2023
DOI: 10.1016/j.ribaf.2023.101882
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COVID-19 and stock returns: Evidence from the Markov switching dependence approach

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Cited by 32 publications
(8 citation statements)
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“…They assume that the dependence structure between financial assets is constant regardless of market conditions. In response to this limitation, Markov regime-switching copula models have been developed [16][17][18]54]. These models are highlighted for their ability to eliminate the need to temporally determine the point of change in the dependence structure, as emphasized by Boubaker and Sghaier [55].…”
Section: Literature Reviewmentioning
confidence: 99%
“…They assume that the dependence structure between financial assets is constant regardless of market conditions. In response to this limitation, Markov regime-switching copula models have been developed [16][17][18]54]. These models are highlighted for their ability to eliminate the need to temporally determine the point of change in the dependence structure, as emphasized by Boubaker and Sghaier [55].…”
Section: Literature Reviewmentioning
confidence: 99%
“…Due to the time‐varying nature of financial variables, especially exhibiting significant regime‐switching behavior before and after some stream events, like COVID‐19, and so forth. The nonlinear dynamics analysis framework, the Markov switching technique, is always used in describing the character of financial variables (Bouteska et al, 2023; Just & Echaust, 2020; Liu & Lee, 2021). Besides, some non‐parametric techniques, like recurrence quantification analysis and cross‐recurrence plot analysis, are also applied in financial research.…”
Section: Literature Reviewmentioning
confidence: 99%
“…Tuffour et al ( 2021 ) indicated that soft loans, guarantee support, and statutory payment interventions seem to support small enterprises in revamping their operations. Undoubtedly, the COVID-19-related government interventions affected economic activity and investor sentiment, which were reflected in financial markets (Aharon & Siev, 2021 ; Ahmed et al, 2023 ; Ashraf, 2020 ; Chai et al, 2022 ; He et al, 2020b ; Topcu & Gulal, 2020 ). On the one hand, the interventions have generally been linked to strong negative financial market reactions (Aharon & Siev, 2021 ).…”
Section: Introductionmentioning
confidence: 99%