THE RELATIONSHIP BETWEEN COVID-19 AND THE FINANCIAL MARKET
Contributions to Economic Analysis
; 296:71-84, 2022.
Article
in English
| Scopus | ID: covidwho-1874131
ABSTRACT
This chapter discusses methodological challenges that may be faced by researchers interested in financial markets in relation to the COVID-19 pandemic. In particular, we focus on the behaviour of investors and consider three aspects that affect their investment decision process, namely comovement, cross-sectional asset pricing, and out-of-sample forecasting. We argue that, in relation to the pandemic, relevant financial time series such as asset returns exhibit nonlinear dynamics, which should be suitably incorporated within appropriate methodological tools. We discuss possible existing approaches that ensure that those nonlinearities are properly accounted for. Finally, possible areas of future research are touched upon. © 2022 by Emerald Publishing Limited.
Full text:
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Collection:
Databases of international organizations
Database:
Scopus
Language:
English
Journal:
Contributions to Economic Analysis
Year:
2022
Document Type:
Article
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