%PDF-1.7
%
1 0 obj
<<
/Metadata 2 0 R
/Names 3 0 R
/Outlines 4 0 R
/Pages 5 0 R
/Type /Catalog
>>
endobj
6 0 obj
<<
/Author (Baris Kocaarslan and Ugur Soytas)
/CreationDate (D:20210223111400+08'00')
/Creator (LaTeX with hyperref)
/Keywords (funding liquidity; volatility; asymmetric relationship; COVID-19; quantile regression)
/ModDate (D:20210422173640+02'00')
/Producer (pdfTeX-1.40.21)
/Subject (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.)
/Title (The Asymmetric Impact of Funding Liquidity Risk on the Volatility of Stock Portfolios during the COVID-19 Crisis)
>>
endobj
2 0 obj
<<
/Length 4557
/Subtype /XML
/Type /Metadata
>>
stream
application/pdf
Baris Kocaarslan and Ugur Soytas
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.
The Asymmetric Impact of Funding Liquidity Risk on the Volatility of Stock Portfolios during the COVID-19 Crisis
2021-02-23T11:14+08:00
LaTeX with hyperref
2021-04-22T17:36:40+02:00
2021-04-22T17:36:40+02:00
funding liquidity; volatility; asymmetric relationship; COVID-19; quantile regression
pdfTeX-1.40.21
uuid:7d42ddb2-4af4-4ba0-835c-bf042608c66c
uuid:2dfec40a-7d86-4dc2-9048-565cd820a977
endstream
endobj
3 0 obj
<<
/Dests 7 0 R
>>
endobj
4 0 obj
<<
/Count 7
/First 8 0 R
/Last 9 0 R
/Type /Outlines
>>
endobj
5 0 obj
<<
/Count 13
/Kids [10 0 R 11 0 R]
/Type /Pages
>>
endobj
7 0 obj
<<
/Kids [12 0 R 13 0 R]
>>
endobj
8 0 obj
<<
/Dest (section.1)
/Next 14 0 R
/Parent 4 0 R
/Title (Introduction )
>>
endobj
9 0 obj
<<
/Dest (section.6)
/Parent 4 0 R
/Prev 15 0 R
/Title (References)
>>
endobj
10 0 obj
<<
/Count 11
/Kids [16 0 R 17 0 R 18 0 R 19 0 R 20 0 R 21 0 R 22 0 R 23 0 R 24 0 R 25 0 R
26 0 R]
/Parent 5 0 R
/Type /Pages
>>
endobj
11 0 obj
<<
/Count 2
/Kids [27 0 R 28 0 R]
/Parent 5 0 R
/Type /Pages
>>
endobj
12 0 obj
<<
/Limits [(cite.B1-sustainability-1071460) (cite.B9-sustainability-1071460)]
/Names [(cite.B1-sustainability-1071460) [27 0 R /XYZ 36 733.448 null]
(cite.B10-sustainability-1071460) [27 0 R /XYZ 36 560.845 null]
(cite.B11-sustainability-1071460) [27 0 R /XYZ 36 549.338 null]
(cite.B12-sustainability-1071460) [27 0 R /XYZ 36 537.831 null]
(cite.B13-sustainability-1071460) [27 0 R /XYZ 36 526.325 null]
(cite.B14-sustainability-1071460) [27 0 R /XYZ 36 503.311 null]
(cite.B15-sustainability-1071460) [27 0 R /XYZ 36 480.297 null]
(cite.B17-sustainability-1071460) [27 0 R /XYZ 36 434.269 null]
