How have the dependence structures between stock markets and economic factors changed during the COVID-19 pandemic?

Xiyong Dong, Li Song and Seong-Min Yoon

The North American Journal of Economics and Finance, 2021, vol. 58, issue C

Abstract: This study investigates how the dependence structures between stock markets and economic factors have changed during the COVID-19 pandemic using the dynamic model averaging approach. A series of economic factors such as commodity markets, cryptocurrency, monetary policy, international capital flows, and market uncertainty indices are considered. We find that the importance of economic variables and the sign and size of their coefficients are significantly different from those before the COVID-19 pandemic. The stock markets are most influenced by economic factors during the COVID-19 outbreak.

Keywords: COVID-19; Stock markets; Economic factors; Dynamic model averaging (search for similar items in EconPapers)
JEL-codes: C58 F32 F41 G12 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S106294082100156X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:58:y:2021:i:c:s106294082100156x

DOI: 10.1016/j.najef.2021.101546

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().