The Impact of External Shocks on the Volatility of Stock Returns: New Evidence from four Developed Countries
學年 110
學期 2
出版（發表）日期 2022-03-31
作品名稱 The Impact of External Shocks on the Volatility of Stock Returns: New Evidence from four Developed Countries
作品名稱（其他語言）
著者 Xie, Z.; Chen, S.-W.; Wu, A.-C.
單位
出版者
著錄名稱、卷期、頁數 Taiwan Economic Forecast and Policy 52(2), p.49-88
摘要 This paper re-investigates the influences of external shocks from history, e.g., the global financial crisis (GFC) or the coronavirus epidemic 2019 (COVID-19), on the volatility of stock returns of four developed countries. To this end, we employ the unobserved component Markov switching heteroscedasticit model (UC-MS). A merit of the UC-MS model is that it allows us to evaluate the influence of external shocks on the permanent and transitory components of stock returns separately. The empirical results show that, in the US, Germany, France, and the UK, on average the duration of the high-volatility regime of the transitory component is short-lived and speedily reverts to the low-volatility regime. The UC-MS measure of volatility suggests that the COVID-19 pandemic is not only a transient fad, but also the fundamental cause. It impacts the volatility of stock returns in the transitory and permanent components at the same time. The high volatility of stock returns comes mostly from the transitory component of stock returns rather than the permanent component
關鍵字 COVID-19, Volatility, Fad
語言 en_US
ISSN 1729-8849
期刊性質 國內
收錄於 TSSCI THCI Core Scopus Airiti Library Taiwan
產學合作
通訊作者
審稿制度 是
國別 TWN
公開徵稿
出版型式 ,電子版,紙本
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