The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach

This paper examines the impact of the novel coronavirus (COVID-19) on the degree and structure of risk-return dependence in the US. The results from quantile regression (QR) indicate a left-tailed asymmetric dependence structure of sectoral returns with market portfolio. Following the COVID-19 outbr...

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Autor principal: Azimli, Asil
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7315952/
https://www.ncbi.nlm.nih.gov/pubmed/32837368
http://dx.doi.org/10.1016/j.frl.2020.101648
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author Azimli, Asil
author_facet Azimli, Asil
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description This paper examines the impact of the novel coronavirus (COVID-19) on the degree and structure of risk-return dependence in the US. The results from quantile regression (QR) indicate a left-tailed asymmetric dependence structure of sectoral returns with market portfolio. Following the COVID-19 outbreak, degree of dependence among returns and market portfolio have increased in the higher quantiles. Further, the outbreak has converted left-tailed dependence into a right-tailed dependence. Interaction among Google Search Index for coronavirus (GSIC) and returns also examined. Findings reveal an asymmetric GSIC-return dependence that is significant in tails.
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spelling pubmed-73159522020-06-25 The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach Azimli, Asil Financ Res Lett Article This paper examines the impact of the novel coronavirus (COVID-19) on the degree and structure of risk-return dependence in the US. The results from quantile regression (QR) indicate a left-tailed asymmetric dependence structure of sectoral returns with market portfolio. Following the COVID-19 outbreak, degree of dependence among returns and market portfolio have increased in the higher quantiles. Further, the outbreak has converted left-tailed dependence into a right-tailed dependence. Interaction among Google Search Index for coronavirus (GSIC) and returns also examined. Findings reveal an asymmetric GSIC-return dependence that is significant in tails. Elsevier Inc. 2020-10 2020-06-25 /pmc/articles/PMC7315952/ /pubmed/32837368 http://dx.doi.org/10.1016/j.frl.2020.101648 Text en © 2020 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Azimli, Asil
The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach
title The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach
title_full The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach
title_fullStr The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach
title_full_unstemmed The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach
title_short The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach
title_sort impact of covid-19 on the degree of dependence and structure of risk-return relationship: a quantile regression approach
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7315952/
https://www.ncbi.nlm.nih.gov/pubmed/32837368
http://dx.doi.org/10.1016/j.frl.2020.101648
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