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.

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。