Market reaction, COVID-19 pandemic and return distribution

The Coronavirus (COVID-19) pandemic is disrupting the world. Employing an event study, we find cross-country evidence that stock markets all significantly react to COVID-19, but with different speeds, strengths and directions. Moreover, reactions to COVID-19 also vary across quantile levels of retur...

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Detalles Bibliográficos
Autores principales: Jin, Chenglu, Lu, Xingyu, Zhang, Yihan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8824359/
https://www.ncbi.nlm.nih.gov/pubmed/35153631
http://dx.doi.org/10.1016/j.frl.2022.102701
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author Jin, Chenglu
Lu, Xingyu
Zhang, Yihan
author_facet Jin, Chenglu
Lu, Xingyu
Zhang, Yihan
author_sort Jin, Chenglu
collection PubMed
description The Coronavirus (COVID-19) pandemic is disrupting the world. Employing an event study, we find cross-country evidence that stock markets all significantly react to COVID-19, but with different speeds, strengths and directions. Moreover, reactions to COVID-19 also vary across quantile levels of return distributions in any given country, by using a augmented quantile auto-regression approach. US (Indian) markets generally show overreaction (underreaction), while Stock markets in Australia, Germany, Japan and UK overreact to the pandemic when quantile returns are below the median.
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spelling pubmed-88243592022-02-09 Market reaction, COVID-19 pandemic and return distribution Jin, Chenglu Lu, Xingyu Zhang, Yihan Financ Res Lett Article The Coronavirus (COVID-19) pandemic is disrupting the world. Employing an event study, we find cross-country evidence that stock markets all significantly react to COVID-19, but with different speeds, strengths and directions. Moreover, reactions to COVID-19 also vary across quantile levels of return distributions in any given country, by using a augmented quantile auto-regression approach. US (Indian) markets generally show overreaction (underreaction), while Stock markets in Australia, Germany, Japan and UK overreact to the pandemic when quantile returns are below the median. Elsevier Inc. 2022-06 2022-02-08 /pmc/articles/PMC8824359/ /pubmed/35153631 http://dx.doi.org/10.1016/j.frl.2022.102701 Text en © 2022 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
Jin, Chenglu
Lu, Xingyu
Zhang, Yihan
Market reaction, COVID-19 pandemic and return distribution
title Market reaction, COVID-19 pandemic and return distribution
title_full Market reaction, COVID-19 pandemic and return distribution
title_fullStr Market reaction, COVID-19 pandemic and return distribution
title_full_unstemmed Market reaction, COVID-19 pandemic and return distribution
title_short Market reaction, COVID-19 pandemic and return distribution
title_sort market reaction, covid-19 pandemic and return distribution
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8824359/
https://www.ncbi.nlm.nih.gov/pubmed/35153631
http://dx.doi.org/10.1016/j.frl.2022.102701
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