Caporale Guglielmo Maria, Gil-Alana Luis, Lasaosa Isabel Arrese
Brunel University London, United Kingdom.
University of Navarra, Pamplona, Spain.
Heliyon. 2022 Nov 12;8(11):e11560. doi: 10.1016/j.heliyon.2022.e11560. eCollection 2022 Nov.
This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the case of ten major European stock market indices; the effects of the pandemic are assessed by comparing the pre-pandemic estimates (over the period 2005-2019) to those from a sample extended until July 2021 which includes the pandemic period. The approach used is more general than the standard one based on the stationarity versus non-stationarity dichotomy and allows for a wider range of dynamic processes. Three different model specifications are considered, and these are estimated under two alternative assumptions for the disturbances (white noise and autocorrelation). The findings indicate that there has not been any significant impact of the Covid-19 pandemic on the degree of persistence of the European stock market indices, though their volatility persistence has decreased.
本文分析了新冠疫情对欧洲股票市场持续性程度的影响。具体而言，它使用分数积分方法来估计十个主要欧洲股票市场指数在日、周和月频率下的持续性；通过将疫情前的估计值（2005 - 2019年期间）与一个延长至2021年7月的样本（包括疫情期间）的估计值进行比较，来评估疫情的影响。所采用的方法比基于平稳性与非平稳性二分法的标准方法更具一般性，并且允许更广泛的动态过程。考虑了三种不同的模型设定，并在关于扰动的两种替代假设（白噪声和自相关）下进行估计。研究结果表明，新冠疫情对欧洲股票市场指数的持续性程度没有任何显著影响，尽管它们的波动持续性有所下降。
