Sector-by-sector analysis of dependence dynamics between global large-cap companies and infectious diseases: A time-varying copula approach in EBOV and COVID-19 episodes

被引：2

作者：

Asl, Mahdi Ghaemi ^{[1
]}

Tavakkoli, Hamid Reza ^{[2
]}

Rashidi, Muhammad Mahdi ^{[2
]}

机构：

[1] Kharazmi Univ, Fac Econ, Tehran, Iran

[2] Imam Sadiq Univ, Fac Econ, Tehran, Iran

来源：

PLOS ONE | 2021年 / 16卷 / 11期

关键词：

VOLATILITY; MODELS;

D O I：

10.1371/journal.pone.0259282

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：

Infectious diseases and widespread outbreaks influence different sectors of the economy, including the stock market. In this article, we investigate the effect of EBOV and COVID-19 outbreaks on stock market indices. We employ time-varying and constant bivariate copula methods to measure the dependence structure between the infectious disease equity market volatility index (IEMV) and the stock market indices of several sectors. The results show that the financial and communication services sectors have the highest and the lowest negative dependency on IEMV during the Ebola virus (EBOV) pandemic, respectively. However, the health care and energy sectors have the highest and lowest negative dependency on IEMV during the COVID-19 outbreak, respectively. Therefore, the results confirm the heterogeneous time-varying dependency between infectious diseases and the stock market indices. The finding of our study contributes to the ongoing literature on the impact of disease outbreaks, especially the novel coronavirus outbreak on global large-cap companies in the stock market.

引用

页数：25