Impact of Epidemic Infectious Disease and Death on Stock Return: Evidences from Asian Stock Markets with COVID-19

This study empirically examines the return transmission effects between the four North and Latin American stock markets in the US, Canada, Brazil, and Mexico. More specifically, applying a standard vector autoregression (VAR) model, we obtain the following interesting findings. First, (1) the return transmission effects between the four North and Latin American stock markets became much tighter in our second subsample period. Second, (2) in particular, US and Mexican stock markets are strong return transmitters in the recent period. Furthermore, (3) both in our first and second subsample periods, Brazilian stock returns do not transmit to the other three stock returns, although the other three North and Latin American stock markets affect the Brazilian stock market.

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An examination of the relationship between the disposition effect and stock return, volatility, and trading volume: the evidence in US stock markets

International Journal of Managerial and Financial Accounting ◽

10.1504/ijmfa.2017.10007757 ◽

2017 ◽

Vol 9 (3) ◽

pp. 242

Author(s):

Hatem Afi

Keyword(s):

Stock Markets ◽

Trading Volume ◽

Stock Return ◽

Disposition Effect ◽

Return Volatility ◽

Stock Return Volatility ◽

The Relationship

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Behaviour of Stock Return Autocorrelation in the GCC Stock Markets

Global Business Review ◽

10.1177/0972150915591420 ◽

2015 ◽

Vol 16 (5) ◽

pp. 737-746 ◽

Cited By ~ 4

Author(s):

Shah Saeed Hassan Chowdhury ◽

M. Arifur Rahman ◽

M. Shibley Sadique

Keyword(s):

Stock Markets ◽

Stock Return

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THE VOLATILITY TRANSMISSION OF MAIN GLOBAL STOCK'S RETURN TO INDONESIA

Buletin Ekonomi Moneter dan Perbankan ◽

10.21098/bemp.v20i2.813 ◽

2017 ◽

Vol 20 (2) ◽

pp. 229-256

Author(s):

Linda Karlina Sari ◽

Noer Azam Achsani ◽

Bagus Sartono

Keyword(s):

Stock Market ◽

Stock Returns ◽

Stock Markets ◽

Stock Return ◽

Global Financial Crisis ◽

Symmetric Model ◽

Return Volatility ◽

Stock Return Volatility ◽

Volatility Transmission ◽

The Impact

Stock return volatility is a very interesting phenomenon because of its impact on global financial markets. For instance, an adverse shocks in one country’s market can be transmitted to other countries’ market through a particular mechanism of transmission, causing the related markets to experience financial instability as well (Liu et al., 1998). This paper aims to determine the best model to describe the volatility of stock returns, to identify asymmetric effect of such volatility, as well as to explore the transmission of stocks return volatilities in seven countries to Indonesia’s stock market over the period 1990-2016, on a daily basis. Modeling of stock return volatility uses symmetric and asymmetric GARCH, while analysis of stock return volatility transmission utilizes Vector Autoregressive system. This study found that the asymmetric model of GARCH, resulted from fitting the right model for all seven stock markets, provides a better estimation in portraying stock return volatility than symmetric model. Moreover, the model can reveal the presence of asymmetric effects on those seven stock markets. Other finding shows that Hong Kong and Singapore markets play dominant roles in influencing volatility return of Indonesia’s stock market. In addition, the degree of interdependence between Indonesia’s and foreign stock market increased substantially after the 2007 global financial crisis, as indicated by a drastic increase of the impact of stock return volatilities in the US and UK market on the volatility of Indonesia’s stock return.

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Impact of epidemic infectious disease and death on stock returns: Evidences from Asian stock markets with COVID-19

Contemporary Research: An Interdisciplinary Academic Journal ◽

10.3126/craiaj.v4i1.32759 ◽

2020 ◽

Vol 4 (1) ◽

pp. 174-191

Author(s):

Shiba Prasad Sapkota

Keyword(s):

Infectious Disease ◽

Saudi Arabia ◽

Stock Returns ◽

United Arab Emirates ◽

Stock Return ◽

Geographical Area ◽

Categorical Variables ◽

Causality Test ◽

Specific Impact ◽

Country Specific

The causal comparative study regarding impact of pandemic COVID-19 on stock return revealed that the changes on daily confirmed new cases have been severely inflected stock returns in overall as well as cross-over the industries. Whereas, the influence of death form COVID-19 found negative but mostly insignificant. The categorical variables size of economy, geographical area, regulations, and country specific impact have been found very low. The empirical evidences were examined using causality test with the backing of regression. The study period has covered 20thJanuary to 30thMay 2020, considering eight nations: China, India, Israel, Japan, Korea Republic, Malaysia, Saudi Arabia, and United Arab Emirates, as samples.

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