Emerging markets' response to COVID-19: Insights from arbitrages strategies

被引：0
|
作者：
Jialu, Wang [1 ]
Zhao, Lingdi [1 ,4 ]
Li, Hao [2 ]
Guo, Xiuqi [3 ]
机构：
[1] Ocean Univ China, Sch Econ, Qingdao 266100, Peoples R China
[2] Purdue Univ, Daniels Sch Business, W Lafayette, IN 47906 USA
[3] Nankai Univ, Sch Finance, Tianjin 300350, Peoples R China
[4] Minist Educ, Key Res Inst Humanities & Social Sci Univ, Marine Dev Studies Inst OUC, Qingdao, Peoples R China
来源：
HELIYON | 2024年 / 10卷 / 10期
基金：
中国国家自然科学基金;
关键词：
COVID-19; Emerging markets; Capital markets; Market shocks; Pairs trading strategy; Cross -border investments; Financial integration; RELATIVE-VALUE ARBITRAGE; TIME-SERIES; PAIRS; COINTEGRATION; PERFORMANCE; STOCKS;
D O I：
10.1016/j.heliyon.2024.e30876
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
Global capital markets are sensitive to extreme and physical events. This research explores the influence of COVID-19 on cross-border arbitrage strategies in emerging markets. Specifically, this study develops a novel cross-market pairs trading strategy centered on healthcare stocks, tailored for the unique dynamics of the emerging market environment. The feasibility of cross-border arbitrage strategies in emerging markets is demonstrated by comparing the performance of the strategy before and after the outbreak. Additionally, sensitivity analysis of the risk preference factors before and after the COVID-19 outbreak further supports this argument. These findings offer valuable insights for international investors seeking arbitrage between emerging and other markets and, effectively responding to global shocks.
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收藏
页数：16
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