Dynamic co-movements of COVID-19 pandemic anxieties and stock market returns

被引:29
|
作者
Yu, Xiaoling [1 ]
Xiao, Kaitian [2 ,3 ]
Liu, Junping [4 ]
机构
[1] Sun Yat Sen Univ, Sch Business, Guangzhou, Peoples R China
[2] Simon Kuznets Kharkiv Natl Univ Econ, Dept Management & Business, Kharkiv, Ukraine
[3] Shanghai Maritime Univ, Sch Law, Shanghai 200120, Peoples R China
[4] Xiangtan Univ, Law Sch, Xiangtan, Peoples R China
关键词
Stock market; COVID-19; Pandemic anxiety index; DCC-GARCH; Co-movement; INDEX; FEAR;
D O I
10.1016/j.frl.2021.102219
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
In this study, we constructed two pandemic anxiety indexes based on an assumption that people's emotions fluctuate with the COVID-19 reported cases and deaths, to examine the dynamic co-movements between these anxiety indexes and the stock markets in the BRICS and G7 countries. We found that the anxiety indexes are volatile over time but have an overall downtown trend. The correlations between stock market returns and the epidemic anxiety indexes are time varying. We found a common feature across the countries studied, namely that the correlation becomes weaker and has smaller fluctuations after the announcement of the mRNA-based COVID-19 vaccine.
引用
收藏
页数:12
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