新冠肺炎期间股市的不确定性治理：世界上最严格经济体的证据

IF 9 1区经济学 Q1 BUSINESS, FINANCE

China Finance Review International Pub Date : 2022-12-06 DOI:10.1108/cfri-07-2022-0109

Sakine Owjimehr, Hooman Hasanzadeh Dastfroosh

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引用次数: 6

摘要

目的根据政府反应追踪（oxCGRT）指数，2020年1月至2022年5月，对冠状病毒大流行最严格的政策反应属于意大利、中国、香港、希腊、奥地利、秘鲁、新加坡和马来西亚。主要问题是：“这种严格程度是否能够降低股市的不确定性？”设计/方法论/方法为了实现这一目标，作者调查了oxCGRT指数的影响，并在GARCH、EGARCH和TGARCH模型中，新冠肺炎的增长率证实了2020年1月至2022年5月股市不确定性的病例。发现在这些国家中，oxCGRT指数只降低了马来西亚和新加坡股市的不确定性。这一结果表明，适当的政府政策应对模式比严格程度更重要。原创性/价值该研究将通过考察综合oxCGRT指数对股市不确定性的影响，为现有文献做出贡献。

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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Uncertainty governance in the stock market during the COVID-19: evidence of the strictest economies in the world

PurposeAccording to the Government Response tracker (oxCGRT) index, the strictest policy responses to the coronavirus pandemic from January 2020 to May 2022 belong to Italy, China, Hong Kong, Greece, Austria, Peru, Singapore and Malaysia. The main question is: “this level of strictness has been able to reduce the uncertainty of the stock market?”Design/methodology/approachTo achieve this goal, the authors investigated the effect of oxCGRT index, and the growth rate of COVID-19 confirms cases on stock market uncertainty from January 2020 to May 2022 in the GARCH, EGARCH and TGARCH models.FindingsAmong these countries, the oxCGRT index has reduced uncertainty in the stock market only in Malaysia and Singapore. This result says an appropriate pattern of applying government policy responses is more important than the degree of stringency.Originality/valueThe study will contribute to the existing literature by examining the impact of the comprehensive oxCGRT index on the uncertainty of the stock market.

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来源期刊

China Finance Review International BUSINESS, FINANCE-

CiteScore

12.40

自引率

1.20%

发文量

112

期刊介绍： China Finance Review International publishes original and high-quality theoretical and empirical articles focusing on financial and economic issues arising from China's reform, opening-up, economic development, and system transformation. The journal serves as a platform for exchange between Chinese finance scholars and international financial economists, covering a wide range of topics including monetary policy, banking, international trade and finance, corporate finance, asset pricing, market microstructure, corporate governance, incentive studies, fiscal policy, public management, and state-owned enterprise reform.