Market reaction, COVID-19 pandemic and return distribution
Finance Research Letters(2022)
摘要
The Coronavirus (COVID-19) pandemic is disrupting the world. Employing an event study, we find cross-country evidence that stock markets all significantly react to COVID-19, but with different speeds, strengths and directions. Moreover, reactions to COVID-19 also vary across quantile levels of return distributions in any given country, by using a augmented quantile auto-regression approach. US (Indian) markets generally show overreaction (underreaction), while Stock markets in Australia, Germany, Japan and UK overreact to the pandemic when quantile returns are below the median.
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关键词
C12,C14,C22,C52
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