Noreen Khalid, Raja Fawad Zafar, Q. Syed, Roni Bhowmik
{"title":"新冠肺炎疫情对股市收益率和波动性的异质性影响：来自面板分位数回归模型的证据","authors":"Noreen Khalid, Raja Fawad Zafar, Q. Syed, Roni Bhowmik","doi":"10.15408/etk.v20i2.20587","DOIUrl":null,"url":null,"abstract":"The purpose of this study is to probe the impact of the novel coronavirus (COVID-19) outbreak on stock market returns and volatility in developed markets. We employ a panel quantile regression model to capture unobserved individual heterogeneity and distributional heterogeneity. The study's findings reveal that there is a heterogeneous impact of COVID-19 on stock market returns and volatility. More specifically, there is a negative impact of COVID-19 on stock returns in the bearish stock market; however, there is an insignificant impact of COVID-19 on stock returns in the bullish stock market. Furthermore, COVID-19 has a positive impact on stock market volatility across all quantiles.JEL Classification: G24, G30, O16How to Cite:Khalid, N., Zafar, R. F., Syed, Q. R., Bhowmik, R., & Jamil, M. (2021). The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model. Etikonomi, 20(2), xx – xx. https://doi.org/10.15408/etk.v20i2.20587.","PeriodicalId":41552,"journal":{"name":"Etikonomi","volume":null,"pages":null},"PeriodicalIF":1.0000,"publicationDate":"2021-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":"{\"title\":\"The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model\",\"authors\":\"Noreen Khalid, Raja Fawad Zafar, Q. Syed, Roni Bhowmik\",\"doi\":\"10.15408/etk.v20i2.20587\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The purpose of this study is to probe the impact of the novel coronavirus (COVID-19) outbreak on stock market returns and volatility in developed markets. We employ a panel quantile regression model to capture unobserved individual heterogeneity and distributional heterogeneity. The study's findings reveal that there is a heterogeneous impact of COVID-19 on stock market returns and volatility. More specifically, there is a negative impact of COVID-19 on stock returns in the bearish stock market; however, there is an insignificant impact of COVID-19 on stock returns in the bullish stock market. Furthermore, COVID-19 has a positive impact on stock market volatility across all quantiles.JEL Classification: G24, G30, O16How to Cite:Khalid, N., Zafar, R. F., Syed, Q. R., Bhowmik, R., & Jamil, M. (2021). The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model. Etikonomi, 20(2), xx – xx. https://doi.org/10.15408/etk.v20i2.20587.\",\"PeriodicalId\":41552,\"journal\":{\"name\":\"Etikonomi\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.0000,\"publicationDate\":\"2021-11-02\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"3\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Etikonomi\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.15408/etk.v20i2.20587\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Etikonomi","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.15408/etk.v20i2.20587","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model
The purpose of this study is to probe the impact of the novel coronavirus (COVID-19) outbreak on stock market returns and volatility in developed markets. We employ a panel quantile regression model to capture unobserved individual heterogeneity and distributional heterogeneity. The study's findings reveal that there is a heterogeneous impact of COVID-19 on stock market returns and volatility. More specifically, there is a negative impact of COVID-19 on stock returns in the bearish stock market; however, there is an insignificant impact of COVID-19 on stock returns in the bullish stock market. Furthermore, COVID-19 has a positive impact on stock market volatility across all quantiles.JEL Classification: G24, G30, O16How to Cite:Khalid, N., Zafar, R. F., Syed, Q. R., Bhowmik, R., & Jamil, M. (2021). The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model. Etikonomi, 20(2), xx – xx. https://doi.org/10.15408/etk.v20i2.20587.
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