The Impact of the Infectious diseases and Commodity on Stock Markets

Lin Chen, Feng Min, Wenhua Liu and Fenghua Wen

Finance Research Letters, 2022, vol. 47, issue PB

Abstract: We investigate short and long-run effects of commodities and the EMVID indices in stocks. It pre-dominantly compares the magnitude of the effect in China and the USA and analyzes the differences utilizing the QARDL method. It becomes evident that the impacts of the EMVID and commodity indexes vary depending on the stock market developments. The short-run results reveal that the US stocks are negatively affected by the extreme quantiles, while almost all quantiles are negatively affected by commodity shocks in the long-run before pandemic. During the COVID-19 outbreak, the EMVID index is positively correlated with the stocks for both countries.

Keywords: Implied volatility indices; Chinese stock market; USA stock market; Infectious diseases; COVID-19; Quantile ARDL (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322001441

DOI: 10.1016/j.frl.2022.102848

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