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

doi:10.3390/e23010100

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 journal › Article › peer-review

19 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 language	English
Article number	100
Pages (from-to)	1-12
Number of pages	12
Journal	Entropy
Volume	23
Issue number	1
DOIs	https://doi.org/10.3390/e23010100
State	Published - Jan 2021
Externally published	Yes

Keywords

Data science
Econometric models
Financial contagion and crisis
Statistical modeling

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10.3390/e23010100

Cite this

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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.",

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AU - Rubilar, Rolando

AU - DE LA FUENTE MELLA, HANNS ANIBAL

AU - LEIVA SANCHEZ, VICTOR ELISEO

PY - 2021/1

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

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Keywords

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