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  1. Article ; Online: Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil.

    Cepoi, Cosmin-Octavian

    Finance research letters

    2020  Volume 36, Page(s) 101658

    Abstract: I investigate the stock market's reaction to coronavirus news in the top six most affected countries by the pandemic.•The fake news exerts a negative nonlinear influence on the inferior and the middle quantiles throughout the distribution of returns.• ... ...

    Abstract •I investigate the stock market's reaction to coronavirus news in the top six most affected countries by the pandemic.•The fake news exerts a negative nonlinear influence on the inferior and the middle quantiles throughout the distribution of returns.•The media coverage leads to a decrease in returns across middle and superior quantiles and has no effects on the inferior ones.•During COVID19 turmoil superior quantiles of returns distribution exhibit negative dependence on past performances, while inferior and middle quantiles are not affected by this phenomenon.•The gold return has a positive correlation with the stock markets, which amplifies during extreme bearish and bullish periods indicating that it does not behave as a "Safe Havens" asset.
    Keywords covid19
    Language English
    Publishing date 2020-06-18
    Publishing country Netherlands
    Document type News
    ISSN 1544-6131
    ISSN (online) 1544-6131
    DOI 10.1016/j.frl.2020.101658
    Database MEDical Literature Analysis and Retrieval System OnLINE

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  2. Article: Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil

    Cepoi, Cosmin-Octavian

    Financ Res Lett

    Abstract: •I investigate the stock market's reaction to coronavirus news in the top six most affected countries by the pandemic.•The fake news exerts a negative nonlinear influence on the inferior and the middle quantiles throughout the distribution of returns. ...

    Abstract •I investigate the stock market's reaction to coronavirus news in the top six most affected countries by the pandemic.•The fake news exerts a negative nonlinear influence on the inferior and the middle quantiles throughout the distribution of returns.•The media coverage leads to a decrease in returns across middle and superior quantiles and has no effects on the inferior ones.•During COVID19 turmoil superior quantiles of returns distribution exhibit negative dependence on past performances, while inferior and middle quantiles are not affected by this phenomenon.•The gold return has a positive correlation with the stock markets, which amplifies during extreme bearish and bullish periods indicating that it does not behave as a "Safe Havens" asset.
    Keywords covid19
    Publisher WHO
    Document type Article
    Note WHO #Covidence: #602071
    Database COVID19

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    Your chosen title can be delivered directly to ZB MED Cologne location if you are registered as a user at ZB MED Cologne.

  3. Article ; Online: Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil

    Cepoi, Cosmin-Octavian

    Finance Research Letters

    2020  Volume 36, Page(s) 101658

    Keywords Finance ; covid19
    Language English
    Publisher Elsevier BV
    Publishing country us
    Document type Article ; Online
    ISSN 1544-6123
    DOI 10.1016/j.frl.2020.101658
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

    Full text online

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  4. Article ; Online: Probability of informed trading during the COVID-19 pandemic: the case of the Romanian stock market.

    Cepoi, Cosmin Octavian / Dragotă, Victor / Trifan, Ruxandra / Iordache, Andreea

    Financial innovation

    2023  Volume 9, Issue 1, Page(s) 34

    Abstract: Using data from the Bucharest Stock Exchange, we examine the factors influencing the probability of informed trading (PIN) during February-October 2020, a COVID-19 pandemic period. Based on an unconditional quantile regression approach, we show that PIN ... ...

    Abstract Using data from the Bucharest Stock Exchange, we examine the factors influencing the probability of informed trading (PIN) during February-October 2020, a COVID-19 pandemic period. Based on an unconditional quantile regression approach, we show that PIN exhibit asymmetric dependency with liquidity and trading costs. Furthermore, building a customized database that contains all insider transactions on the Bucharest Stock Exchange, we reveal that these types of orders monotonically increase the information asymmetry from the 50th to the 90th quantile throughout the PIN distribution. Finally, we bring strong empirical evidence associating the level of information asymmetry to the level of fake news related to the COVID-19 pandemic. This novel result suggests that during episodes when the level of PIN is medium to high (between 15 and 50%), any COVID-19 related news classified as misinformation released during the lockdown period, is discouraging informed traders to place buy or sell orders conditioned by their private information.
    Language English
    Publishing date 2023-01-15
    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/s40854-022-00415-9
    Database MEDical Literature Analysis and Retrieval System OnLINE

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  5. Article ; Online: Threshold effect for the life insurance industry: evidence from OECD countries.

    Dragotă, Ingrid-Mihaela / Cepoi, Cosmin Octavian / Ştefan, Lavinia

    The Geneva papers on risk and insurance. Issues and practice

    2022  , Page(s) 1–22

    Abstract: We investigate the impact of new financial and economic determinants on life insurance demand for 29 OECD countries for the period 2005-2017 while controlling for a set of widely used socio-demographic and economic characteristics. Based on a panel ... ...

    Abstract We investigate the impact of new financial and economic determinants on life insurance demand for 29 OECD countries for the period 2005-2017 while controlling for a set of widely used socio-demographic and economic characteristics. Based on a panel smooth transition regression model, we find a regime-switching effect characterising the impact of bank concentration and interest rate on the size of the life insurance market, in light of the old-age dependency ratio as the threshold variable. We also show that life insurance development is boosted in countries with high scores for investment freedom and with high levels of foreign direct investment rates, regardless of the level of the old-age dependency ratio. The impact of GDP per capita on the demand for life insurance products is positive and statistically significant, regardless of the level of the threshold variable.
    Language English
    Publishing date 2022-04-29
    Publishing country England
    Document type Journal Article
    ZDB-ID 2063785-8
    ISSN 1468-0440 ; 2311-0112 ; 1018-5895
    ISSN (online) 1468-0440 ; 2311-0112
    ISSN 1018-5895
    DOI 10.1057/s41288-022-00272-8
    Database MEDical Literature Analysis and Retrieval System OnLINE

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  6. Article ; Online: Are cryptocurrencies safe havens during the COVID-19 pandemic? A threshold regression perspective with pandemic-related benchmarks

    Barbu Teodora Cristina / Boitan Iustina Alina / Cepoi Cosmin-Octavian

    Economics and Business Review, Vol 8, Iss 2, Pp 29-

    2022  Volume 49

    Abstract: The paper employs a threshold regression framework conditioned by two COVID-19 related proxies, to investigate whether Bitcoin and Ether exhibit short-term safe haven or diversifier features for stock and bond markets. Both cryptocurrencies fulfil a ... ...

    Abstract The paper employs a threshold regression framework conditioned by two COVID-19 related proxies, to investigate whether Bitcoin and Ether exhibit short-term safe haven or diversifier features for stock and bond markets. Both cryptocurrencies fulfil a diversifier role for the responsible investments represented by sustainable stock market indices, a safe haven role for major bond markets and a mixed role for a selection of representative stock market indices. Furthermore, in times characterized by an increasing number of COVID-19 daily cases or deaths the statistical relationship between both cryptocurrencies and the main financial market determinants weakens.
    Keywords bitcoin ; ether ; covid-19 ; stock market index ; sustainable indices ; bond yield ; threshold regression ; g11 ; g13 ; g14 ; g15 ; g17 ; Economics as a science ; HB71-74
    Language English
    Publishing date 2022-07-01T00:00:00Z
    Publisher Sciendo
    Document type Article ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

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