An ESILV professor, Matthieu Garcin, is at the origin of two new studies focusing on the impact of COVID-19 on stock markets and the effects of the crisis on market efficiency. In these studies, Matthieu Garcin and his co-authors propose a new outlook on this financial crisis and an original method, outlining the chronology of the crisis and the daily variations in market efficiency.
Many pieces of research tackle the question of the impact of the pandemic on financial markets and emphasise the exceptional amplitude of the crisis. The paper co-authored by Matthieu Garcin, “Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets“, focuses on a new statistical method to describe the chronology of the financial crisis caused by Covid-19.
“We apply our new method to several stock indices before and during the financial crisis induced by the COVID-19 in the US, in Europe, and in Asia. This makes it possible to determine the interval of dates for which the distribution of price returns significantly indicates a financial crisis. In particular, we observe that the speed at which markets recover varies a lot among the regions considered.” (Matthieu Garcin, Jules Klein, Sana Laaribi)
The second paper, titled “Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics” refers to market efficiency as a mean to regulate market prices, price returns and profitability during times of crisis.
“The application to stock indices during the COVID-19 crisis shows a strong loss of efficiency for US indices. On the opposite, Asian and Australian indices seem less affected, and the inefficiency of these markets during the COVID-19 crisis is even questionable.” (Matthieu Garcin, Ayoub Ammy-Driss)
Seven 4th year students from ESILV, majoring in Financial Engineering, were part of the study regarding time-varying densities in finance and differences between countries in terms of daily price returns and time of recovery. The Financial Engineering and Quantitative Finance major at ESILV trains students in a variety of skills necessary to understand and master the complexity of modern financial markets. The programme tackles the reality and trends of the current banking industry and financial markets. Industrial innovation projects, carried by students in the fourth and the last year of the engineering cycle at ESILV, are at the heart of the financial engineering training and enable students to highlight their work and increase their visibility to the companies.
