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How do stock price indices absorb the COVID-19 pandemic shocks?
To assess the resiliency of stock price indices during the COVID-19 crisis, this study provides a distinctive perspective; that is, we evaluate the ability of stock price indices to absorb COVID-19 shocks. We construct the measures of absorptive intensity and duration to identify a stock price’s abs...
Autores principales: | , , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Elsevier Inc.
2022
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8900940/ http://dx.doi.org/10.1016/j.najef.2022.101672 |
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author | Zhang, Xu Ding, Zhijing Hang, Jianqin He, Qizhi |
author_facet | Zhang, Xu Ding, Zhijing Hang, Jianqin He, Qizhi |
author_sort | Zhang, Xu |
collection | PubMed |
description | To assess the resiliency of stock price indices during the COVID-19 crisis, this study provides a distinctive perspective; that is, we evaluate the ability of stock price indices to absorb COVID-19 shocks. We construct the measures of absorptive intensity and duration to identify a stock price’s absorptive capacity. We then employ the Granger causality test and a topology network approach to investigate the interactions of absorptivity among stock price indices. Our results show that stock price absorptivity varies over time and across countries and industries. The US and the Brazil stock indices have relatively high absorptive intensity while short duration. The health care industry shows distinctive trend in absorptive intensity from the other industries. The intensity of the non-cyclical industries such as utilities and consumer staples is high, while the cyclical industries such as banking, real estate, and energy have lower absorptive intensity. Moreover, the utilities, consumer staples, and financials industries are the main resiliency transmitters. |
format | Online Article Text |
id | pubmed-8900940 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2022 |
publisher | Elsevier Inc. |
record_format | MEDLINE/PubMed |
spelling | pubmed-89009402022-03-08 How do stock price indices absorb the COVID-19 pandemic shocks? Zhang, Xu Ding, Zhijing Hang, Jianqin He, Qizhi The North American Journal of Economics and Finance Article To assess the resiliency of stock price indices during the COVID-19 crisis, this study provides a distinctive perspective; that is, we evaluate the ability of stock price indices to absorb COVID-19 shocks. We construct the measures of absorptive intensity and duration to identify a stock price’s absorptive capacity. We then employ the Granger causality test and a topology network approach to investigate the interactions of absorptivity among stock price indices. Our results show that stock price absorptivity varies over time and across countries and industries. The US and the Brazil stock indices have relatively high absorptive intensity while short duration. The health care industry shows distinctive trend in absorptive intensity from the other industries. The intensity of the non-cyclical industries such as utilities and consumer staples is high, while the cyclical industries such as banking, real estate, and energy have lower absorptive intensity. Moreover, the utilities, consumer staples, and financials industries are the main resiliency transmitters. Elsevier Inc. 2022-04 2022-03-07 /pmc/articles/PMC8900940/ http://dx.doi.org/10.1016/j.najef.2022.101672 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 Zhang, Xu Ding, Zhijing Hang, Jianqin He, Qizhi How do stock price indices absorb the COVID-19 pandemic shocks? |
title | How do stock price indices absorb the COVID-19 pandemic shocks? |
title_full | How do stock price indices absorb the COVID-19 pandemic shocks? |
title_fullStr | How do stock price indices absorb the COVID-19 pandemic shocks? |
title_full_unstemmed | How do stock price indices absorb the COVID-19 pandemic shocks? |
title_short | How do stock price indices absorb the COVID-19 pandemic shocks? |
title_sort | how do stock price indices absorb the covid-19 pandemic shocks? |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8900940/ http://dx.doi.org/10.1016/j.najef.2022.101672 |
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