World pandemic uncertainty and German stock market: evidence from Markov regime-switching and Fourier based approaches

被引：4
作者：
Athari S.A. [1 ,3 ]
Kirikkaleli D. [2 ]
Adebayo T.S. [3 ]
机构：
[1] Department of Business Administration, Faculty of Economics and Administrative Sciences, Cyprus International University, Northern Cyprus 10 Mersin, Nicosia
[2] Department of Banking and Finance, Faculty of Economic and Administrative Sciences, European University of Lefke, Lefke, Northern Cyprus
[3] Cyprus International University, Northern Cyprus 10 Mersin, Nicosia
来源：
Quality & Quantity | 2023年 / 57卷 / 2期
关键词：
Fourier Engle-Granger cointegration; Germany; Regime switching; Stock market; World pandemic uncertainty;
D O I：
10.1007/s11135-022-01435-4
中图分类号：
学科分类号：
摘要：
This study aims to examine the impact of the world pandemic uncertainty index on the German stock market index (DAX index) for the 1996Q1 to 2020Q3 period while controlling real effective exchange rate, industrial production index, and consumer price index. The present study performs the Fourier Augmented Dickey-Fulle Unit Root, Fourier Engle-Granger Cointegration, Bayer-Hanck Cointegration, and Markov switching regression tests. The outcomes disclose that there is a long-run cointegration association between the stock market index and world pandemic uncertainty index, real effective exchange rate, industrial production index, and consumer price index in Germany, indicating that the combination of these factors significantly affects the German stock market index in the long-run. Moreover, in both high and low volatile regimes, the world pandemic uncertainty index and real effective exchange rate negatively affect the German stock market index while industrial production and consumer price indices impact positively. © 2022, The Author(s), under exclusive licence to Springer Nature B.V.
引用
收藏
页码：1923 / 1936
页数：13
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