The Emerging Stock Markets and Their Asymmetric Response to Infectious Disease Equity Market Volatility (ID-EMV) Index

IF 2 0 ECONOMICS
Asma Salman, Bisharat Hussain Chang, Muthanna G. Abdul Razzaq, Wing-Keung Wong, Mohammed Ahmar Uddin
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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.
新兴市场及其对传染病股票市场波动指数的不对称反应
Baker等人预测的传染病股票市场波动(ID-EMV)指数(Baker, SR, N Bloom, SJ Davis, KJ Kost, MC Sammon和T Viratyosin(2020))。COVID-19对股市的影响前所未有。资产定价研究综述,10(4),742-758),将传染病与COVID-19疾病期间的股票市场波动联系起来。ID-EVM指数考察了对七个发展中国家股市回报的不对称影响:墨西哥、土耳其、巴西、中国、墨西哥、印度和印度尼西亚。该调查应用了各种统计估计,例如,单位根,分位数协整和分位数对分位数回归(QQR)方法。采用分位数协整方法揭示了7个新兴经济体股票收益与传染病EMV指数之间的关系。此外,QQR程序显示,在看涨市场情况下,股票收益受到传染病指数的正影响。而在熊市情况下,股票收益受传染病指数的负向影响,本研究结果具有重要的政策意义。本次调查为COVID-19大流行期间股票市场变异性与传染病指数之间的关系提供了一条有价值的信息。决策者和投资者可以从这个新引入的ID-EMV指数中受益,以了解这种传染病对新兴市场国家的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
6.60
自引率
55.00%
发文量
30
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