The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model
| Main Authors: | Khalid, Noreen, Zafar, Raja Fawad, Syed, Qasim Raza, Bhowmik, Roni |
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| Format: | Article info application/pdf eJournal |
| Bahasa: | eng |
| Terbitan: |
Faculty of Economic and Business
, 2021
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| Subjects: | |
| Online Access: |
http://journal.uinjkt.ac.id/index.php/etikonomi/article/view/20587 http://journal.uinjkt.ac.id/index.php/etikonomi/article/view/20587/pdf |
Daftar Isi:
- 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.JEL Classification: G24, G30, O16How to Cite:Khalid, N., Zafar, R. F., Syed, Q. R., Bhowmik, R., & Jamil, M. (2021). The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model. Etikonomi, 20(2), xx – xx. https://doi.org/10.15408/etk.v20i2.20587.