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The Impact of COVID-19 Pandemic on Emerging Country Stock Markets: Evidence of the Value Effect
Emerging Markets Finance and Trade ( IF 4.859 ) Pub Date : 2021-09-18 , DOI: 10.1080/1540496x.2021.1973423
Yang Yang 1 , Lingyi Li 1 , Jialing Jiang 2
Affiliation  

ABSTRACT

We examine the impact of the COVID-19 pandemic on seven emerging stock markets by focusing on the value effect. Our results show that there are significant differences in the value premia before and during the pandemic. Furthermore, the traditional value proxies are no longer good predictors of future stock returns. To further capture the impact the pandemic’s progress on stock returns, we estimate Fama-MacBeth regressions by introducing proxies of the pandemic. We uncover heterogeneous responses of emerging markets to the pandemic. These findings provide a wealth of insights on the presence and driving force relevant to the value effect.



中文翻译:

COVID-19 大流行对新兴国家股票市场的影响:价值效应的证据

摘要

我们通过关注价值效应来研究 COVID-19 大流行对七个新兴股票市场的影响。我们的结果表明,大流行之前和大流行期间的价值溢价存在显着差异。此外,传统的价值代理不再是未来股票回报的良好预测指标。为了进一步了解大流行对股票回报的影响,我们通过引入大流行的代理来估计 Fama-MacBeth 回归。我们发现新兴市场对大流行的不同反应。这些发现为与价值效应相关的存在和驱动力提供了丰富的见解。

更新日期:2021-09-18
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