Assessing the impact of COVID-19 on major industries in Japan: A dynamic conditional correlation approach.
Res Int Bus Finance
; 58: 101488, 2021 Dec.
Article
in English
| MEDLINE | ID: covidwho-1294194
ABSTRACT
This study assesses the impact of the novel coronavirus disease (COVID-19) cases on the Japanese stock market. As of October 30, 2020, the cumulative number of cases in Japan has reached over one hundred thousand. COVID-19 has significantly affected both the lifestyle and the economy in Japan. First, this study develops composite stock indices by industry sector and prefecture, taking into consideration the effects of the increase in infections on industries and firms in the core prefectures. Second, this study investigates the dynamic conditional correlations between the composite stock index returns and the increment in COVID-19 cases using dynamic conditional correlation multivariate GARCH models. Finally, it can contribute to financial research in terms of coexistence of regional business economies with COVID-19.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Type of study:
Experimental Studies
Language:
English
Journal:
Res Int Bus Finance
Year:
2021
Document Type:
Article
Affiliation country:
J.ribaf.2021.101488
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