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COVID-19 and stock returns: Evidence from the Markov switching dependence approach
Research in International Business and Finance, Volume: 64, Start page: 101882
Swansea University Author: Abedin Abedin
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DOI (Published version): 10.1016/j.ribaf.2023.101882
Abstract
This paper aims to investigate the regime-switching and time-varying dependence between the COVID-19 pandemic and the US stock markets using a Markov-switching framework. It makes two contributions to the empirical literature by showing that: (a) the variations of the daily reported COVID-19 cases a...
Published in: | Research in International Business and Finance |
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ISSN: | 0275-5319 1878-3384 |
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Elsevier BV
2023
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URI: | https://cronfa.swan.ac.uk/Record/cronfa64244 |
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v2 64244 2023-08-31 COVID-19 and stock returns: Evidence from the Markov switching dependence approach 4ed8c020eae0c9bec4f5d9495d86d415 Abedin Abedin Abedin Abedin true false 2023-08-31 BAF This paper aims to investigate the regime-switching and time-varying dependence between the COVID-19 pandemic and the US stock markets using a Markov-switching framework. It makes two contributions to the empirical literature by showing that: (a) the variations of the daily reported COVID-19 cases and cumulative COVID-19 deaths induced asymmetric lower (left) and upper (right) tail dependence with the stock markets, and its left and right tail dependence exhibited significant time-varying trends; and (b) the left and right tail dependence between the stock markets and the pandemic exhibited significant regime-switching behaviours, with its switching probabilities in the higher tail dependence stage all being greater than in the lower tail dependence stage after 1 December 2019. Moreover, given that there is concurrent but significant financial market reaction to any unexpected emergence of a transmittable respirational disease or a natural calamity, the outcomes have some vital implications to market players and policymakers. Journal Article Research in International Business and Finance 64 101882 Elsevier BV 0275-5319 1878-3384 COVID-19, Markov regime-switching model, GJR-GARCH model, SJC copula functions, US stock markets 31 1 2023 2023-01-31 10.1016/j.ribaf.2023.101882 http://dx.doi.org/10.1016/j.ribaf.2023.101882 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2023-09-20T10:54:43.4650913 2023-08-31T17:45:52.6216536 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Ahmed Bouteska 1 Taimur Sharif 2 Abedin Abedin 3 64244__28584__6433017e0d934ceab8271b17778cb0b9.pdf 64244.VOR.pdf 2023-09-19T14:23:50.7437921 Output 4150964 application/pdf Version of Record true © 2023 The Authors. Published by Elsevier B.V. Distributed under the terms of a Creative Commons Attribution 4.0 License (CC BY 4.0). true eng https://creativecommons.org/licenses/by/4.0/ |
title |
COVID-19 and stock returns: Evidence from the Markov switching dependence approach |
spellingShingle |
COVID-19 and stock returns: Evidence from the Markov switching dependence approach Abedin Abedin |
title_short |
COVID-19 and stock returns: Evidence from the Markov switching dependence approach |
title_full |
COVID-19 and stock returns: Evidence from the Markov switching dependence approach |
title_fullStr |
COVID-19 and stock returns: Evidence from the Markov switching dependence approach |
title_full_unstemmed |
COVID-19 and stock returns: Evidence from the Markov switching dependence approach |
title_sort |
COVID-19 and stock returns: Evidence from the Markov switching dependence approach |
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4ed8c020eae0c9bec4f5d9495d86d415 |
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4ed8c020eae0c9bec4f5d9495d86d415_***_Abedin Abedin |
author |
Abedin Abedin |
author2 |
Ahmed Bouteska Taimur Sharif Abedin Abedin |
format |
Journal article |
container_title |
Research in International Business and Finance |
container_volume |
64 |
container_start_page |
101882 |
publishDate |
2023 |
institution |
Swansea University |
issn |
0275-5319 1878-3384 |
doi_str_mv |
10.1016/j.ribaf.2023.101882 |
publisher |
Elsevier BV |
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Faculty of Humanities and Social Sciences |
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Faculty of Humanities and Social Sciences |
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Faculty of Humanities and Social Sciences |
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School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance |
url |
http://dx.doi.org/10.1016/j.ribaf.2023.101882 |
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description |
This paper aims to investigate the regime-switching and time-varying dependence between the COVID-19 pandemic and the US stock markets using a Markov-switching framework. It makes two contributions to the empirical literature by showing that: (a) the variations of the daily reported COVID-19 cases and cumulative COVID-19 deaths induced asymmetric lower (left) and upper (right) tail dependence with the stock markets, and its left and right tail dependence exhibited significant time-varying trends; and (b) the left and right tail dependence between the stock markets and the pandemic exhibited significant regime-switching behaviours, with its switching probabilities in the higher tail dependence stage all being greater than in the lower tail dependence stage after 1 December 2019. Moreover, given that there is concurrent but significant financial market reaction to any unexpected emergence of a transmittable respirational disease or a natural calamity, the outcomes have some vital implications to market players and policymakers. |
published_date |
2023-01-31T10:54:40Z |
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1777549894676905984 |
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11.021648 |