DOES US INFECTIOUS DISEASE EQUITY MARKET VOLATILITY INDEX PREDICT G7 STOCK RETURNS? EVIDENCE BEYOND SYMMETRYQuantile cointegrationID-EMV indexquantile-on-quantile regressionG7 stock marketsDuring the COVID-19 pandemic, Baker etal. (2020) [The unprecedented stock market reaction to COVID-19. The ...
First, does investors' fear gauge, which is provoked by DRNs, lead to a decrease in pharmaceutical stock market returns? Second, does an outbreak of a dangerous infectious disease trigger a positive sector-specific investor sentiment effect on pharmaceutical stock prices? Third, does investor ...
The aim of this study is to analyze the influence that the structural changes on volatility have on the transmission of information. We realized empirical ... MA Fernández Izquierdo,V Aragó - 《Social Science Electronic Publishing》 被引量: 0发表: 0年 Mechanism of Multinational Corporations' Di...
These countries have neglected populations, and the global health community should reconsider strategies around resource allocation to reduce inequality and improve equity. The Research Investments in Global Health study (ResIn) has analysed funding trends in infectious disease research awarded to UK institu...
Purpose This study aims to examine the hedge, diversifier and safe-haven properties of bonds against infectious disease-related equity market volatility (IDEMV), like COVID-19. Design/methodology/approach The authors apply wavelet coherence methodology on the daily data of IDEMV and bond market (...
The infectious disease equity market volatility (ID-EMV) index, projected by Baker et al. (Baker, SR, N Bloom, SJ Davis, KJ Kost, MC Sammon and T Viratyosin (2020). The unprecedented stock market impact of COVID-19. Review of Asset Pricing Studies, 10(4), 742芒鈧 758), relates ...
The purpose of this article is to study the unidirectional causality from the Infectious Disease Equity Market Volatility Tracker (EMV-ID), towards the volatility of five of the most important Latin American stock and Exchange markets. For this, volatility is captured through the DCC-GARCH t-...
Understanding the impact of infectious disease pandemic on stock market volatility is of great concerns for investors and policy makers, especially during recent new coronavirus spreading period. Using an extended GARCH-MIDAS model and a newly developed Infectious Disease Equity Market Volatility Tracker ...
Infectious disease equity market volatilityCorporate financingCorporate investmentDividend policyResearch and development expenditureWe investigate the effect of equity market volatility due to infectious disease on U.S. firms' corporate activities from 1985 to 2020. Consistent with the theoretical framework, ...
(2020a) using a newspaper-based infectious disease equity market volatility tracker from January 1985. The EMVID index is publicly accessible at: http://policyuncertainty.com/infectious_EMV.html (accessed date: 6 June 2021). This index is based on textual analysis of four sets of terms, namel...