How have the dependence structures between stock markets and economic factors changed during the COVID-19 pandemic?()

This study investigates how the dependence structures between stock markets and economic factors have changed during the COVID-19 pandemic using the dynamic model averaging approach. A series of economic factors such as commodity markets, cryptocurrency, monetary policy, international capital flows,...

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Detalles Bibliográficos
Autores principales: Dong, Xiyong, Song, Li, Yoon, Seong-Min
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8413926/
http://dx.doi.org/10.1016/j.najef.2021.101546
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author Dong, Xiyong
Song, Li
Yoon, Seong-Min
author_facet Dong, Xiyong
Song, Li
Yoon, Seong-Min
author_sort Dong, Xiyong
collection PubMed
description This study investigates how the dependence structures between stock markets and economic factors have changed during the COVID-19 pandemic using the dynamic model averaging approach. A series of economic factors such as commodity markets, cryptocurrency, monetary policy, international capital flows, and market uncertainty indices are considered. We find that the importance of economic variables and the sign and size of their coefficients are significantly different from those before the COVID-19 pandemic. The stock markets are most influenced by economic factors during the COVID-19 outbreak.
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spelling pubmed-84139262021-09-03 How have the dependence structures between stock markets and economic factors changed during the COVID-19 pandemic?() Dong, Xiyong Song, Li Yoon, Seong-Min The North American Journal of Economics and Finance Article This study investigates how the dependence structures between stock markets and economic factors have changed during the COVID-19 pandemic using the dynamic model averaging approach. A series of economic factors such as commodity markets, cryptocurrency, monetary policy, international capital flows, and market uncertainty indices are considered. We find that the importance of economic variables and the sign and size of their coefficients are significantly different from those before the COVID-19 pandemic. The stock markets are most influenced by economic factors during the COVID-19 outbreak. Elsevier Inc. 2021-11 2021-08-30 /pmc/articles/PMC8413926/ http://dx.doi.org/10.1016/j.najef.2021.101546 Text en © 2021 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
Dong, Xiyong
Song, Li
Yoon, Seong-Min
How have the dependence structures between stock markets and economic factors changed during the COVID-19 pandemic?()
title How have the dependence structures between stock markets and economic factors changed during the COVID-19 pandemic?()
title_full How have the dependence structures between stock markets and economic factors changed during the COVID-19 pandemic?()
title_fullStr How have the dependence structures between stock markets and economic factors changed during the COVID-19 pandemic?()
title_full_unstemmed How have the dependence structures between stock markets and economic factors changed during the COVID-19 pandemic?()
title_short How have the dependence structures between stock markets and economic factors changed during the COVID-19 pandemic?()
title_sort how have the dependence structures between stock markets and economic factors changed during the covid-19 pandemic?()
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8413926/
http://dx.doi.org/10.1016/j.najef.2021.101546
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