Breakpoint analysis for the COVID-19 pandemic and its effect on the stock markets

Karime Chahuán-Jiménez, Rolando Rubilar, HANNS ANIBAL DE LA FUENTE MELLA, VICTOR ELISEO LEIVA SANCHEZ

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

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.

Original languageEnglish
Article number100
Pages (from-to)1-12
Number of pages12
JournalEntropy
Volume23
Issue number1
DOIs
StatePublished - Jan 2021
Externally publishedYes

Keywords

  • Data science
  • Econometric models
  • Financial contagion and crisis
  • Statistical modeling

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