(cite.B18-sustainability-1071460) [27 0 R /XYZ 36 422.763 null]
(cite.B2-sustainability-1071460) [27 0 R /XYZ 36 721.942 null]
(cite.B21-sustainability-1071460) [27 0 R /XYZ 36 376.735 null]
(cite.B22-sustainability-1071460) [27 0 R /XYZ 36 365.228 null]
(cite.B23-sustainability-1071460) [27 0 R /XYZ 36 353.721 null]
(cite.B24-sustainability-1071460) [27 0 R /XYZ 36 330.708 null]
(cite.B25-sustainability-1071460) [27 0 R /XYZ 36 307.694 null]
(cite.B26-sustainability-1071460) [27 0 R /XYZ 36 284.68 null]
(cite.B27-sustainability-1071460) [27 0 R /XYZ 36 273.173 null]
(cite.B28-sustainability-1071460) [27 0 R /XYZ 36 250.159 null]
(cite.B29-sustainability-1071460) [27 0 R /XYZ 36 238.652 null]
(cite.B3-sustainability-1071460) [27 0 R /XYZ 36 698.928 null]
(cite.B30-sustainability-1071460) [27 0 R /XYZ 36 227.146 null]
(cite.B31-sustainability-1071460) [27 0 R /XYZ 36 215.639 null]
(cite.B32-sustainability-1071460) [27 0 R /XYZ 36 204.132 null]
(cite.B33-sustainability-1071460) [27 0 R /XYZ 36 192.625 null]
(cite.B34-sustainability-1071460) [27 0 R /XYZ 36 181.118 null]
(cite.B35-sustainability-1071460) [27 0 R /XYZ 36 169.611 null]
(cite.B36-sustainability-1071460) [27 0 R /XYZ 36 146.597 null]
(cite.B37-sustainability-1071460) [27 0 R /XYZ 36 123.584 null]
(cite.B38-sustainability-1071460) [27 0 R /XYZ 36 112.077 null]
(cite.B39-sustainability-1071460) [27 0 R /XYZ 36 89.063 null]
(cite.B4-sustainability-1071460) [27 0 R /XYZ 36 675.914 null]
(cite.B40-sustainability-1071460) [28 0 R /XYZ 36 747.944 null]
(cite.B41-sustainability-1071460) [28 0 R /XYZ 36 736.437 null]
(cite.B42-sustainability-1071460) [28 0 R /XYZ 36 713.423 null]
(cite.B43-sustainability-1071460) [28 0 R /XYZ 36 701.917 null]
(cite.B5-sustainability-1071460) [27 0 R /XYZ 36 652.9 null]
(cite.B6-sustainability-1071460) [27 0 R /XYZ 36 641.393 null]
(cite.B7-sustainability-1071460) [27 0 R /XYZ 36 618.38 null]
(cite.B8-sustainability-1071460) [27 0 R /XYZ 36 595.366 null]
(cite.B9-sustainability-1071460) [27 0 R /XYZ 36 572.352 null]
]
>>
endobj
13 0 obj
<<
/Limits [(section.1) (specialtable.caption.7)]
/Names [(section.1) [17 0 R /XYZ 167.265 371.432 null]
(section.2) [19 0 R /XYZ 167.265 658.908 null]
(section.3) [20 0 R /XYZ 167.265 709.18 null]
(section.4) [22 0 R /XYZ 167.265 709.12 null]
(section.5) [22 0 R /XYZ 167.265 278.523 null]
(section.6) [25 0 R /XYZ 167.265 407.849 null]
