股市对COVID-19封锁的反应:道琼斯指数、CAC 40指数、DAX指数和富时100指数

Q3 Economics, Econometrics and Finance

International Journal of Business and Emerging Markets Pub Date : 2023-01-01 DOI:10.1504/ijbem.2023.134076

Amal Bakour, Fatma Abidi Aloui

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引用次数: 0

摘要

本研究的主要目的是利用GARCH、EGARCH和ICSS算法估计新冠肺炎出现以来4个主要指数的波动率以及封锁效应。我们的样本包括2019年1月2日至2021年2月19日的每日数据，这是道琼斯指数、CAC 40指数、富时100指数和DAX指数。结果表明，冲击持久性对波动性收益的持久性具有不利的永久性影响。此外，封锁和疫苗接种对股票回报有积极影响。

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Stock market response to the COVID-19 lockdown: the case of Dow Jones, CAC 40, DAX and FTSE 100

The major objective of this study is to estimate the volatility of four major indices since the appearance of COVID-19 as well as the lockdown effect, by using GARCH, EGARCH and ICSS algorithm. Our sample includes daily data from January 2, 2019 to February 19, 2021 and this for the case of Dow Jones, CAC 40, FTSE 100 and DAX. The results show that shock persistence has a detrimental and permanent effect on the persistence of volatility returns. In addition, lockdown and vaccination have a positive effect on stock returns.

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来源期刊

International Journal of Business and Emerging Markets Business, Management and Accounting-Business and International Management

CiteScore

1.40

自引率

0.00%

发文量