The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model
| Autor: | Qasim Raza Syed, Roni Bhowmik, Raja Fawad Zafar, Noreen Khalid |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: | |
| Zdroj: | Etikonomi, Vol 20, Iss 2, Pp 225-238 (2021) |
| ISSN: | 2461-0771 1412-8969 |
| Popis: | The purpose of this study is to probe the impact of the novel coronavirus (COVID-19) outbreak on stock market returns and volatility in developed markets. We employ a panel quantile regression model to capture unobserved individual heterogeneity and distributional heterogeneity. The study's findings reveal that there is a heterogeneous impact of COVID-19 on stock market returns and volatility. More specifically, there is a negative impact of COVID-19 on stock returns in the bearish stock market; however, there is an insignificant impact of COVID-19 on stock returns in the bullish stock market. Furthermore, COVID-19 has a positive impact on stock market volatility across all quantiles.JEL Classification: G24, G30, O16How to Cite:Khalid, N., Zafar, R. F., Syed, Q. R., Bhowmik, R., & Jamil, M. (2021). The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model. Etikonomi, 20(2), xx – xx. https://doi.org/10.15408/etk.v20i2.20587. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|