Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis

By Mei-Ping Chen, Chien‐Chiang Lee, Yu-Hui Lin, Wen-Yi Chen. 2018

125 citations recorded by the source corpus.

Abstract The purpose of this study is to examine the effect of the Severe Acute Respiratory Syndrome (S.A.R.S.) epidemic on the long-run relationship between China and four Asian stock markets. To this end, we first employ the advanced smooth time-varying cointegration model to investigate the existence of a time-varying cointegration relation among these markets and then employ the difference-in-differences approach to analyse whether or not the S.A.R.S. epidemic impacted the long-run relation between China and these four markets during the period 1998–2008, covering 5 years before and after the S.A.R.S. outbreak. Our results support the existence of a time-varying cointegration relation in the aggregate stock price indices, and that the S.A.R.S. epidemic did weaken the long-run relationship between China and the four markets. Therefore, stockholders and policy makers should be concerned about the influence of catastrophic epidemic diseases on the financial integration of stock market in Asia.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c737cfe9cf6af3b1632f3903b0f7f18e6bb728d2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. En-Ze Wang
2. L. Gil‐Alana
3. A. Jahanger
4. Yulong Sun
5. Lu Liu
6. Tao Li
7. Ying Zhang
8. Pinglin He

In Finance

1. L. Gil‐Alana
2. En-Ze Wang
3. A. Jahanger
4. Yulong Sun
5. Lu Liu
6. Tao Li
7. Ying Zhang
8. Pinglin He

Citations in the corpus

• The Outbreak of COVID-19 and Stock Market Responses: An Event Study and Panel Data Analysis for G-20 Countries (2020, background): “The studies investigate the impact of major events, for instance, the Severe Acute Respiratory Syndrome (SARS) pandemic disease outbreak (Chen et al., 2007, 2018; Loh, 2006), natural disasters (Caporale et al., 2019; Tavor & Teitler-Regev, 2019; Wang & Kutan, 2013), corporate events (Maitra & Dey,…”
• The Impact of COVID-19 Pandemic on Stock Markets: An Empirical Analysis of World Major Stock Indices (2020, background): “Chen et al. (2018) examined the effect of the SARS epidemic on the integration of China and four Asian stock markets.”
• Impact of the COVID-19 Pandemic on the Crude Oil and Stock Markets in the US: A Time-Varying Analysis (2020, background): “Numerous studies have attempted to explore and explain the interaction between pandemic and macro-economic variables, such as banking and insurance performance (Leoni, 2013), governments and public (Cummins, 2006), and financial markets (Chen et al., 2018; Elnahas et al., 2018).”
• COVID–19’s Impact on Stock Prices Across Different Sectors—An Event Study Based on the Chinese Stock Market (2020, background): “Mei-Ping et al. (2018) studied the impact of SARS on Asian financial markets.”
• The COVID-19 IMPACT on the ASIAN STOCK MARKETS (2020, background): “International Journal of Hospitality and Management, 26(1), 200–212. https://doi.org/10.1016/j.ijhm.2005.1 1.004 Chen, M.-P., Lee, C.-C., Lin, Y.-H., & Chen, W.-Y. (2018).”