新冠肺炎疫情对全球股市的影响

IF 3.5 Q1 BUSINESS, FINANCE
Pattanaporn Chatjuthamard, Pavitra Jindahra, Pattarake Sarajoti, Sirimon Treepongkaruna
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引用次数: 18

摘要

摘要本文研究了COVID - 19对全球股票市场的影响。具体而言,我们测试了确诊病例/死亡人数的增长是否会影响市场质量,通过全球43个股票指数的回报、实现波动率、跳跃和共同跳跃来衡量。我们发现,确诊病例数增长率的增加增加了波动性和跳跃性,同时降低了回报。此外,我们探讨了经济、金融和政治风险是否在确诊病例/死亡人数与市场质量之间的关系中发挥重要作用。总体而言,我们发现来自COVID - 19的风险掩盖了这些风险。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The effect of COVID‐19 on the global stock market
Abstract This paper investigates the effect of COVID‐19 on the global stock market. Specifically, we test whether the growth in the number of confirmed cases/deaths affects market quality, measured by return, realised volatility, jumps and co‐jumps for 43 stock indices around the world. We find that an increase in the growth rate of the number of confirmed cases increases volatility and jumps while reducing return. Further, we explore whether economic, financial and political risks play any significant role in the relation between the number of confirmed cases/deaths and market quality. Overall, we find the risk from COVID‐19 overshadows these risks.
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来源期刊
自引率
10.30%
发文量
21
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