Cervantes Paula, Díaz Antonio, Esparcia Carlos, Huélamo Diego
Universidad de Castilla-La Mancha, Plaza de la Universidad 1, 02071 Albacete, Spain.
Econ Anal Policy. 2022 Dec;76:1075-1097. doi: 10.1016/j.eap.2022.10.012. Epub 2022 Oct 28.
This paper explores the relationship between the stock markets of emerging and developed economies and the fear triggered by the COVID-19 pandemic crisis in a period that spans from mid-January 2020 to mid-February 2022. The potential relations are analyzed in terms of Granger causality and dynamic correlation, both from the view of raw undecomposed returns and different time-frequency decompositions derived from a previous wavelet transform screening approach. Overall, our Granger and dynamic correlation results suggest that changes in panic indexes resulting from the COVID-19 pandemic do not have a significant relation with the raw stock market returns, but the reverse occurs in terms of time-frequency decompositions. Correlation analysis also indicates that all countries have a quite similar pattern of phase transitions, with certain stages preceded by a hump and others by a valley, i.e., they exhibit both positive and negative correlations. Despite a gradual reduction in media coverage, both causal relationships and correlations between financial markets and panic indexes held in 2021 and early 2022.
本文探讨了新兴经济体和发达经济体股票市场之间的关系，以及在2020年1月中旬至2022年2月中旬期间，由新冠疫情危机引发的恐慌情绪。我们从格兰杰因果关系和动态相关性两个方面，对原始未分解收益率以及基于先前小波变换筛选方法得到的不同时频分解数据进行了分析，以研究潜在的关系。总体而言，格兰杰因果关系和动态相关性结果表明，新冠疫情引发的恐慌指数变化与原始股票市场收益率之间没有显著关系，但在时频分解方面情况则相反。相关性分析还表明，所有国家都有相当相似的相变模式，某些阶段之前有一个峰值，而其他阶段之前有一个谷值，即它们同时表现出正相关和负相关。尽管媒体报道逐渐减少，但金融市场与恐慌指数之间的因果关系和相关性在2021年和2022年初仍然存在。
