DOES US INFECTIOUS DISEASE EQUITY MARKET VOLATILITY INDEX PREDICT G7 STOCK RETURNS? EVIDENCE BEYOND SYMMETRY

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dc.authoridDerindag, Omer Faruk/0000-0002-6693-0628
dc.authoridSalman, Asma/0000-0002-5623-3087
dc.authoridChang, Bisharat Hussain/0000-0002-6519-6759
dc.authorwosidDerindag, Omer Faruk/ABI-2557-2020
dc.authorwosidSalman, Asma/C-9619-2018
dc.contributor.authorGohar, Raheel
dc.contributor.authorSalman, Asma
dc.contributor.authorUche, Emmanuel
dc.contributor.authorDerindag, Omer Faruk
dc.contributor.authorChang, Bisharat Hussain
dc.date.accessioned2024-08-04T20:53:11Z
dc.date.available2024-08-04T20:53:11Z
dc.date.issued2023
dc.departmentİnönü Üniversitesien_US
dc.description.abstractDuring the COVID-19 pandemic, Baker et al. (2020) [The unprecedented stock market reaction to COVID-19. The Review of Asset Pricing Studies, 10, 742-758.] proposed the infectious disease equity market volatility (ID-EMV) index, which tracks US equity market volatility caused by infectious diseases. We extended the literature by using this newly developed ID-EMV index to examine its asymmetric effect on the share market returns of the G7 countries, which include the United Kingdom, Italy, Japan, Germany, France, Canada, and the United States of America. Moreover, we used novel techniques like the quantile-on-quantile regression test, quantile cointegration test, and quantile unit root test. The quantile cointegration test indicates that the infectious disease EMV index is cointegrated with G7 stock returns. Moreover, the quantile-on-quantile regression technique reveals that the infectious disease index positively affects stock returns during bullish states of the stock markets. In contrast, it negatively affects stock returns during bearish states of the stock market returns. The negative effect of the bearish states implies that investors may discourage investments during the downturns of the economy, whereas they need to boost their investments during economic booms.en_US
dc.identifier.doi10.1142/S2010495222500282
dc.identifier.issn2010-4952
dc.identifier.issn2010-4960
dc.identifier.issue2en_US
dc.identifier.scopus2-s2.0-85142286373en_US
dc.identifier.scopusqualityQ3en_US
dc.identifier.urihttps://doi.org/10.1142/S2010495222500282
dc.identifier.urihttps://hdl.handle.net/11616/101004
dc.identifier.volume18en_US
dc.identifier.wosWOS:000871709800001en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherWorld Scientific Publ Co Pte Ltden_US
dc.relation.ispartofAnnals of Financial Economicsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectQuantile cointegrationen_US
dc.subjectID-EMV indexen_US
dc.subjectquantile-on-quantile regressionen_US
dc.subjectG7 stock marketsen_US
dc.titleDOES US INFECTIOUS DISEASE EQUITY MARKET VOLATILITY INDEX PREDICT G7 STOCK RETURNS? EVIDENCE BEYOND SYMMETRYen_US
dc.typeArticleen_US

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