scholarly journals Causal Relationship Between the Spread of the COVID-19 and Geopolitical Risks in Emerging Economies

2020 ◽  
Vol 8 ◽  
Author(s):  
Liangjun Wang ◽  
Chunding Li ◽  
Xiaohua Chen ◽  
Lili Zhu
Keyword(s):  
Emerging Economies ◽  
Unit Root ◽  
Unit Root Tests ◽  
Panel Unit Root Tests ◽  
Cross Sectional ◽  
Panel Unit Root ◽  
Data Framework ◽  
Causality Tests ◽  
Cross Sectional Dependence ◽  
Geopolitical Risks

This study investigates the causality between the spread of the COVID-19 pandemic (measured by new cases per million and new deaths per million) and geopolitical risks (measured by the index of geopolitical risks). We use the balanced panel data framework in 18 emerging economies from January 2020 to August 2020. We run the initial tests of cross-sectional dependence and the panel unit root tests with capturing cross-sectional dependence. Then, we utilize the panel Granger non-causality tests for heterogeneous stationary panel datasets. According to the findings, there is a significant causality from both measures of spreading the COVID-19 pandemic to geopolitical risks. Further tests are performed, and potential implications are also discussed.

COMPUTING LIMITING LOCAL POWERS AND POWER ENVELOPES OF PANEL MA UNIT ROOT TESTS AND STATIONARITY TESTS

2018 ◽  
Vol 35 (05) ◽  
pp. 978-1011
Author(s):  
Katsuto Tanaka
Keyword(s):  
Unit Root ◽  
Moving Average ◽  
The Other ◽  
Unit Root Tests ◽  
Panel Unit Root Tests ◽  
Cross Sectional ◽  
Panel Unit Root ◽  
Panel Models ◽  
Asymptotically Efficient ◽  
Stationarity Tests

The present article discusses panel unit root tests for two classes of models. One is the moving average (MA) model and the other is the error components model. We conduct score type tests for these models, allowing for various types of regressors, and examine the cross-sectional effect explicitly by presenting an efficient way of computing limiting local powers. It is found that the existence of common regressors does not affect the asymptotic behavior of tests, although heterogeneous regressors do. We also derive the limiting power envelopes for some simple panel models, which shows that the score type panel tests are asymptotically efficient, unlike the time series case.

The random walk in the stock prices of 18 OECD countries

2016 ◽  
Vol 43 (4) ◽  
pp. 598-608
Author(s):  
Hassan Shirvani ◽  
Natalya V. Delcoure
Keyword(s):  
Unit Root ◽  
Stock Prices ◽  
Unit Roots ◽  
Oecd Countries ◽  
Unit Root Tests ◽  
Panel Unit Root Tests ◽  
Cross Sectional ◽  
Panel Unit Root ◽  
Content Type ◽  
Long Run

Purpose The purpose of this paper is to examine the presence of unit roots in the stock prices of 16 OECD countries. Design/methodology/approach Heterogeneous panel unit root tests developed by Im et al. (1997/2003) and Pesaran (2007). Findings Under the assumption of cross-sectional independence across the panel, the authors find no evidence of unit roots, thus failing to reject mean reversion in the stock prices for all the countries in the sample. However, under the assumption of cross-sectional dependence, an assumption borne out by the diagnostic test results, the authors find support for the presence of unit roots in the stock prices. Practical implications Thus, the use of more robust panel unit root tests seems to raise questions about the long-run predictability of the stock market, at least in the context of the OECD countries. Originality/value Thus, it seems that in the long run, an investment policy of buy and hold has still much to offer.

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