Asymmetric effect of COVID-19 pandemic on E7 stock indices: Evidence from quantile-on-quantile regression approach.
COVID-19
E7 stock markets
Quantile cointegration
Quantile-on-quantile regression
Journal
Research in international business and finance
ISSN: 1878-3384
Titre abrégé: Res Int Bus Finance
Pays: United States
ID NLM: 101774367
Informations de publication
Date de publication:
Dec 2021
Dec 2021
Historique:
received:
26
06
2020
revised:
18
06
2021
accepted:
19
06
2021
entrez:
15
9
2021
pubmed:
16
9
2021
medline:
16
9
2021
Statut:
ppublish
Résumé
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.
Identifiants
pubmed: 34522058
doi: 10.1016/j.ribaf.2021.101485
pii: S0275-5319(21)00106-9
pmc: PMC8427978
doi:
Types de publication
Journal Article
Langues
eng
Pagination
101485Informations de copyright
© 2021 Elsevier B.V. All rights reserved.
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