(specialtable.caption.2) [21 0 R /XYZ 36 752.377 null]
(specialtable.caption.4) [23 0 R /XYZ 167.265 752.377 null]
(specialtable.caption.7) [24 0 R /XYZ 167.265 455.025 null]
]
>>
endobj
14 0 obj
<<
/Dest (section.2)
/Next 29 0 R
/Parent 4 0 R
/Prev 8 0 R
/Title (Hypothesis Development )
>>
endobj
15 0 obj
<<
/Dest (section.6)
/Next 9 0 R
/Parent 4 0 R
/Prev 30 0 R
/Title (Conclusions )
>>
endobj
16 0 obj
<<
/Contents 31 0 R
/Type /Page
/Resources <<
/Font <<
/F1 32 0 R
/F2 33 0 R
/F3 34 0 R
>>
/XObject <<
/Xf1 35 0 R
>>
>>
/Annots [36 0 R 37 0 R 38 0 R]
/Parent 10 0 R
/MediaBox [0 0 595 842]
>>
endobj
17 0 obj
<<
/Annots [39 0 R 40 0 R 41 0 R 42 0 R 43 0 R 44 0 R 45 0 R 46 0 R 47 0 R 48 0 R
49 0 R 50 0 R 51 0 R 52 0 R 53 0 R 54 0 R 55 0 R 56 0 R]
/Contents [57 0 R 58 0 R 59 0 R 60 0 R 61 0 R 62 0 R 63 0 R 64 0 R]
/CropBox [0 0 595.276 841.89]
/MediaBox [0 0 595.276 841.89]
/Parent 10 0 R
/Resources 65 0 R
/Rotate 0
/Type /Page
>>
endobj
18 0 obj
<<
/Annots [66 0 R 67 0 R 68 0 R 69 0 R 70 0 R 71 0 R 72 0 R 73 0 R 74 0 R 75 0 R
76 0 R]
/Contents 77 0 R
/CropBox [0 0 595.276 841.89]
/MediaBox [0 0 595.276 841.89]
/Parent 10 0 R
/Resources 78 0 R
/Rotate 0
/Type /Page
>>
endobj
19 0 obj
<<
/Annots [79 0 R 80 0 R 81 0 R 82 0 R 83 0 R 84 0 R 85 0 R 86 0 R 87 0 R 88 0 R
89 0 R 90 0 R 91 0 R]
/Contents 92 0 R
/CropBox [0 0 595.276 841.89]
/MediaBox [0 0 595.276 841.89]
/Parent 10 0 R
/Resources 93 0 R
/Rotate 0
/Type /Page
>>
endobj
20 0 obj
<<
/Annots [94 0 R 95 0 R 96 0 R 97 0 R 98 0 R 99 0 R 100 0 R 101 0 R 102 0 R 103 0 R
104 0 R]
/Contents 105 0 R
/CropBox [0 0 595.276 841.89]
/MediaBox [0 0 595.276 841.89]
/Parent 10 0 R
/Resources 106 0 R
/Rotate 0
/Type /Page
>>
endobj
21 0 obj
<<
/Annots [107 0 R 108 0 R 109 0 R 110 0 R 111 0 R 112 0 R 113 0 R]
/Contents 114 0 R
/CropBox [0 0 595.276 841.89]
/MediaBox [0 0 595.276 841.89]
/Parent 10 0 R
/Resources 115 0 R
/Rotate 0
/Type /Page
>>
endobj
22 0 obj
<<
/Annots [116 0 R 117 0 R 118 0 R 119 0 R 120 0 R 121 0 R 122 0 R]
/Contents 123 0 R
/CropBox [0 0 595.276 841.89]
/MediaBox [0 0 595.276 841.89]
/Parent 10 0 R
/Resources 124 0 R
/Rotate 0
/Type /Page
>>
endobj
23 0 obj
<<
/Contents 125 0 R
/CropBox [0 0 595.276 841.89]
/MediaBox [0 0 595.276 841.89]
/Parent 10 0 R
/Resources 126 0 R
/Rotate 0
/Type /Page
>>
endobj
24 0 obj
<<
/Contents 127 0 R
/CropBox [0 0 595.276 841.89]
/MediaBox [0 0 595.276 841.89]
/Parent 10 0 R
/Resources 128 0 R
