Breakpoint Analysis for the COVID-19 Pandemic and Its Effect on the Stock Markets
Abstract
:1. Introduction
2. Modeling and Methodology
3. Results of the Study and Model Specification
4. Discussions, Conclusions, Limitations, and Future Research
Author Contributions
Funding
Data Availability Statement
Acknowledgments
Conflicts of Interest
References
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Country | Index | Country | Index | Country | Index | Country | Index |
---|---|---|---|---|---|---|---|
Australia | Asx 200 | France | * EN 100 | Nigeria | Nse 30 | Serbia | Belex 15 |
Belgium | Bel 20 | Germany | Dax | Norway | Oseax | Slovakia | Sax |
Brazil | Ibov | Hungary | Bux | NZ | Nzx 50 | SK | Kospi 50 |
Bulgaria | Sofix | Italy | Ftse Mib | Pakistan | Kse 100 | Spain | Ibex |
Canada | Tsx | India | Nifty 50 | Peru | Igbvl | SL | Cse |
Chile | Ipsa | IN | Jci | Philippines | Psei | Sweden | Omx 30 |
China | Shanghai | Irak | Isx | Poland | Wig 30 | SW | Smi |
Colombia | Colcap | Iceland | Icexi | Portugal | Psi 20 | Thailand | Set |
Croatia | Crobex | Israel | Ta 100 | Qatar | Qe | Turkey | Xu 100 |
Cyprus | Cymain | Japan | Nikkei 225 | Romania | Bet | Ukraine | Pfts |
Egypt | Egx 70 | Malaysia | Fbm Klci | Russia | Moex | UK | Ftse 100 |
Finland | Hex 25 | Mexico | Mexbol | SA | ** MT 30 | US | S&P500 |
Country | Date | Country | Date | Country | Date | Country | Date |
---|---|---|---|---|---|---|---|
Australia | 03/09/20 | France | 03/09/20 | Nigeria | 03/11/20 | Serbia | 03/12/20 |
Belgium | 03/09/20 | Germany | 03/09/20 | Norway | 03/09/20 | Slovakia | 03/17/20 |
Brazil | 03/04/20 | Hungary | 03/09/20 | NZ | 03/12/20 | SK | 03/12/20 |
Bulgaria | 03/09/20 | Italy | 03/09/20 | Pakistan | 03/16/20 | Spain | 03/09/20 |
Canada | 03/09/20 | India | 03/12/20 | Peru | 03/12/20 | SL | 01/31/20 |
Chile | 03/13/20 | IN | 03/09/20 | Philippines | 03/09/20 | Sweden | 03/09/20 |
China | 03/16/20 | Iraq | 12/18/19 | Poland | 03/09/20 | SW | 03/06/20 |
Colombia | 03/09/20 | Iceland | 03/06/20 | Portugal | 03/09/20 | Thailand | 03/09/20 |
Cyprus | 03/09/20 | Israel | 03/09/20 | Qatar | 03/02/20 | Turkey | 03/09/20 |
Croatia | 03/09/20 | Japan | 03/06/20 | Romania | 03/09/20 | Ukraine | 02/10/20 |
Egypt | 03/16/20 | Malaysia | 03/06/20 | Russia | 03/10/20 | UK | 03/09/20 |
Finland | 03/09/20 | Mexico | 03/09/20 | SA | 03/09/20 | US | 03/09/20 |
Variable | Minimum | Maximum | Mean | Standard Deviation |
---|---|---|---|---|
Health | 25.80 | 83.50 | 54.87 | 13.22 |
Risk | 11,037.89 | 462,453.50 | 106,106.13 | 130,742.35 |
StdRisk | 505.46 | 54,134.31 | 10,521.88 | 12,775.89 |
Diff3M | 1.87 | 34.23 | 16.67 | 7.69 |
Diff6M | 0.47 | 33.96 | 18.34 | 7.44 |
Model 1 | Model 2 | Model 3 | Model 4 | Model 5 | Model 6 | |
---|---|---|---|---|---|---|
Variable | (Diff3M) | (Diff6M) | (Diff3M) | (Diff6M) | (Diff3M) | (Diff6M) |
Health | 0.0618 | 0.0199 | 0.0312 | 0.0125 | 0.0243 | 0.0064 |
(0.141) | (0.145) | (0.149) | (0.154) | (0.150) | (0.155) | |
Log(Risk) | −1.631 | −2.574 | −1.477 | −2.537 | −0.61 | −1.773 |
