Local versus global factors weighing on stock market returns during the COVID-19 pandemic

We use stock market returns and a new, weekly available, GDP tracker to estimate a structural VAR identified with long-run restrictions. We find that global ‘news’ contribute more than local ‘news’ shocks to explaining the recent variance of equity returns from developing and small developed countri...

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Detalles Bibliográficos
Autores principales: Dragomirescu-Gaina, Catalin, Philippas, Dionisis
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8994473/
https://www.ncbi.nlm.nih.gov/pubmed/35431680
http://dx.doi.org/10.1016/j.frl.2021.102270
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author Dragomirescu-Gaina, Catalin
Philippas, Dionisis
author_facet Dragomirescu-Gaina, Catalin
Philippas, Dionisis
author_sort Dragomirescu-Gaina, Catalin
collection PubMed
description We use stock market returns and a new, weekly available, GDP tracker to estimate a structural VAR identified with long-run restrictions. We find that global ‘news’ contribute more than local ‘news’ shocks to explaining the recent variance of equity returns from developing and small developed countries. Since data do not (yet) point to an increase in financial integration during the current pandemic, our investigations support the alternative that these markets hold too optimistic views on their prospects and future ties with the global economy.
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spelling pubmed-89944732022-04-11 Local versus global factors weighing on stock market returns during the COVID-19 pandemic Dragomirescu-Gaina, Catalin Philippas, Dionisis Financ Res Lett Article We use stock market returns and a new, weekly available, GDP tracker to estimate a structural VAR identified with long-run restrictions. We find that global ‘news’ contribute more than local ‘news’ shocks to explaining the recent variance of equity returns from developing and small developed countries. Since data do not (yet) point to an increase in financial integration during the current pandemic, our investigations support the alternative that these markets hold too optimistic views on their prospects and future ties with the global economy. Elsevier Inc. 2022-05 2021-06-29 /pmc/articles/PMC8994473/ /pubmed/35431680 http://dx.doi.org/10.1016/j.frl.2021.102270 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
Dragomirescu-Gaina, Catalin
Philippas, Dionisis
Local versus global factors weighing on stock market returns during the COVID-19 pandemic
title Local versus global factors weighing on stock market returns during the COVID-19 pandemic
title_full Local versus global factors weighing on stock market returns during the COVID-19 pandemic
title_fullStr Local versus global factors weighing on stock market returns during the COVID-19 pandemic
title_full_unstemmed Local versus global factors weighing on stock market returns during the COVID-19 pandemic
title_short Local versus global factors weighing on stock market returns during the COVID-19 pandemic
title_sort local versus global factors weighing on stock market returns during the covid-19 pandemic
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8994473/
https://www.ncbi.nlm.nih.gov/pubmed/35431680
http://dx.doi.org/10.1016/j.frl.2021.102270
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