Bouteska Ahmed, Sharif Taimur, Abedin Mohammad Zoynul
Faculty of Economics and Management of Tunis, University of Tunis El Manar, Tunisia.
Faculty of Arts, Society and Professional Studies, Newman University, Bartley Green, Birmingham B32 3NT, UK.
Res Int Bus Finance. 2023 Jan;64:101882. doi: 10.1016/j.ribaf.2023.101882. Epub 2023 Jan 16.
This paper aims to investigate the regime-switching and time-varying dependence between the COVID-19 pandemic and the US stock markets using a Markov-switching framework. It makes two contributions to the empirical literature by showing that: (a) the variations of the daily reported COVID-19 cases and cumulative COVID-19 deaths induced asymmetric lower (left) and upper (right) tail dependence with the stock markets, and its left and right tail dependence exhibited significant time-varying trends; and (b) the left and right tail dependence between the stock markets and the pandemic exhibited significant regime-switching behaviours, with its switching probabilities in the higher tail dependence stage all being greater than in the lower tail dependence stage after 1 December 2019. Moreover, given that there is concurrent but significant financial market reaction to any unexpected emergence of a transmittable respirational disease or a natural calamity, the outcomes have some vital implications to market players and policymakers.
本文旨在使用马尔可夫切换框架研究新冠疫情与美国股票市场之间的状态切换和时变依赖性。本文对实证文献做出了两点贡献，具体表现为：（a）每日报告的新冠病例数和新冠累计死亡人数的变化与股票市场之间存在不对称的下尾（左尾）和上尾（右尾）依赖性，且其左尾和右尾依赖性呈现出显著的时变趋势；（b）股票市场与疫情之间的左尾和右尾依赖性呈现出显著的状态切换行为，2019年12月1日之后，其在高尾依赖性阶段的切换概率均大于低尾依赖性阶段。此外，鉴于金融市场对任何可传播呼吸道疾病或自然灾害的意外出现都会同时产生重大反应，这些结果对市场参与者和政策制定者具有一些重要意义。
