Sergi Bruno S, Harjoto Maretno Agus, Rossi Fabrizio, Lee Robert
Harvard University & University of Messina, Messina, Italy.
Pepperdine Graziadio Business School, Pepperdine University, 24255 Pacific Coast Highway, Malibu, CA90263, United States.
Financ Res Lett. 2021 Oct;42:101923. doi: 10.1016/j.frl.2021.101923. Epub 2021 Jan 6.
This study examines the impact of the change in the Barro Misery Index (BMI) and the novel coronavirus (COVID-19) cases and deaths on the stock markets' returns and volatility. Based on a sample of 76 different countries, we find that an increase in BMI adversely affects the stock returns and increases stock volatility. We also find that an increase in BMI coupled with an increase in percentage cases of COVID-19 adversely affect stock returns and increases volatility. We find that the impacts of BMI on stock returns and volatility are driven by real GDP changes, unemployment rate, and long-term interest rate instead of inflation rates, especially for the developed countries. Our findings are consistent with Barro (1999), which indicates that the BMI represents a better measure relative to the original misery index in predicting the economic outcome, especially during the COVID-19 pandemic. We also find that the impacts of BMI components on stock returns and volatility for the developed countries are different from the emerging markets.
本研究考察了巴罗痛苦指数（BMI）的变化以及新型冠状病毒（COVID-19）病例和死亡人数对股票市场回报与波动性的影响。基于76个不同国家的样本，我们发现BMI的上升对股票回报产生不利影响，并增加股票波动性。我们还发现，BMI的上升加上COVID-19病例百分比的增加会对股票回报产生不利影响，并加剧波动性。我们发现，BMI对股票回报和波动性的影响是由实际GDP变化、失业率和长期利率驱动的，而非通货膨胀率，尤其是在发达国家。我们的研究结果与巴罗（1999年）的观点一致，这表明BMI在预测经济结果方面相对于原始痛苦指数是一个更好的指标，尤其是在COVID-19大流行期间。我们还发现，BMI各组成部分对发达国家股票回报和波动性的影响与新兴市场不同。
