Impact of COVID-19 on Taiwanese stock market

被引：0
作者：
Wang, Mei-Chih [1 ]
Chang, Hao-Wen [2 ]
Chang, Tsangyao [3 ]
机构：
[1] Natl Taichung Univ Sci & Technol, Taichung, Taiwan
[2] Natl Yang Ming Chiao Tung Univ, Dept Informat Management & Finance, Hsinchu 300093, Taiwan
[3] Feng Chia Univ, Dept Finance, Taichung, Taiwan
来源：
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2025年 / 75卷
关键词：
COVID-19; Pandemic; Taiwan Stock Market Return; Cross-Quantilogram Approach; DIRECTIONAL PREDICTABILITY; QUANTILOGRAM;
D O I：
10.1016/j.najef.2024.102280
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study examines the impact of confirmed COVID-19 cases on Taiwan's stock market returns from January 30, 2020, to April 14, 2023, incorporating factors including interest rates, crude oil prices, and exchange rates. Results show significant short and medium-term cross-quantile dependence between COVID-19 cases and stock returns, weakening the relationship over extended lag periods. The findings highlight the Taiwanese stock market's sensitivity to daily case increases, with varying correlations over time, especially in lower and medium quantiles, indicating changing dependency structures.
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页数：9
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