新冠肺炎对全球金融市场波动性的影响

Q2 Economics, Econometrics and Finance

Buletin Ekonomi Moneter dan Perbankan Pub Date : 2021-03-08 DOI:10.21098/BEMP.V24I0.1464

Anasuya Haldar, N. Sethi

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引用次数: 33

摘要

本研究调查了冠状病毒（新冠肺炎）大流行是否导致传染并对股市产生负面影响。该研究使用了2019年12月至2020年5月期间受灾最严重的10个国家的数据和EGARCH模型，表明市场投机会导致负股票回报和更高的股市波动。此外，双变量时间序列回归和随机效应面板回归的估计均显示新冠肺炎相关媒体报道对股市的显著影响。

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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THE NEWS EFFECT OF COVID-19 ON GLOBAL FINANCIAL MARKET VOLATILITY

This study investigates whether the coronavirus (COVID-19) pandemic caused a contagion and negatively affected the stock market. Using data from the 10 worst-hit countries over the period from December 2019 to May 2020 and an EGARCH model, the study shows that market speculations lead to negative stock returns and higher stock market volatility. Further, estimates of both bivariate time-series regression and random-effects panel regression show significant effects of COVID-19 related media coverage on the stock market.

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来源期刊

Buletin Ekonomi Moneter dan Perbankan Economics, Econometrics and Finance-Finance

CiteScore

2.20

自引率

0.00%

发文量

审稿时长

5 weeks