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- W4316654893 abstract "This paper aims to investigate the regime-switching and time-varying dependence between the COVID-19 pandemic and the US stock markets using a Markov-switching framework. It makes two contributions to the empirical literature by showing that: (a) the variations of the daily reported COVID-19 cases and cumulative COVID-19 deaths induced asymmetric lower (left) and upper (right) tail dependence with the stock markets, and its left and right tail dependence exhibited significant time-varying trends; and (b) the left and right tail dependence between the stock markets and the pandemic exhibited significant regime-switching behaviours, with its switching probabilities in the higher tail dependence stage all being greater than in the lower tail dependence stage after 1 December 2019. Moreover, given that there is concurrent but significant financial market reaction to any unexpected emergence of a transmittable respirational disease or a natural calamity, the outcomes have some vital implications to market players and policymakers." @default.
- W4316654893 created "2023-01-17" @default.
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- W4316654893 date "2023-01-01" @default.
- W4316654893 modified "2023-10-18" @default.
- W4316654893 title "COVID-19 and stock returns: Evidence from the Markov switching dependence approach" @default.
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- W4316654893 doi "https://doi.org/10.1016/j.ribaf.2023.101882" @default.
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