/Rotate 0
/Type /Page
>>
endobj
25 0 obj
<<
/Annots [129 0 R 130 0 R 131 0 R 132 0 R 133 0 R]
/Contents 134 0 R
/CropBox [0 0 595.276 841.89]
/MediaBox [0 0 595.276 841.89]
/Parent 10 0 R
/Resources 135 0 R
/Rotate 0
/Type /Page
>>
endobj
26 0 obj
<<
/Annots [136 0 R 137 0 R 138 0 R 139 0 R 140 0 R 141 0 R]
/Contents 142 0 R
/CropBox [0 0 595.276 841.89]
/MediaBox [0 0 595.276 841.89]
/Parent 10 0 R
/Resources 143 0 R
/Rotate 0
/Type /Page
>>
endobj
27 0 obj
<<
/Annots [144 0 R 145 0 R 146 0 R 147 0 R 148 0 R 149 0 R 150 0 R 151 0 R 152 0 R 153 0 R
154 0 R 155 0 R 156 0 R 157 0 R 158 0 R 159 0 R 160 0 R 161 0 R 162 0 R 163 0 R
164 0 R 165 0 R 166 0 R 167 0 R 168 0 R 169 0 R 170 0 R 171 0 R 172 0 R 173 0 R
174 0 R 175 0 R 176 0 R 177 0 R 178 0 R 179 0 R 180 0 R 181 0 R 182 0 R 183 0 R
184 0 R]
/Contents 185 0 R
/CropBox [0 0 595.276 841.89]
/MediaBox [0 0 595.276 841.89]
/Parent 11 0 R
/Resources 186 0 R
/Rotate 0
/Type /Page
>>
endobj
28 0 obj
<<
/Annots [187 0 R 188 0 R 189 0 R]
/Contents 190 0 R
/CropBox [0 0 595.276 841.89]
/MediaBox [0 0 595.276 841.89]
/Parent 11 0 R
/Resources 191 0 R
/Rotate 0
/Type /Page
>>
endobj
29 0 obj
<<
/Dest (section.3)
/Next 192 0 R
/Parent 4 0 R
/Prev 14 0 R
/Title (Data and Volatility Measures )
>>
endobj
30 0 obj
<<
/Dest (section.5)
/Next 15 0 R
/Parent 4 0 R
/Prev 192 0 R
/Title (Empirical Results and Discussion )
>>
endobj
31 0 obj
<<
/Length 576
/Filter /FlateDecode
>>
stream
xTr0{jvONi:mډ3&lՀbI$~}NhX{otOuP̅ÝugB"ϫQ_u^-O,ɵDZ?9'4 ^ *J
aЩۚ>D<EK$Q3Ȫr9;T2ud J<(^x.Tse[ȟ%M1D
_%w`tnqBIi0`͏H0CgHL\yЎ%lN:ţS?S،83{PP,SOM{Js 97GY1ff
tר>1!O"-|K1.[ KRNEOH.7JlCfpatH{NZǣjrcsgFqZ.nÛ9=qM^O,;:.|ѱu
2ҺD7)kPn<
˓6';b29\l'c
endstream
endobj
32 0 obj
<<
/Subtype /Type1
/Type /Font
/BaseFont /Helvetica
/Encoding /WinAnsiEncoding
>>
endobj
33 0 obj
<<
/Subtype /Type1
/Type /Font
/BaseFont /Helvetica-Bold
/Encoding /WinAnsiEncoding
>>
endobj
34 0 obj
<<
/Subtype /Type1
/Type /Font
/BaseFont /Helvetica-Oblique
/Encoding /WinAnsiEncoding
>>
endobj
35 0 obj
<<
/Length 1707
/Subtype /Form
/Filter /FlateDecode
/Type /XObject
/Matrix [1 0 0 1 0 0]
/FormType 1
/Resources <<
/ExtGState <<
/GS7 193 0 R
/GS10 194 0 R
>>
/ProcSet [/PDF /Text /ImageB /ImageC /ImageI]
/XObject <<
/Meta18 195 0 R
/Image5 196 0 R
>>
/Font <<
/F1 197 0 R
/F2 198 0 R
/F3 199 0 R
>>
>>
/BBox [0 0 595.32 841.92]
>>
stream
xZ[o6~7GXhQD(eV]=CŖ&r^EYt 2lh*ټB/_N_UU6t6_O٪(ؖ/Jg~s~G!猠%"q8%XD&zx4}xEBD8bS
