The Effects of Covid-19 on Long-term Memory and Risk of Gold, Silver, S&P 500, and Tehran Stock Exchange
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

The Effects of Covid-19 on Long-term Memory and Risk of Gold, Silver, S&P 500, and Tehran Stock Exchange

Document Type : Original Article

Authors
Mohammad Osoolian 1
Ali Koushki 2
1 Assistant Professor, Department of Financial Management and Insurance, Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran.
2 Master of Finance, Department of Management and Accounting, Shahid Beheshti University, Tehran, Iran
10.22034/jse.2023.11789.1854
Abstract
This study examines the risk of the Tehran Stock Exchange and the S&P 500 index, as well as gold and silver. Each investigation was performed separately before the outbreak of Covid-19 and during it. To do so, we use the fractional cumulative residual entropy (FCRE) for risk analysis. Also, we investigated the effect of Covid-19 on the Hurst exponent of the aforementioned markets and discussed the dynamic of each time series as well. The results showed that the Hurst exponent increases to one after the Covid-19 pandemic for all investigated markets. Therefore, the pandemic led to higher persistence trends in all markets that were studied. The results of FCRE showed that for all markets, randomness and irregularity have increased since the outbreak, which indicates that the risk and uncertainty have generally increased after the outbreak. Gold, however, showed the lowest entropy level since the pandemic, indicating that information perceived by gold investors did not significantly affect their fears during the Covid-19 pandemic. The results provide insights into the response of financial markets and precious metals to investor expectations after the Covid-19 pandemic.
Keywords
Risk
Uncertainty
Hurst Exponent
Entropy
Covid-19
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Quarterly Journal of Securities Exchange
Volume 16, Issue 63
Winter 2024
Pages 85-106