Impact of COVID-19 on financial returns: a spatial dynamic panel data model with random effects

نویسندگان

چکیده

Abstract Using a dataset including financial market returns and volatility proxies for several countries, we analyzed the impact of Covid-19 deaths on economy. From modeling perspective, consider spatial panel data model dynamic volatilities. Proper marginal effects are calculated to exploit information short- long-term effects. A Chow test is used identify existence structural break in each series. Our empirical evidence shows that first weeks outbreak, until mid-March 2020, identified date, effect was statistically significant, leading contraction an increase risk. Moreover, disappeared remaining months as markets moved back pre-crisis levels, causing decrease overall supports behavioral pandemic markets.

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ژورنال

عنوان ژورنال: Journal of Spatial Econometrics

سال: 2022

ISSN: ['2662-298X', '2662-2998']

DOI: https://doi.org/10.1007/s43071-022-00025-8