(3.026) | (3.111) | (3.056) | (3.156) | (3.239) | (3.353) | |
Log(StdRisk) | 1.712 | 2.146 | 1.719 | 2.148 | 0.923 | 1.447 |
(2.215) | (2.276) | (2.23) | (2.303) | (2.433) | (2.519) | |
OECD | 1.806 | 0.437 | 1.36 | 0.0449 | ||
(2.766) | (2.857) | (2.827) | (2.927) | |||
Log(GDP) | 0.463 | 0.408 | ||||
(0.556) | (0.576) | |||||
Constant | 18.37 | 25.6 | 17.36 | 25.35 | 12.49 | 21.06 |
(27.09) | (27.85) | (27.32) | (28.22) | (28.04) | (29.03) | |
0.026 | 0.028 | 0.035 | 0.029 | 0.051 | 0.040 | |
F-statistic | 0.376 | 0.415 | 0.385 | 0.31 | 0.444 | 0.345 |
Breusch–Pagan test | ||||||
(1) | 4.10 | 3.92 | 7.10 | 4.60 | 5.29 | 3.68 |
Prob | 0.0428 | 0.0476 | 0.0077 | 0.0320 | 0.0214 | 0.0551 |
Model 1 | Model 2 | Model 3 | Model 4 | Model 5 | Model 6 | |
---|---|---|---|---|---|---|
Variable | (Diff3M) | (Diff6M) | (Diff3M) | (Diff6M) | (Diff3M) | (Diff6M) |
Health | 0.038 | 0.0203 | −0.00258 | 0.00543 | −0.130 *** | −0.130 *** |
(0.113) | (0.118) | (0.104) | (0.116) | (0.0190) | (0.0275) | |
Log(Risk) | −1.545 | −2.903 | −1.811 | −3.105 | −3.628 *** | −5.336 *** |
(2.744) | (2.946) | (2.588) | (2.900) | (0.403) | (0.584) | |
Log(StdRisk) | 2.481 | 3.535 * | 3.114 * | 3.900 ** | 4.718 *** | 6.035 *** |
(1.877) | (2.010) | (1.718) | (1.897) | (0.266) | (0.386) | |
OECD | 3.367 | 1.924 | 8.157 ** | 7.115 * | ||
(2.325) | (2.47) | (3.44) | (3.796) | |||
Constant | 12.33 | 17.32 | 9.765 | 16.69 | 21.20 *** | 26.65 *** |
(22.9) | (24.7) | (21.14) | (24.30) | (4.992) | (6.518) | |
Health | −0.018 | −0.0244 | −0.0133 | −0.0165 | 0.00280 | 0.000176 |
(0.0261) | (0.0256) | (0.0261) | (0.0261) | (0.0401) | (0.0441) | |
Log(Risk) | 0.761 | 0.723 | 0.915 | 0.833 | −1.905 * | −1.545 |
(0.586) | (0.575) | (0.624) | (0.608) | (1.055) | (1.083) | |
Log(StdRisk) | −0.342 | −0.439 | −0.608 | −0.566 | 1.549 ** | 1.291 |
(0.472) | (0.445) | (0.493) | (0.462) | (0.780) | (0.786) | |
OECD | −0.847 * | −0.627 | −1.532 ** | −1.235 * | ||
(0.467) | (0.454) | (0.714) | (0.716) | |||
Log(GDP) | −2.253 *** | −2.136 *** | ||||
(0.568) | (0.550) | |||||
Constant | −0.598 | 1.117 | 0.103 | 0.851 | 25.78 *** | 23.13 ** |
(4.978) | (4.997) | (4.918) | (4.958) | (8.948) | (9.030) | |
Likelihood Ratio Test for | ||||||
0.0570 | 0.1180 | 0.0144 | 0.0824 | 0.0000 | 0.0001 |
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Chahuán-Jiménez, K.; Rubilar, R.; de la Fuente-Mella, H.; Leiva, V. Breakpoint Analysis for the COVID-19 Pandemic and Its Effect on the Stock Markets. Entropy 2021, 23, 100. https://doi.org/10.3390/e23010100
Chahuán-Jiménez K, Rubilar R, de la Fuente-Mella H, Leiva V. Breakpoint Analysis for the COVID-19 Pandemic and Its Effect on the Stock Markets. Entropy. 2021; 23(1):100. https://doi.org/10.3390/e23010100
Chicago/Turabian StyleChahuán-Jiménez, Karime, Rolando Rubilar, Hanns de la Fuente-Mella, and Víctor Leiva. 2021. "Breakpoint Analysis for the COVID-19 Pandemic and Its Effect on the Stock Markets" Entropy 23, no. 1: 100. https://doi.org/10.3390/e23010100