The Interconnectedness between COVID-19 Uncertainty and Stock Market Returns in Selected ASEAN Countries
Behera, Chinmaya and Rath, Badri Narayan (2022) The Interconnectedness between COVID-19 Uncertainty and Stock Market Returns in Selected ASEAN Countries. Emerging Markets Finance and Trade. pp. 1-13. ISSN 1540-496X
Full text not available from this repository. (Request a copy)Abstract
This paper examines the interconnectedness between the COVID-19 uncertainty index and stock returns in selected ASEAN countries. Results from the study, which uses the dynamic connectedness approach, show that on average, 47.06% of a shock on one index spills over to all other indices. This indicates that stock market returns are highly interconnected to the COVID-19 uncertainty index in ASEAN countries. However, the COVID-19 uncertainty index is not a predictor of stock returns in the ASEAN countries chosen for the study. © 2022 Taylor & Francis Group, LLC.
| IITH Creators: |
|
||||
|---|---|---|---|---|---|
| Item Type: | Article | ||||
| Uncontrolled Keywords: | ASEAN; COVID-19 uncertainty; dynamic connectedness; stock returns; volatility spillover; Westerlund-Narayan predictability test | ||||
| Subjects: | Social sciences > Management Social sciences > Political Science & Economics Social sciences > Business Finance Arts > Liberal arts |
||||
| Divisions: | Department of Liberal Arts | ||||
| Depositing User: | . LibTrainee 2021 | ||||
| Date Deposited: | 22 Jul 2022 04:10 | ||||
| Last Modified: | 22 Jul 2022 04:10 | ||||
| URI: | http://raiithold.iith.ac.in/id/eprint/9853 | ||||
| Publisher URL: | http://doi.org/10.1080/1540496X.2022.2096434 | ||||
| OA policy: | https://v2.sherpa.ac.uk/id/publication/8183 | ||||
| Related URLs: |
Actions (login required)
 |
View Item |
|
Statistics for this ePrint Item |
Altmetric
Altmetric