TY - JOUR
T1 - Breakpoint analysis for the COVID-19 pandemic and its effect on the stock markets
AU - Chahuán-Jiménez, Karime
AU - Rubilar, Rolando
AU - DE LA FUENTE MELLA, HANNS ANIBAL
AU - LEIVA SANCHEZ, VICTOR ELISEO
N1 - Publisher Copyright:
© 2021 by the authors.
Copyright:
Copyright 2021 Elsevier B.V., All rights reserved.
PY - 2021/1
Y1 - 2021/1
N2 - In this research, statistical models are formulated to study the effect of the health crisis arising from COVID-19 in global markets. Breakpoints in the price series of stock indexes are considered. Such indexes are used as an approximation of the stock markets in different countries, taking into account that they are indicative of these markets because of their composition. The main results obtained in this investigation highlight that countries with better institutional and economic conditions are less affected by the pandemic. In addition, the effect of the health index in the models is associated with their non-significant parameters. This is due to that the health index used in the modeling would not determine the different capacities of the countries analyzed to respond efficiently to the pandemic effect. Therefore, the contagion is the preponderant factor when analyzing the structural breakdown that occurred in the world economy.
AB - In this research, statistical models are formulated to study the effect of the health crisis arising from COVID-19 in global markets. Breakpoints in the price series of stock indexes are considered. Such indexes are used as an approximation of the stock markets in different countries, taking into account that they are indicative of these markets because of their composition. The main results obtained in this investigation highlight that countries with better institutional and economic conditions are less affected by the pandemic. In addition, the effect of the health index in the models is associated with their non-significant parameters. This is due to that the health index used in the modeling would not determine the different capacities of the countries analyzed to respond efficiently to the pandemic effect. Therefore, the contagion is the preponderant factor when analyzing the structural breakdown that occurred in the world economy.
KW - Data science
KW - Econometric models
KW - Financial contagion and crisis
KW - Statistical modeling
UR - http://www.scopus.com/inward/record.url?scp=85099840203&partnerID=8YFLogxK
U2 - 10.3390/e23010100
DO - 10.3390/e23010100
M3 - Article
AN - SCOPUS:85099840203
VL - 23
SP - 1
EP - 12
JO - Entropy
JF - Entropy
SN - 1099-4300
IS - 1
M1 - 100
ER -