The Emerging Stock Markets and Their Asymmetric Response to Infectious Disease Equity Market Volatility (ID-EMV) Index

Asma Salman, Bisharat Hussain Chang, Muthanna G. Abdul Razzaq (), Wing-Keung Wong and Mohammed Ahmar Uddin ()
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Bisharat Hussain Chang: Department of Business Administration, Sukkur IBA University, Sukkur, Sindh, Pakistan
Muthanna G. Abdul Razzaq: College of Business Administration, American University in the Emirates, Dubai, United Arab Emirates
Wing-Keung Wong: Department of Finance, Fintech & Blockchain Research Center and Big Data Research Center, Asia University, Taiwan4Department of Medical Research, China Medical University Hospital, Taiwan5Department of Economics and Finance, The Hang Seng University of Hong Kong, Hang Shin Link, Siu Lek Yuen, Hong Kong
Mohammed Ahmar Uddin: Department of Finance and Economics, College of Commerce and Business Administration, Dhofar University, Salalah, Dhofar, Oman

Annals of Financial Economics (AFE), 2023, vol. 18, issue 04, 1-22

Abstract: The infectious disease equity market volatility (ID-EMV) index, projected by Baker et al. (Baker, SR, N Bloom, SJ Davis, KJ Kost, MC Sammon and T Viratyosin (2020). The unprecedented stock market impact of COVID-19. Review of Asset Pricing Studies, 10(4), 742–758), relates infectious disease to equity market variability during the COVID-19 disease. The ID-EVM index examines the asymmetric influence on the stock market returns of seven developing countries: Mexico, Turkey, Brazil, China, Mexico, India and Indonesia. The investigation applies various statistical estimations, for instance, unit root, quantile cointegration and quantile-on-quantile regression (QQR) approaches. The relation between the stock returns of seven emerging economies and infectious disease EMV index is revealed by the quantile cointegration approach. Additionally, the QQR procedure shows that amid bullish market situation, stock returns are positively influenced by the infectious disease index. While, amid the bearish market situations, stock returns are negatively influenced by infectious disease index, the findings of this research have important policy implications. A piece of valuable information on the nexus between the variability in the equity market and the infectious disease index is provided by this investigation during the COVID-19 pandemic. Policymakers and investors can benefit from this newly introduced ID-EMV index to understand the influence on emerging market countries of this infectious disease.

Keywords: ID-EMV index; quantile cointegration; emerging seven stock markets; quantile-on-quantile regression (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1142/S2010495223500082

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