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Evaluation of Changes on World Stock Exchanges in Connection with the SARS-CoV-2 Pandemic. Survival Analysis Methods
Risks Pub Date : 2021-06-22 , DOI: 10.3390/risks9070121
Beata Bieszk-Stolorz , Krzysztof Dmytrów

The aim of our research was to compare the intensity of decline and then increase in the value of basic stock indices during the SARS-CoV-2 coronavirus pandemic in 2020. The survival analysis methods used to assess the risk of decline and chance of rise of the indices were: Kaplan–Meier estimator, logit model, and the Cox proportional hazards model. We observed the highest intensity of decline in the European stock exchanges, followed by the American and Asian plus Australian ones (after the fourth and eighth week since the peak). The highest risk of decline was in America, then in Europe, followed by Asia and Australia. The lowest risk was in Africa. The intensity of increase was the highest in the fourth and eleventh week since the minimal value had been reached. The highest odds of increase were in the American stock exchanges, followed by the European and Asian (including Australia and Oceania), and the lowest in the African ones. The odds and intensity of increase in the stock exchange indices varied from continent to continent. The increase was faster than the initial decline.

中文翻译:

评估与 SARS-CoV-2 大流行相关的世界证券交易所变化。生存分析方法

我们研究的目的是比较 2020 年 SARS-CoV-2 冠状病毒大流行期间基本股票指数的下跌强度和随后上涨的价值。 用于评估下跌风险和上涨机会的生存分析方法这些指标是:Kaplan-Meier 估计量、logit 模型和 Cox 比例风险模型。我们观察到欧洲证券交易所的跌幅最大,其次是美国和亚洲及澳大利亚证券交易所(在自峰值以来的第四周和第八周之后)。下降风险最高的是美国,其次是欧洲,其次是亚洲和澳大利亚。风险最低的是非洲。增加的强度在第 4 周和第 11 周达到最低值以来最高。涨幅最大的是美国证券交易所,其次是欧洲和亚洲(包括澳大利亚和大洋洲),非洲最低。各大洲股市指数上涨的几率和强度各不相同。增长速度快于最初的下降。
更新日期:2021-07-27
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