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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
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Citations: View citations in EconPapers (47)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320304815

DOI: 10.1016/j.frl.2020.101648

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