Sector-by-sector analysis of dependence dynamics between global large-cap companies and infectious diseases: A time-varying copula approach in EBOV and COVID-19 episodes

Autor: Mahdi Ghaemi Asl, Hamid Reza Tavakkoli, Muhammad Mahdi Rashidi
Jazyk: angličtina
Rok vydání: 2021
Předmět:
Zdroj: PLoS ONE, Vol 16, Iss 11 (2021)
Druh dokumentu: article
ISSN: 1932-6203
Popis: Infectious diseases and widespread outbreaks influence different sectors of the economy, including the stock market. In this article, we investigate the effect of EBOV and COVID-19 outbreaks on stock market indices. We employ time-varying and constant bivariate copula methods to measure the dependence structure between the infectious disease equity market volatility index (IEMV) and the stock market indices of several sectors. The results show that the financial and communication services sectors have the highest and the lowest negative dependency on IEMV during the Ebola virus (EBOV) pandemic, respectively. However, the health care and energy sectors have the highest and lowest negative dependency on IEMV during the COVID-19 outbreak, respectively. Therefore, the results confirm the heterogeneous time-varying dependency between infectious diseases and the stock market indices. The finding of our study contributes to the ongoing literature on the impact of disease outbreaks, especially the novel coronavirus outbreak on global large-cap companies in the stock market.
Databáze: Directory of Open Access Journals
Externí odkaz:
Nepřihlášeným uživatelům se plný text nezobrazuje