COVID-19 对台湾股市的影响

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-08-26 DOI:10.1016/j.najef.2024.102280

Mei-Chih Wang , Hao-Wen Chang , Tsangyao Chang

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引用次数: 0

摘要

本研究结合利率、原油价格和汇率等因素，考察了 2020 年 1 月 30 日至 2023 年 4 月 14 日期间已确认的 COVID-19 案例对台湾股市回报率的影响。结果显示，COVID-19 案例与股票回报率之间存在明显的短期和中期跨量纲依赖关系，但在较长的滞后期内，这种关系有所减弱。研究结果凸显了台湾股市对每日案例增加的敏感性，随着时间的推移，相关性会发生变化，尤其是在中低数量级，这表明依赖结构正在发生变化。

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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Impact of COVID-19 on Taiwanese stock market

This study examines the impact of confirmed COVID-19 cases on Taiwan’s stock market returns from January 30, 2020, to April 14, 2023, incorporating factors including interest rates, crude oil prices, and exchange rates. Results show significant short and medium-term cross-quantile dependence between COVID-19 cases and stock returns, weakening the relationship over extended lag periods. The findings highlight the Taiwanese stock market’s sensitivity to daily case increases, with varying correlations over time, especially in lower and medium quantiles, indicating changing dependency structures.

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.