&D is critical to the country's TFP expansion. We find that, through R&D, EPU has a crucial detrimental impact on TFP growth, although it is short-lived. Our findings are robust and have important implications for R&D investment and for moderating EPU.
    Language English
    Publishing date 2022-01-14
    Publishing country Germany
    Document type Journal Article
    ZDB-ID 2824759-0
    ISSN 2199-4730 ; 2199-4730
    ISSN (online) 2199-4730
    ISSN 2199-4730
    DOI 10.1186/s40854-021-00322-5
    Database MEDical Literature Analysis and Retrieval System OnLINE

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  8. Article ; Online: Understanding corporate debt from the oil market perspective.

    Narayan, Paresh Kumar / Nasiri, Maryam Akbari

    Energy economics

    2020  Volume 92, Page(s) 104946

    Abstract: We design and test the hypothesis that for energy firms' oil market activities impact capital structure. Using a unique sample of 726 energy firms from 56 countries, we find that oil market activities do influence capital structure. The speed of ... ...

    Abstract We design and test the hypothesis that for energy firms' oil market activities impact capital structure. Using a unique sample of 726 energy firms from 56 countries, we find that oil market activities do influence capital structure. The speed of adjustment (SOA) to leverage when not exposed to oil market activities is between 27.5 and 66.4%. When exposed to oil price growth (market liquidity) the corresponding SOA is between 51.1 and 72.4% (40.9-76.1%). We conclude that oil price growth slows down while market liquidity improves SOA to leverage for energy firms. By comparison, using a sample of over 32,000 non-energy firms from 108 countries, we find no evidence that oil market activities dictate capital structure.
    Keywords covid19
    Language English
    Publishing date 2020-09-20
    Publishing country Netherlands
    Document type Journal Article
    ZDB-ID 2000893-4
    ISSN 1873-6181 ; 0140-9883
    ISSN (online) 1873-6181
    ISSN 0140-9883
    DOI 10.1016/j.eneco.2020.104946
    Database MEDical Literature Analysis and Retrieval System OnLINE

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  9. Article ; Online: Has COVID-19 changed the stock return-oil price predictability pattern?

    Zhang, Fan / Narayan, Paresh Kumar / Devpura, Neluka

    Financial innovation

    2021  Volume 7, Issue 1, Page(s) 61

    Abstract: In this paper, we examine if COVID-19 has impacted the relationship between oil prices and stock returns predictions using daily Japanese stock market data from 01/04/2020 to 03/17/2021. We make a novel contribution to the literature by testing whether ... ...

    Abstract In this paper, we examine if COVID-19 has impacted the relationship between oil prices and stock returns predictions using daily Japanese stock market data from 01/04/2020 to 03/17/2021. We make a novel contribution to the literature by testing whether the COVID-19 pandemic has changed this predictability relationship. Employing an empirical model that controls for seasonal effects, return-related control variables, heteroskedasticity, persistency, and endogeneity, we demonstrate that the influence of oil prices on stock returns declined by around 89.5% due to COVID-19. This implies that when COVID-19 reduced economic activity and destabilized financial markets, the influence of oil prices on stock returns declined. This finding could have implications for trading strategies that rely on oil prices.
    Language English
    Publishing date 2021-08-16
    Publishing country Germany
    Document type Journal Article
    ZDB-ID 2824759-0
    ISSN 2199-4730 ; 2199-4730
    ISSN (online) 2199-4730
    ISSN 2199-4730
    DOI 10.1186/s40854-021-00277-7
    Database MEDical Literature Analysis and Retrieval System OnLINE

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  10. Article ; Online: COVID-19 lockdowns, stimulus packages, travel bans, and stock returns.

    Narayan, Paresh Kumar / Phan, Dinh Hoang Bach / Liu, Guangqiang

    Finance research letters

    2020  Volume 38, Page(s) 101732

    Abstract: This paper examines the effect of government responses of G7 countries to the coronavirus pandemic (COVID-19) on stock market returns. Using time-series data, we show that lockdowns, travel bans, and economic stimulus packages all had a positive effect ... ...

    Abstract This paper examines the effect of government responses of G7 countries to the coronavirus pandemic (COVID-19) on stock market returns. Using time-series data, we show that lockdowns, travel bans, and economic stimulus packages all had a positive effect on the G7 stock markets. However, lockdowns were most effective in cushioning the effects of COVID-19. Our results are robust to different measures of returns and controls for other factors of returns.
    Keywords covid19
    Language English
    Publishing date 2020-08-20
    Publishing country Netherlands
    Document type Journal Article
    ISSN 1544-6131
    ISSN (online) 1544-6131
    DOI 10.1016/j.frl.2020.101732
    Database MEDical Literature Analysis and Retrieval System OnLINE

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