新形式的金融传染:COVID-19和股市反应

Samet Gunay
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引用次数: 44

摘要

COVID-19大流行引发了一种不同的、更严重的传染现象。在本研究中,我们考察了COVID-19大流行对六个不同股票市场的影响。通过四个不同的时间间隔进行实证分析,揭示新冠肺炎大流行的影响。修正后的ICSS检验表明,疫情导致股指波动出现结构性断裂。虽然大多数市场的休市日期在2020年2月19日至21日左右加剧,但对于中国股市来说,休市日期大约提前三周,即2020年1月30日。DCC-MVGARCH和DCC-MVFIGARCH模型说明了COVID-19大流行对动态条件相关性的影响。从无条件相关系数的变化来看,虽然2005年至2019年中国和土耳其股市的相关性减弱,但在疫情后却上升了20%。其他一些市场对也显示出飙升的相关系数,尽管这些增幅较低,约为10%。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A New Form of Financial Contagion: COVID-19 and Stock Market Responses
The COVID-19 pandemic has induced a different and more severe version of the contagion phenomenon. In this study, we examine the influence of the COVID-19 pandemic on six different stock markets. Empirical analyses are conducted for four different time intervals to reveal the effect of the COVID-19 pandemic. The modified ICSS test shows that the pandemic has led to structural breaks in the volatility of stock indexes. While break dates intensify around February 19–21, 2020 in most of the markets, for the Chinese stock market, the break appears approximately three weeks earlier, on January 30, 2020. The DCC-MVGARCH and DCC-MVFIGARCH models illustrate the effect of the COVID-19 pandemic on dynamic conditional correlations. According to the changes in unconditional correlation coefficients, although the relationship of the Chinese and Turkish stock markets weakens across 2005 to 2019, it displays a 20% rise following the pandemic. Some other market pairs also show soaring correlation coefficients, although these increases are lower, at approximately 10%.
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