How have the dependence structures between stock markets and economic factors changed during the COVID-19 pandemic? |
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Institution: | 1. School of Economics and Management, Shanxi University, Taiyuan, China;2. Taiyuan Railway Center for Disease Control and Prevention, Taiyuan, China;3. Department of Economics, Pusan National University, Busan, Republic of Korea |
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Abstract: | This study investigates how the dependence structures between stock markets and economic factors have changed during the COVID-19 pandemic using the dynamic model averaging approach. A series of economic factors such as commodity markets, cryptocurrency, monetary policy, international capital flows, and market uncertainty indices are considered. We find that the importance of economic variables and the sign and size of their coefficients are significantly different from those before the COVID-19 pandemic. The stock markets are most influenced by economic factors during the COVID-19 outbreak. |
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Keywords: | COVID-19 Stock markets Economic factors Dynamic model averaging |
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