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

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 dependen...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:PloS one 2021-11, Vol.16 (11), p.e0259282, Article 0259282
Hauptverfasser: Asl, Mahdi Ghaemi, Tavakkoli, Hamid Reza, Rashidi, Muhammad Mahdi
Format: Artikel
Sprache:eng
Schlagworte:
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung: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.
ISSN:1932-6203
1932-6203
DOI:10.1371/journal.pone.0259282