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新冠疫情危机期间的股市回报、波动性、相关性及流动性：来自马尔可夫切换方法的证据

Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach.

作者信息

Just Małgorzata, Echaust Krzysztof

机构信息

Department of Finance and Accounting, Poznań University of Life Sciences, Wojska Polskiego 28, 60-637 Poznań, Poland.

Department of Operations Research, Poznań University of Economics and Business, Al. Niepodległości 10, 61-875 Poznań, Poland.

出版信息

Financ Res Lett. 2020 Nov;37:101775. doi: 10.1016/j.frl.2020.101775. Epub 2020 Sep 28.

DOI:10.1016/j.frl.2020.101775
PMID:33013236
原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC7521590/
Abstract

This paper investigates the relationship between US stock market returns (S&P500) and three indicators of the market, namely implied volatility, implied correlation and liquidity. It also considers the short range dependence between both total confirmed cases and deaths in twelve countries and market movements. We use the two-regime Markov switching model to find the structural break between stock market returns and key stock market indicators. The findings show close dependence between returns and both implied volatility and implied correlation but not with liquidity. The findings indicate the unique role of Italy in crisis transmission.

摘要

本文研究了美国股票市场回报（标准普尔500指数）与市场的三个指标之间的关系，这三个指标分别是隐含波动率、隐含相关性和流动性。本文还考虑了12个国家的确诊病例总数和死亡人数与市场走势之间的短期相关性。我们使用两阶段马尔可夫切换模型来找出股票市场回报与关键股票市场指标之间的结构断点。研究结果表明，回报与隐含波动率和隐含相关性之间存在密切关联，但与流动性无关。研究结果还表明了意大利在危机传播中的独特作用。

https://cdn.ncbi.nlm.nih.gov/pmc/blobs/119c/7521590/f7923ff1415a/gr4_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/119c/7521590/74975aabfd39/gr1_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/119c/7521590/034e34dfc9d3/gr2_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/119c/7521590/7c40c1e95be1/gr3_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/119c/7521590/f7923ff1415a/gr4_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/119c/7521590/74975aabfd39/gr1_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/119c/7521590/034e34dfc9d3/gr2_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/119c/7521590/7c40c1e95be1/gr3_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/119c/7521590/f7923ff1415a/gr4_lrg.jpg

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Financial contagion during COVID-19 crisis.新冠疫情危机期间的金融传染
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Financial markets under the global pandemic of COVID-19.新冠疫情全球大流行下的金融市场。
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COVID-19 and stock returns: Evidence from the Markov switching dependence approach.新冠疫情与股票回报：基于马尔可夫切换依赖方法的证据
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The link Between Stock Exchange Sectors and Indices: Implications During the COVID-19 Pandemic.证券交易所板块与指数之间的联系：新冠疫情期间的影响
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