Author: Wang, Z.
Title: The impact of COIVD-19 on the degree of interdependence of stock markets Cord-id: fiern3rq Document date: 2021_1_1
ID: fiern3rq
Snippet: This paper examines the impact of the novel coronavirus (COVID-19) on the interdependence of stock markets in China, Japan and U. S. Data is divided into two sub-periods: pre-crisis period (Jul. 1st, 2019-Dec.31st, 2019) and post-crisis period (Jan.1st, 2020-Jun. 30th, 2020). Method of Conditional Maximum Likelihood Estimation is used. The results from copula methods indicate 1) following the COVID-19 outbreak, degree of dependence among stocks have increased;2) the outbreak has converted left-t
Document: This paper examines the impact of the novel coronavirus (COVID-19) on the interdependence of stock markets in China, Japan and U. S. Data is divided into two sub-periods: pre-crisis period (Jul. 1st, 2019-Dec.31st, 2019) and post-crisis period (Jan.1st, 2020-Jun. 30th, 2020). Method of Conditional Maximum Likelihood Estimation is used. The results from copula methods indicate 1) following the COVID-19 outbreak, degree of dependence among stocks have increased;2) the outbreak has converted left-tailed dependence into a right-tailed dependence;3) Gumbel copula has better in-sample fitness before crisis while for post-crisis period, Student's T copula is better. © 2021 ACM.
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