VylG0Zv(nn+llz CfhFIvC&6!P9z?}6)+~ VkyXU'yN&up j H:)Uuآ66B>p@4bN-֒IiR굄g
dVIjuKkKaz
rP
s)Yœ'9+ZAD#* X
zO)]kGX1tPz*ћ̰cQх%4>̀pVqLkFs55SY'}R5HB1;^;#f]Y;-7(7PQ:J گ2%ZU9!=Q(6;ʃͳ(GK^9
+&^Xk#&Ol2s"wfPǵ:R
:_^*a̧ՈN0jK'CݷD!;W(HG0e7bK.v&O]9标S!|xq!^RHg2?gM{)OA>]tpmSRf~qkì(lN薁hr0o`BLgyYpH^m!<4??ct'd~Z
fιmc@ENL}(L;#)Q'ǥiC57ڮ)Lѷݣ:reumEaZEFm۵Ss].[-
[Oh. SlxGwmow sg0]zǁX'{-TyͩL~N38s|,锑ER{#ˈD,w#[6F
J𗒫auꅡcT($*@.^5tDv9`S>`a ~p ^{ma]w#]q>S!):t)`dOԙ]r[έ]WkYty\$KbQȵ+Wo/
^7ڶXKk^7wޓ{). m͎nm2G}f'ݩVij3| UV2z ݖrL_ʸYbٟmiB묐fSmh<槸*is-լ+NCBs5O.%8:(azS>$>
/Subtype /Link
/C [0 0 1]
/Border [0 0 0]
/Rect [57 458 150.96 468]
>>
endobj
37 0 obj
<<
/A <<
/S /URI
/URI (https://orbit.dtu.dk/en/publications/b79e13df-7f4a-4176-8a62-0c319cc89411)
>>
/Subtype /Link
/C [0 0 1]
/Border [0 0 0]
/Rect [57 348 158.14 358]
>>
endobj
38 0 obj
<<
/A <<
/S /URI
/URI (https://doi.org/10.3390/su13042286)
>>
/Subtype /Link
/C [0 0 1]
/Border [0 0 0]
/Rect [57 258 214.33 268]
>>
endobj
39 0 obj
<<
/A <<
/S /URI
/Type /Action
/URI (https://www.mdpi.com/journal/sustainability)
>>
/Border [0 0 0]
/C [0 1 1]
/H /I
/P 17 0 R
/Rect [35.004 759.787 178.103 795.795]
/Subtype /Link
/Type /Annot
>>
endobj
40 0 obj
<<
/A <<
/S /URI
/Type /Action
/URI (https://www.mdpi.com)
>>
/Border [0 0 0]
/C [0 1 1]
/H /I
/P 17 0 R
/Rect [515.272 759.787 560.272 795.795]
/Subtype /Link
/Type /Annot
>>
endobj
41 0 obj
<<
/A <<
/S /URI
/Type /Action
/URI (https://orcid.org/0000-0002-6143-289X)
>>
/Border [0 0 0]
/C [0 1 1]
/H /I
/P 17 0 R
/Rect [215.904 659.988 226.968 673.602]
/Subtype /Link
/Type /Annot
>>
endobj
42 0 obj
<<
/A <<
/S /URI
/Type /Action
/URI (https://doi.org/10.3390/su13042286)
>>
/Border [0 0 0]
/C [0 1 1]
/H /I
/P 17 0 R
/Rect [147.63 346.632 154.088 355.588]
/Subtype /Link
/Type /Annot
>>
endobj
43 0 obj
<<
/A <<
/S /URI
/Type /Action
/URI (https://doi.org/10.3390/su13042286)
>>
/Border [0 0 0]
/C [0 1 1]
/H /I
/P 17 0 R
/Rect [35.004 334.665 151.276 343.67]
/Subtype /Link
/Type /Annot
>>
endobj
44 0 obj
<<
/A <<
/S /URI
/Type /Action
/URI (https://creativecommons.org/)
>>
/Border [0 0 0]
/C [0 1 1]
/H /I
/P 17 0 R
/Rect [35.004 162.955 97.176 184.79]
/Subtype /Link
/Type /Annot
>>
endobj
45 0 obj
<<
/A <<
/S /URI
/Type /Action
/URI (https://creativecommons.org/licenses/by/4.0/)
>>
/Border [0 0 0]
/C [0 1 1]
/H /I
/P 17 0 R
/Rect [153.364 89.437 154.088 98.441]
/Subtype /Link
/Type /Annot
>>
endobj
46 0 obj
