Does US full vaccination against COVID-19 immunize correspondingly S&amp;P500 index: Evidence from the NARDL approach

Atri, Hanen; Teka, Hanen; Kouki, Saoussen

doi:10.1016/j.heliyon.2023.e15332

Cited by 2 publications

(4 citation statements)

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“…NARDL can capture both the short-and long-run asymmetric effects by developing a model of asymmetric cointegration into a single equation. Thus, NARDL possesses advantageous characteristics compared to alternative linear econometric models for examining cointegration (Sarker et al 2023) and has been widely studied with other financial assets (see, e.g., Gheraia 2022;Ghumro et al 2022;Atri et al 2023;Tang et al 2023).…”

Section: Methodsmentioning

confidence: 99%

“…Baur and Lucey (2010) stated that gold is a safe haven for stock markets, as it exhibits a negative effect and can hedge stock markets in ten developed markets (Ali et al 2020). Similarly, Lei et al (2023) determined that gold prices negatively affected sustainable stock in the developed countries of the Asia-Pacific region and displayed a negative effect on the US stock market in the long run (Atri et al 2023). Raza et al (2016) employ the NARDL model to demonstrate that gold prices have an asymmetrically positive effect on the stock markets of India, Chile, South Africa, Indonesia, and Thailand.…”

Section: Gold and Crude Oil Prices Effects On Sustainable Stockmentioning

confidence: 99%

“…The EPU quantifies the influence on stock markets, and relevant research has revealed the relationship between stock markets and commodity markets, such as gold and crude oil, across different countries (see, e.g., Raza et al 2016;Hoque et al 2019;Atri et al 2023).…”

Section: Introductionmentioning

confidence: 99%

“…In addition to an increase in sustainable stock investments, investors should be aware of portfolio management risks. GPR, VIX, EPU, and commodity price changes in recent years have anticipated consequences with a negative effect on the stock market because they are risky assets that are sensitive to uncertainty and dependent on commodity prices (Kamal et al 2022;Atri et al 2023). Sustainable stocks are negatively affected by EPU and VIX (Shaikh 2022;Naeem et al 2023), while they are positively affected by gold and crude oil prices (Darsono et al 2022).…”

Section: Introductionmentioning

confidence: 99%

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Asymmetric Effects of Uncertainty and Commodity Markets on Sustainable Stock in Seven Emerging Markets

Nittayakamolphun,

Bejrananda,

Pholkerd

2024

JRFM

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The increase in global economic policy uncertainty (EPU), volatility or stock market uncertainty (VIX), and geopolitical risk (GPR) has affected gold prices (GD), crude oil prices (WTI), and stock markets, which present challenges for investors. Sustainable stock investments in emerging markets may minimize and diversify investor risk. We applied the non-linear autoregressive distributed lag (NARDL) model to examine the effects of EPU, VIX, GPR, GD, and WTI on sustainable stocks in seven emerging markets (Thailand, Malaysia, Indonesia, Brazil, South Africa, Taiwan, and South Korea) from January 2012 to June 2023. EPU, VIX, GPR, GD, and WTI showed non-linear cointegration with sustainable stocks in seven emerging markets and possessed different asymmetric effects in the short and long run. Change in EPU increases the return of Thailand’s sustainable stock in the long run. The long-run GPR only affects the return of Indonesian sustainable stock. All sustainable stocks are negatively affected by the VIX and positively affected by GD in the short and long run. Additionally, long-run WTI negatively affects the return of Indonesia’s sustainable stocks. Our findings contribute to rational investment decisions on sustainable stocks, including gold and crude oil prices, to hedge the asymmetric effect of uncertainty.

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