The Impact of COVID-19 Pandemic on Emerging Country Stock Markets: Evidence of the Value Effect
Emerging Markets, Finance & Trade
; 58(1):70-81, 2022.
Article
Dans Anglais
| ProQuest Central | ID: covidwho-2306067
ABSTRACT
We examine the impact of the COVID-19 pandemic on seven emerging stock markets by focusing on the value effect. Our results show that there are significant differences in the value premia before and during the pandemic. Furthermore, the traditional value proxies are no longer good predictors of future stock returns. To further capture the impact the pandemic's progress on stock returns, we estimate Fama-MacBeth regressions by introducing proxies of the pandemic. We uncover heterogeneous responses of emerging markets to the pandemic. These findings provide a wealth of insights on the presence and driving force relevant to the value effect.
Texte intégral:
Disponible
Collection:
Bases de données des oragnisations internationales
Base de données:
ProQuest Central
Type d'étude:
Études expérimentales
langue:
Anglais
Revue:
Emerging Markets, Finance & Trade
Année:
2022
Type de document:
Article
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