 Assessing the impact of COVID-19 on major industries in Japan: A dynamic conditional correlation approachMasayasu Kanno Research in International Business and Finance, 2021, vol. 58, issue C Abstract: This study assesses the impact of the novel coronavirus disease (COVID-19) cases on the Japanese stock market. As of October 30, 2020, the cumulative number of cases in Japan has reached over one hundred thousand. COVID-19 has significantly affected both the lifestyle and the economy in Japan. First, this study develops composite stock indices by industry sector and prefecture, taking into consideration the effects of the increase in infections on industries and firms in the core prefectures. Second, this study investigates the dynamic conditional correlations between the composite stock index returns and the increment in COVID-19 cases using dynamic conditional correlation multivariate GARCH models. Finally, it can contribute to financial research in terms of coexistence of regional business economies with COVID-19. Keywords: COVID-19; Composite stock index; Sector and regional analysis; Dynamic conditional correlation (DCC); Multivariate GARCH (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921001094 DOI: 10.1016/j.ribaf.2021.101488 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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