Image of The heterogeneous effects of COVID-19 outbreak on stock market returns and volatility : evidence from panel quantile regression model

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The heterogeneous effects of COVID-19 outbreak on stock market returns and volatility : evidence from panel quantile regression model

The purpose of this study is to probe the impact of the novel coronavirus (COVID-19) outbreak on stock market returns and volatility in developed markets. We employ a panel quantile regression model to capture unobserved individual heterogeneity and distributional heterogeneity. The study?s findings reveal that there is a heterogeneous impact of COVID-19 on stock market returns and volatility. More specifically, there is a negative impact of COVID-19 on stock returns in the bearish stock market; however, there is an insignificant impact of COVID-19 on stock returns in the bullish stock market. Furthermore, COVID-19 has a positive impact on stock market volatility across all quantiles..

Ketersediaan

Call NumberLocationAvailable
PSB lt.2 - Karya Akhir1
Penerbit JURNAL EKONOMI.,
Edisi -
Subjek Stock market
Volatility
Covid
19
Panel quantile regression model
ISBN/ISSN -
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
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