How have the dependence structures between stock markets and economic factors changed during the COVID-19 pandemic?

Dong, Xiyong; Li, Song; Yoon, Seong‐Min

doi:10.1016/j.najef.2021.101546

Cited by 23 publications

(9 citation statements)

References 17 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…2 There are three approaches to cover stock prices on an international level in this context: first, by using some global or international stock index; second, by focusing on cross‐country comparisons; and, third, by using a panel structure to cope with the overall stock performance in a set of countries. The analysis by Dong et al ( 2021 ) falls into the first category. The authors use the Morgan Stanley Capital International (MSCI) emerging Asia and MSCI world index in a time‐varying parameter framework, to observe changes in the estimated coefficients before and after the start of the COVID pandemic.…”

Section: Literature Reviewmentioning

confidence: 99%

The stock market and NO₂ emissions effects of COVID‐19 around the world

Klose¹,

Tillmann

2022

Economics & Politics

View full text Add to dashboard Cite

In this paper, we study the impact of the coronavirus disease 2019 pandemic in estimated panel vector autoregression models for 92 countries. The large cross‐section of countries allows us to shed light on the heterogeneity of the responses of stock markets and nitrogen dioxide emissions as high‐frequency measures of economic activity. We quantify the effect of the number of infections and four dimensions of policy measures: (1) containment and closure, (2) movement restrictions, (3) economic support, and (4) adjustments of health systems. Our main findings show that a surprise increase in the number of infections triggers a drop in our two measures of economic activity. Propping up economic support measures, in contrast, raises stock returns and emissions and, thus, contributes to the economic recovery. We also document vast differences in the responses across subsets of countries and between the first and the second wave of infections.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

The stock market and NO₂ emissions effects of COVID‐19 around the world

Klose¹,

Tillmann

2022

Economics & Politics

View full text Add to dashboard Cite

show abstract

“…Dong et al [16] check the alteration of affiliated structures between the stock markets and economic factors during the COVID-19 epidemic. Obtained results indicate that the stock market is mostly affected by economic factors during the COVID-19 outbreak.…”

Section: Literature Reviewmentioning

confidence: 99%

Economic policy uncertainty and the US stock market trading: non-ARDL evidence

2022

View full text Add to dashboard Cite

The present study investigates the impact of economic policy uncertainty, and economic factors on the stock market index in the USA using Non-ARDL and Quantile models. The findings reveal that declining economic and economic-political factors will increase the stock market index in the US. The results indicate that the effect of inflation and GDP variables follows a nonlinear pattern. Similar results using quantitative regression showed asymmetric impacts of inflation and GDP on stock market transactions.

show abstract

“…Critical analysis of responses and behavioral changes in stock markets of emerging and developing markets in a new normal time horizon has garnered growing traction amongst academicians and practitioners owing to enormous practical relevance ( Ashraf, 2020 , Ashraf, 2021 , Dong et al, 2021 , Yousfi et al, 2021 , Ali et al, 2022 , Yuan et al, 2023 ). In the context of the COVID-19 pandemic, the degree of uncertainty of financial markets regarding the ever-changing external news is arduous and extremely important to monitor ( Cepoi, 2020 , Apostolakis et al, 2021 , Rehman et al, 2022 ).…”

Section: Introductionmentioning

confidence: 99%