Economic uncertainty of pandemic and international airlines behaviour

Ismail O Fasanya, Oluwasegun Adekoya () and Johnson A Oliyide

PLOS ONE, 2022, vol. 17, issue 5, 1-13

Abstract: This paper examines the role of uncertainty due to infectious diseases in predicting twenty International airline stocks within a nonparametric causality-in-quantiles framework. We observe that: First, the BDS test shows that nonlinearity is very important when examining the causal relationship between EMV-ID and airline stock returns and its volatility. Second, the nonparametric quantiles-based causality test shows that airline stocks predictability driven by pandemic-based uncertainty is stronger mostly around the lower quantiles, with weak evidences in middle and higher quantiles. Relevant policy implications can be drawn from these findings.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0266842

DOI: 10.1371/journal.pone.0266842

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