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Asymmetric effect of COVID-19 pandemic on E7 stock indices: Evidence from quantile-on-quantile regression approach
Research in International Business and Finance ( IF 6.3 ) Pub Date : 2021-06-23 , DOI: 10.1016/j.ribaf.2021.101485
Shabir Mohsin Hashmi 1 , Bisharat Hussain Chang 2 , Li Rong 3
Affiliation  

Various studies have been conducted to examine the effect of COVID-19 on stock prices. However, these studies failed to examine the effect across quantile distributions of both dependent and independent variables. This study pays particular attention to the emerging 7 countries and examines the effect of the novel coronavirus 2019 (COVID-19) pandemic on stock prices. We use quantile unit root and quantile cointegration tests to examine the integrating properties of COVID-19 cases and deaths with stock prices and use quantile-on-quantile regression (QQR) to examine the relationship across quantile distributions of both dependent and independent variables. Quantile cointegration estimates indicate that stock prices are integrated with COVID-19 cases whereas QQR estimates indicate a weak positive relationship at the upper quantiles of stock prices, and a strong negative effect is found at the lower quantiles of stock prices. Policy implications are recommended based on the findings of this study.



中文翻译:


COVID-19 大流行对 E7 股指的不对称影响:来自分位数回归方法的证据



已经进行了各种研究来检验 COVID-19 对股票价格的影响。然而,这些研究未能检验因变量和自变量的分位数分布的影响。本研究特别关注新兴 7 个国家,并探讨了 2019 年新型冠状病毒(COVID-19)大流行对股价的影响。我们使用分位数单位根和分位数协整检验来检查 COVID-19 病例和死亡人数与股票价格的整合特性,并使用分位数对分位数回归 (QQR) 来检查因变量和自变量的分位数分布之间的关系。分位数协整估计表明,股票价格与 COVID-19 病例相结合,而 QQR 估计表明,股票价格上分位数存在弱正相关关系,而股票价格下分位数存在强烈的负相关关系。根据本研究的结果提出了政策建议。

更新日期:2021-06-28
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