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Stock market responses to COVID-19: The behaviors of mean reversion, dependence and persistence()
We examine stock market responses during the COVID-19 pandemic period using fractional integration techniques. The evidence suggests that stock markets generally follow a synchronized movement before and the stages of the pandemic shocks. We find while mean reversion significantly declines, the degr...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier
2023
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10069932/ https://www.ncbi.nlm.nih.gov/pubmed/37035356 http://dx.doi.org/10.1016/j.heliyon.2023.e15084 |