Infectious disease equity market volatility, geopolitical risk, speculation, and commodity returns: Comparative analysis of five epidemic outbreaks

Shaobo Long and Jiaqi Guo

Research in International Business and Finance, 2022, vol. 62, issue C

Abstract: This paper uses a time-varying Granger causality test and time-varying parameter vector autoregression with stochastic volatility model to analyze the effects of infectious disease equity market volatility (ID-EMV), geopolitical risk (GPR), and speculation on commodity returns. The time-varying effects of ID-EMV, GPR, and speculation on commodity returns are investigated and compared in five epidemics during 1998–2021: Bird Flu in 1998, SARS in 2003, Swine Flu in 2009, MERS and Ebola in 2014, and COVID-19 in 2019. A further analysis is performed for five commodity subcategories of textiles, industry, metals, livestock, and food. Results show that time-varying effects are significant, and most responses to ID-EMV are positive, to GPR are changing from negative to positive, and to speculation are negative. Notably, ID-EMV in the ongoing COVID-19 pandemic is the worst hit to commodity returns in more than two decades.

Keywords: Infectious Disease Pandemic; COVID-19; Commodity Returns; Geopolitical Risk; Speculation (search for similar items in EconPapers)
JEL-codes: C32 F30 G15 O16 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:62:y:2022:i:c:s0275531922000770

DOI: 10.1016/j.ribaf.2022.101689

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