The Time-Varying Impact of Covid-19 on Stock Returns: Evidence on Developed Countries from a Bootstrap Rolling Window Causality Method

The Time-Varying Impact of Covid-19 on Stock Returns: Evidence on Developed Countries from a Bootstrap Rolling Window Causality Method

This study examines the time-varying impact of the Novel Coronavirus (COVID-19) on stock returns by employing the bootstrap rolling window causality test. For this purpose, we use the daily data of COVID-19 confirmed cases and stock returns of six most hard-hit developed countries from the COVID-19...

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Bibliographic Details
Main Authors: Oktay Özkan, Türker Şimşek
Format: Article
Language:English
Published: Ekonomi ve Finansal Araştırmalar Derneği 2020-12-01
Series:Ekonomi, Politika & Finans Araştırmaları Dergisi
Subjects:
stock return
covid-19
pandemic
kao panel cointegration
bootstrap rolling window causality
hisse senedi getirisi
pandemi
kao panel eşbütünleşme
bootstrap rolling window nedensellik
Online Access:https://dergipark.org.tr/tr/download/article-file/1245706

Internet

https://dergipark.org.tr/tr/download/article-file/1245706

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