Has the COVID-19 pandemic shock transmitted to the u.s. stock market: Evidence using bootstrap (A)symmetric fourier granger causality test in quantiles

Yi-Ting Peng, Tsangyao Chang, Omid Ranjbar and Feiyun Xiang

The North American Journal of Economics and Finance, 2024, vol. 72, issue C

Abstract: This study investigates whether the COVID-19 shocks transmitted to the U.S. stock market were symmetric or asymmetric using bootstrap quantile asymmetric Granger causality tests with or without the Fourier functions. The results indicate that while low quantiles of stock returns do not respond to COVID-19 shocks, the latter is a powerful predictor of high quantiles of stock returns. Besides, only positive COVID-19 shocks are potent predictors of high quantiles of stock market return. In contrast, adverse shocks adequately predict low quantiles of stock return. These findings have important policy implications for investors and policymakers who implement strategies for market stabilization.

Keywords: Stock market; COVID-19; Granger non-causality; Asymmetric causality; Quantile regression method (search for similar items in EconPapers)
JEL-codes: C22 E44 I10 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000810

DOI: 10.1016/j.najef.2024.102156

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