COVID Asymmetric Impact on the Risk Premium of Developed and Emerging Countries’ Stock Markets

COVID Asymmetric Impact on the Risk Premium of Developed and Emerging Countries’ Stock Markets

We estimated the stock market risk premium during the COVID-19 pandemic with a GARCH-in-Mean (GARCH-M)(1,1) model. The analysis then explored the presence of regime changes using a two-regime Markov-Switching GARCH (MS GARCH)(1,1) model. The sample we used included the stock market indexes of nine c...

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Bibliographic Details
Main Authors: José Antonio Núñez-Mora, Roberto Joaquín Santillán-Salgado, Mario Iván Contreras-Valdez
Format: Article
Language:English
Published: MDPI AG 2022-04-01
Series:Mathematics
Subjects:
MS GARCH
risk premium
Generalized Hyperbolic
conditional volatility
Online Access:https://www.mdpi.com/2227-7390/10/9/1353

Internet

https://www.mdpi.com/2227-7390/10/9/1353

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