Asma Salman, Bisharat Hussain Chang, Muthanna G. Abdul Razzaq, Wing-Keung Wong, Mohammed Ahmar Uddin
{"title":"The Emerging Stock Markets and Their Asymmetric Response to Infectious Disease Equity Market Volatility (ID-EMV) Index","authors":"Asma Salman, Bisharat Hussain Chang, Muthanna G. Abdul Razzaq, Wing-Keung Wong, Mohammed Ahmar Uddin","doi":"10.1142/s2010495223500082","DOIUrl":null,"url":null,"abstract":"The infectious disease equity market volatility (ID-EMV) index, projected by Baker et al. (Baker, SR, N Bloom, SJ Davis, KJ Kost, MC Sammon and T Viratyosin (2020). The unprecedented stock market impact of COVID-19. Review of Asset Pricing Studies, 10(4), 742–758), relates infectious disease to equity market variability during the COVID-19 disease. The ID-EVM index examines the asymmetric influence on the stock market returns of seven developing countries: Mexico, Turkey, Brazil, China, Mexico, India and Indonesia. The investigation applies various statistical estimations, for instance, unit root, quantile cointegration and quantile-on-quantile regression (QQR) approaches. The relation between the stock returns of seven emerging economies and infectious disease EMV index is revealed by the quantile cointegration approach. Additionally, the QQR procedure shows that amid bullish market situation, stock returns are positively influenced by the infectious disease index. While, amid the bearish market situations, stock returns are negatively influenced by infectious disease index, the findings of this research have important policy implications. A piece of valuable information on the nexus between the variability in the equity market and the infectious disease index is provided by this investigation during the COVID-19 pandemic. Policymakers and investors can benefit from this newly introduced ID-EMV index to understand the influence on emerging market countries of this infectious disease.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":"94 1","pages":"0"},"PeriodicalIF":2.0000,"publicationDate":"2023-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annals of Financial Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/s2010495223500082","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"0","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
The infectious disease equity market volatility (ID-EMV) index, projected by Baker et al. (Baker, SR, N Bloom, SJ Davis, KJ Kost, MC Sammon and T Viratyosin (2020). The unprecedented stock market impact of COVID-19. Review of Asset Pricing Studies, 10(4), 742–758), relates infectious disease to equity market variability during the COVID-19 disease. The ID-EVM index examines the asymmetric influence on the stock market returns of seven developing countries: Mexico, Turkey, Brazil, China, Mexico, India and Indonesia. The investigation applies various statistical estimations, for instance, unit root, quantile cointegration and quantile-on-quantile regression (QQR) approaches. The relation between the stock returns of seven emerging economies and infectious disease EMV index is revealed by the quantile cointegration approach. Additionally, the QQR procedure shows that amid bullish market situation, stock returns are positively influenced by the infectious disease index. While, amid the bearish market situations, stock returns are negatively influenced by infectious disease index, the findings of this research have important policy implications. A piece of valuable information on the nexus between the variability in the equity market and the infectious disease index is provided by this investigation during the COVID-19 pandemic. Policymakers and investors can benefit from this newly introduced ID-EMV index to understand the influence on emerging market countries of this infectious disease.