将国际股票市场的风险状况作为功能数据进行比较:COVID-19 与全球金融危机

IF 1.3 4区 数学 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS
Ryan Liam Shackleton, Sonali Das, Rangan Gupta
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引用次数: 0

摘要

本文旨在对巴西、中国、欧洲、印度、英国和美国等国际股票市场的已实现波动率进行详 细的计量经济学分析,这些市场既有大型发展中市场,也有发达市场。为此,我们使用了函数数据分析(FDA)框架,首先将离散波动率数据转换为连续函数,然后研究连续函数的导数,并提取与波动率系统相关的动能和势能。结果显示,除中国外,COVID-19 对所有国家的国际金融市场波动率均有显著影响。国际金融市场的实际波动率确实在 2020 年 5 月恢复到了 COVID 前的水平,而这一恢复时间明显快于 2008 年金融危机的恢复期。在 FDA 框架内,我们进一步研究了不确定性对已实现波动率的作用,特别是来自传染病(如 COVID-19)爆发和基于日报的传染病指数作为预测因子的不确定性。回归分析表明,金融市场的波动性可以通过该传染病指数进行精确建模,但仅限于发生流行病或大流行的时期。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Comparing risk profiles of international stock markets as functional data: COVID-19 versus the global financial crisis

Comparing risk profiles of international stock markets as functional data: COVID-19 versus the global financial crisis

In this article, we aim to provide a detailed econometric analysis of the realized volatility in international stock markets of Brazil, China, Europe, India, the United Kingdom, and the United States, which represent a mix of large developing, and developed markets. For our purpose, we use the functional data analysis (FDA) framework, whence discrete volatility data were first transformed into continuous functions, and thereafter, derivatives of the continuous functions were investigated, and kinetic and potential energy associated is the volatility system were extracted. Results revealed that COVID-19 indeed had a significant effect on international financial market volatility for all the countries, with the exception of China. The realized volatility of the international financial markets did return to their pre-COVID levels in May 2020, and this recovery time was significantly faster than the 2008 financial crisis recovery period. Within the FDA framework, we further investigated the role of uncertainty on the realized volatility, specifically from an outbreak of an infectious disease (such as COVID-19) and a daily newspaper-based infectious disease index as the predictor. The regression analysis showed that the volatility of financial markets can be accurately modeled by this infectious disease index, but only for periods experiencing an epidemic or pandemic.

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来源期刊
CiteScore
2.70
自引率
0.00%
发文量
67
审稿时长
>12 weeks
期刊介绍: ASMBI - Applied Stochastic Models in Business and Industry (formerly Applied Stochastic Models and Data Analysis) was first published in 1985, publishing contributions in the interface between stochastic modelling, data analysis and their applications in business, finance, insurance, management and production. In 2007 ASMBI became the official journal of the International Society for Business and Industrial Statistics (www.isbis.org). The main objective is to publish papers, both technical and practical, presenting new results which solve real-life problems or have great potential in doing so. Mathematical rigour, innovative stochastic modelling and sound applications are the key ingredients of papers to be published, after a very selective review process. The journal is very open to new ideas, like Data Science and Big Data stemming from problems in business and industry or uncertainty quantification in engineering, as well as more traditional ones, like reliability, quality control, design of experiments, managerial processes, supply chains and inventories, insurance, econometrics, financial modelling (provided the papers are related to real problems). The journal is interested also in papers addressing the effects of business and industrial decisions on the environment, healthcare, social life. State-of-the art computational methods are very welcome as well, when combined with sound applications and innovative models.
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