<<
/A <<
/S /URI
/Type /Action
/URI (https://creativecommons.org/licenses/by/4.0/)
>>
/Border [0 0 0]
/C [0 1 1]
/H /I
/P 17 0 R
/Rect [35.004 77.511 147.454 86.516]
/Subtype /Link
/Type /Annot
>>
endobj
47 0 obj
<<
/A <<
/D (cite.B1-sustainability-1071460)
/S /GoTo
>>
/Border [0 0 0]
/C [0 1 0]
/H /I
/P 17 0 R
/Rect [543.161 234.565 550.135 243.491]
/Subtype /Link
/Type /Annot
>>
endobj
48 0 obj
<<
/A <<
/D (cite.B2-sustainability-1071460)
/S /GoTo
>>
/Border [0 0 0]
/C [0 1 0]
/H /I
/P 17 0 R
/Rect [549.158 184.353 556.132 193.279]
/Subtype /Link
/Type /Annot
>>
endobj
49 0 obj
<<
/A <<
/D (cite.B3-sustainability-1071460)
/S /GoTo
>>
/Border [0 0 0]
/C [0 1 0]
/H /I
/P 17 0 R
/Rect [352.48 171.616 359.454 180.726]
/Subtype /Link
/Type /Annot
>>
endobj
50 0 obj
<<
/A <<
/D (cite.B4-sustainability-1071460)
/S /GoTo
>>
/Border [0 0 0]
/C [0 1 0]
/H /I
/P 17 0 R
/Rect [550.047 159.247 557.021 168.173]
/Subtype /Link
/Type /Annot
>>
endobj
51 0 obj
<<
/A <<
/D (cite.B5-sustainability-1071460)
/S /GoTo
>>
/Border [0 0 0]
/C [0 1 0]
/H /I
/P 17 0 R
/Rect [513.461 133.957 520.435 143.068]
/Subtype /Link
/Type /Annot
>>
endobj
52 0 obj
<<
/A <<
/D (cite.B6-sustainability-1071460)
/S /GoTo
>>
/Border [0 0 0]
/C [0 1 0]
/H /I
/P 17 0 R
/Rect [288.573 96.298 295.546 105.409]
/Subtype /Link
/Type /Annot
>>
endobj
53 0 obj
<<
/A <<
/D (cite.B7-sustainability-1071460)
/S /GoTo
>>
/Border [0 0 0]
/C [0 1 0]
/H /I
/P 17 0 R
/Rect [549.927 83.929 556.901 92.856]
/Subtype /Link
/Type /Annot
>>
endobj
54 0 obj
<<
/A <<
/S /URI
/Type /Action
/URI (https://doi.org/10.3390/su13042286)
>>
/Border [0 0 0]
/C [0 1 1]
/H /I
/P 17 0 R
/Rect [134.374 17.873 266.972 28.022]
/Subtype /Link
/Type /Annot
>>
endobj
55 0 obj
<<
/A <<
/S /URI
/Type /Action
/URI (https://www.mdpi.com/journal/sustainability)
>>
/Border [0 0 0]
/C [0 1 1]
/H /I
/P 17 0 R
/Rect [387.235 17.873 558.279 28.022]
/Subtype /Link
/Type /Annot
>>
endobj
56 0 obj
<<
/A <<
/IsMap false
/S /URI
/Type /Action
/URI (https://www.mdpi.com/2071-1050/13/4/2286?type=check_update&version=2)
>>
/Border [0 0 0]
/H /I
/P 17 0 R
/Rect [35 411.17 87.24 430.17]
/Subtype /Link
>>
endobj
57 0 obj
<<
/Length 605
/Filter /FlateDecode
>>
stream
HTMO@W1jO|Z-.@vT{إZ(Rvf<XӊB 0I^-Y=[#Zʀ5)FO#4VW>8N7 u|;ge҇{RzPbT.n,xe(g]
gpͶ-4bpYdz,HPML`fU:'w,z%]XRCgHj1>*WH!~$*CX6E^sIi˴ޢa5+ X7"YRٶEGsU,ː/6V@I?r3=ȷYiٟ.{@/q0:}IRYk-jKMuRDƌq$E ^ns;)-ZAj)w4հv%cj[
N=NQM?(