The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach

Asil Azimli

Finance Research Letters, 2020, vol. 36, issue C

Abstract: This paper examines the impact of the novel coronavirus (COVID-19) on the degree and structure of risk-return dependence in the US. The results from quantile regression (QR) indicate a left-tailed asymmetric dependence structure of sectoral returns with market portfolio. Following the COVID-19 outbreak, degree of dependence among returns and market portfolio have increased in the higher quantiles. Further, the outbreak has converted left-tailed dependence into a right-tailed dependence. Interaction among Google Search Index for coronavirus (GSIC) and returns also examined. Findings reveal an asymmetric GSIC-return dependence that is significant in tails.

Keywords: Covid-19; Quantile regression; Pandemics (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (47)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612320304815
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:finlet:v:36:y:2020:i:c:s1544612320304815

DOI: 10.1016/j.frl.2020.101648

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().