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Asymmetric effect of COVID-19 pandemic on E7 stock indices: Evidence from quantile-on-quantile regression approach by Hashmi, Shabir Mohsin (author);Chang, Bisharat Hussain (author);Rong, Li (author) is a Economics, Econometrics and Finance article available to read on EtoBox.
What is Asymmetric effect of COVID-19 pandemic on E7 stock indices: Evidence from quantile-on-quantile regression approach about?
Various studies have been conducted to examine the effect of COVID-19 on stock prices. However, these studies failed to examine the effect across quantile distributions of both dependent and independent variables. This study pays particular attention to the emerging 7 countries and examines the effect of the novel coronavirus 2019 (COVID-19) pandemic on stock prices. We use quantile unit root and quantile cointegration tests to examine the integrating properties of COVID-19 cases and deaths with stock prices and use quantile-on-quantile regression (QQR) to examine the relationship across quantile distributions of both dependent and independent variables. Quantile cointegration estimates indicate that stock prices are integrated with COVID-19 cases whereas QQR estimates indicate a weak positive relationship at the upper quantiles of stock prices, and a strong negative effect is found at the lower quantiles of stock prices. Policy implications are recommended based on the findings of this study.
Who reads Asymmetric effect of COVID-19 pandemic on E7 stock indices: Evidence from quantile-on-quantile regression approach?
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- Hashmi, Shabir Mohsin (author);Chang, Bisharat Hussain (author);Rong, Li (author)
- Publisher
- Elsevier BV
- Published
- 2021
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)