大流行病的影响:Covid-19 爆发期间亚太股票市场的波动溢出效应

IF 6.3 2区 经济学 Q1 BUSINESS, FINANCE
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引用次数: 0

摘要

2019 年末,Covid-19 的出现迅速打破了亚太地区这个经济活力的堡垒,使其成为全球健康危机的中心。这场史无前例的大流行病不仅引发了一场公共卫生灾难,还引发了一场金融风暴,暴露了该地区相互关联的经济体内部的脆弱性。本研究确定了在 Covid-19 大流行的第一波(2020 年 1 月至 2021 年 2 月)期间亚太地区金融市场波动溢出效应的驱动因素。我们分析了大流行病传播动态、政府干预、中央银行政策和社会经济变量之间的相互作用。我们的研究结果表明,每百万人中 Covid-19 病例数的上升与波动溢出效应之间存在稳健而持久的联系。我们引入了三个新的决定因素--重症监护病房床位数、人口密度和老年人口比例--这三个因素对新病例的波动传播有显著影响。政府的严厉措施,如旅行禁令和封锁,会减轻波动的溢出效应。相反,中央银行的政策则会增加波动的溢出效应。这些见解有助于加深对全球卫生紧急情况下金融市场动态的理解。这些知识为亚太地区的政策制定者提供了驾驭未来危机的宝贵工具。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A Pandemic's grip: Volatility spillovers in Asia-Pacific equity markets during the onset of Covid-19

The emergence of Covid-19 in late 2019 rapidly shattered the Asia-Pacific region (APR), a bastion of economic dynamism, and it became the epicenter of the global health crisis. This unprecedented pandemic not only triggered a public health catastrophe but also unleashed a financial storm, exposing vulnerability within the region's interconnected economies. This study identifies the factors driving volatility spillovers within Asian-Pacific financial markets during the initial wave of the Covid-19 pandemic (January 2020–February 2021). We analyze the interplay of pandemic transmission dynamics, government interventions, central bank policies, and socioeconomic variables. Our findings reveal a robust and persistent association between the rising number of Covid-19 cases per million and volatility spillovers. We introduce three novel determinants—the number of intensive care unit beds, population density, and the proportion of the elderly population—which significantly impact volatility transmission in response to new cases. Stringent government measures, such as travel bans and lockdowns, mitigate volatility spillovers. Conversely, central bank policies increase volatility spillovers. These insights contribute to a deeper understanding of financial market dynamics in the context of global health emergencies. This knowledge equips policy makers in the APR with valuable tools for navigating future crises.

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来源期刊
CiteScore
7.60
自引率
3.80%
发文量
130
审稿时长
26 days
期刊介绍: Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations
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