The contagion effect of COVID-19 on stock markets

References

• Al-Awadhi, A. M., Al-Saifi, K., Al-Awadhi, A., and Alhamadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 27(1), 100326, 1-5. doi: https://doi.org/10.1016/j.jbef.2020.100326.
   PubMedGoogle Scholar
• Baker, S. R., Bloom, N., Davis, S. J., Kost, K. J., Sammon, M.C. and Viratyosin, T. (2020). The Unprecedented Stock Market Reaction to COVID-19, NBER Working Paper No. 26945. https://www.nber.org/papers/w26945.
   Google Scholar
• Bhatnagar, V., Poonia, R. C., Nagar, P., Kumar, S., Singh, V., Raja, L., and Pranav Dass, P. (2021). Descriptive analysis of COVID-19 patients in the context of India, Journal of Interdisciplinary Mathematics, 24(3), 489-504. https://doi.org/10.1080/09720502.2020.1761635.
   Web of Science ®Google Scholar
• Bollerslev, T. (1990). Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model. Review of Economics and Statistics, 72, 498-505. https://doi.org/10.2307/2109358.
   Web of Science ®Google Scholar
• Bollerslev, T., Chou, R. Y., and Kroner, K. F. (1992). ARCH modeling in finance: A review of the theory and empirical evidence. Journal of Econometrics, 52, 5-59. http://www.sciencedirect.com/science/article/pii/0304-4076(92)90064-X. doi: 10.1016/0304-4076(92)90064-X
   Web of Science ®Google Scholar
• Chen, M. H., Jang, S.C., and Kim, W. G., (2007). The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach, Hospitality Management 26, 200–212. doi: 10.1016/j.ijhm.2005.11.004.
   Google Scholar
• Dickey, David A. and Fuller, Wayne A. (1979). Distribution of the Estimators for Autoregressive Time Series With a Unit Root, Journal of the American Statistical Association, 74(366), 427-431. https://doi.org/10.2307/2286348.
   Web of Science ®Google Scholar
• Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20(3), 339-350. https://www.jstor.org/stable/1392121. doi: 10.1198/073500102288618487
   Web of Science ®Google Scholar
• Guliyev, H. (2020). Determining the spatial effects of COVID-19 using the spatial panel data model. Spatial Statistics, 38, 100443, 1-10. https://doi.org/10.1016/j.spasta.2020.100443
   Google Scholar
• Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. and Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? Journal of Econometrics, 54, 159–178. doi: 10.1016/0304-4076(92)90104-Y
   Web of Science ®Google Scholar
• MacKinnon, J. G. (1996). Numerical distribution functions for unit root and cointegration tests, Journal of Applied Econometrics, 11, 601– 618. https://www.jstor.org/stable/2285154. doi: 10.1002/(SICI)1099-1255(199611)11:6<601::AID-JAE417>3.0.CO;2-T
   Web of Science ®Google Scholar
• Modi, K., Umate, L., Makade, K., Dubey, R. S., and Agarwal, P. (2020). Simulation based study for estimation of COVID-19 spread in India using SEIR model, Journal of Interdisciplinary Mathematics, 24(2), 245–258. DOI: 10.1080/09720502.2020.1838059.
   Web of Science ®Google Scholar
• Nayak, S. R., Arora, V., Sinha., U., and Poonia, R. C. (2020). A statistical analysis of COVID-19 using Gaussian and probabilistic model, Journal of Interdisciplinary Mathematics, 24(1), 19-32. DOI: 10.1080/09720502.2020.1833442.
   Web of Science ®Google Scholar
• Ng, S., and P. Perron (2001). Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power, Econometrica, 69, 1519-1554. https://doi.org/10.1111/1468-0262.00256.
   Web of Science ®Google Scholar
• Perron, P., and Vogelsang, T. J. (1993). Erratum, Econometrica, 61(1), 248-249. doi: 10.2307/2951792
   Web of Science ®Google Scholar
• Phillips, Peter C. B. and Perron, Pierre (1988). Testing for a Unit Root in Time Series Regression, Biometrika, 75(2), 335-346. doi: 10.1093/biomet/75.2.335
   Web of Science ®Google Scholar
• Singh, V., Poonia, R. C., Kumar, S., Dass, P., Agarwal, P., Bhatnagar, V., and Raja, L. (2020). Prediction of COVID-19 corona virus pandemic based on time series data using support vector machine, Journal of Discrete Mathematical Sciences and Cryptography, DOI: 10.1080/09720529.2020.1784535.
   Web of Science ®Google Scholar
• Tse, Y. K., and Tsui, A. K. C. (2002). A multivariate generalized autoregressive conditional heteroscedasticity model with time varying correlations. Journal of Business and Economic Statistics, 20, 351-362. https://doi.org/10.1198/073500102288618496.
   Web of Science ®Google Scholar
• Wang, K. M., and Nguyen Thi, T.B. (2007). Testing for contagion under asymmetric dynamics: Evidence from the stock markets between US and Taiwan, Physica A, 376, 422-432. DOI: 10.1016/j.physa.2006.10.084.
   Web of Science ®Google Scholar
• Wong, G. (2006). Has SARS infected the property market? Evidence from Hong Kong, Journal of Urban Economics, 63(1), 74–95. http://doi.org/10.1016/j.jue.2006.12.007.
   Web of Science ®Google Scholar