Sector-by-sector analysis of dependence dynamics between global large-cap companies and infectious diseases: A time-varying copula approach in EBOV and COVID-19 episodes

Infectious diseases and widespread outbreaks influence different sectors of the economy, including the stock market. In this article, we investigate the effect of EBOV and COVID-19 outbreaks on stock market indices. We employ time-varying and constant bivariate copula methods to measure the dependen...

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Autores principales:	Mahdi Ghaemi Asl, Hamid Reza Tavakkoli, Muhammad Mahdi Rashidi
Formato:	article
Lenguaje:	EN
Publicado:	Public Library of Science (PLoS) 2021
Materias:	Medicine R Science Q
Acceso en línea:	https://doaj.org/article/ba2a50bb9d6344d79605b8c625d55caa
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spelling	oai:doaj.org-article:ba2a50bb9d6344d79605b8c625d55caa2021-11-11T07:14:45ZSector-by-sector analysis of dependence dynamics between global large-cap companies and infectious diseases: A time-varying copula approach in EBOV and COVID-19 episodes1932-6203https://doaj.org/article/ba2a50bb9d6344d79605b8c625d55caa2021-01-01T00:00:00Zhttps://www.ncbi.nlm.nih.gov/pmc/articles/PMC8565766/?tool=EBIhttps://doaj.org/toc/1932-6203Infectious diseases and widespread outbreaks influence different sectors of the economy, including the stock market. In this article, we investigate the effect of EBOV and COVID-19 outbreaks on stock market indices. We employ time-varying and constant bivariate copula methods to measure the dependence structure between the infectious disease equity market volatility index (IEMV) and the stock market indices of several sectors. The results show that the financial and communication services sectors have the highest and the lowest negative dependency on IEMV during the Ebola virus (EBOV) pandemic, respectively. However, the health care and energy sectors have the highest and lowest negative dependency on IEMV during the COVID-19 outbreak, respectively. Therefore, the results confirm the heterogeneous time-varying dependency between infectious diseases and the stock market indices. The finding of our study contributes to the ongoing literature on the impact of disease outbreaks, especially the novel coronavirus outbreak on global large-cap companies in the stock market.Mahdi Ghaemi AslHamid Reza TavakkoliMuhammad Mahdi RashidiPublic Library of Science (PLoS)articleMedicineRScienceQENPLoS ONE, Vol 16, Iss 11 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Medicine R Science Q
spellingShingle	Medicine R Science Q Mahdi Ghaemi Asl Hamid Reza Tavakkoli Muhammad Mahdi Rashidi Sector-by-sector analysis of dependence dynamics between global large-cap companies and infectious diseases: A time-varying copula approach in EBOV and COVID-19 episodes
description	Infectious diseases and widespread outbreaks influence different sectors of the economy, including the stock market. In this article, we investigate the effect of EBOV and COVID-19 outbreaks on stock market indices. We employ time-varying and constant bivariate copula methods to measure the dependence structure between the infectious disease equity market volatility index (IEMV) and the stock market indices of several sectors. The results show that the financial and communication services sectors have the highest and the lowest negative dependency on IEMV during the Ebola virus (EBOV) pandemic, respectively. However, the health care and energy sectors have the highest and lowest negative dependency on IEMV during the COVID-19 outbreak, respectively. Therefore, the results confirm the heterogeneous time-varying dependency between infectious diseases and the stock market indices. The finding of our study contributes to the ongoing literature on the impact of disease outbreaks, especially the novel coronavirus outbreak on global large-cap companies in the stock market.
format	article
author	Mahdi Ghaemi Asl Hamid Reza Tavakkoli Muhammad Mahdi Rashidi
author_facet	Mahdi Ghaemi Asl Hamid Reza Tavakkoli Muhammad Mahdi Rashidi
author_sort	Mahdi Ghaemi Asl
title	Sector-by-sector analysis of dependence dynamics between global large-cap companies and infectious diseases: A time-varying copula approach in EBOV and COVID-19 episodes
title_short	Sector-by-sector analysis of dependence dynamics between global large-cap companies and infectious diseases: A time-varying copula approach in EBOV and COVID-19 episodes
title_full	Sector-by-sector analysis of dependence dynamics between global large-cap companies and infectious diseases: A time-varying copula approach in EBOV and COVID-19 episodes
title_fullStr	Sector-by-sector analysis of dependence dynamics between global large-cap companies and infectious diseases: A time-varying copula approach in EBOV and COVID-19 episodes
title_full_unstemmed	Sector-by-sector analysis of dependence dynamics between global large-cap companies and infectious diseases: A time-varying copula approach in EBOV and COVID-19 episodes
title_sort	sector-by-sector analysis of dependence dynamics between global large-cap companies and infectious diseases: a time-varying copula approach in ebov and covid-19 episodes
publisher	Public Library of Science (PLoS)
publishDate	2021
url	https://doaj.org/article/ba2a50bb9d6344d79605b8c625d55caa
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Sector-by-sector analysis of dependence dynamics between global large-cap companies and infectious diseases: A time-varying copula approach in EBOV and COVID-19 episodes

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