ArticleHeliyon2024
Bayesian state-space modelling of stock markets in G7 countries During the COVID-19 Pandemic.
Article in Heliyon, 2024. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 1 paper.
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The abstract states no effect estimate the extractor could read, or names no intervention and outcome on the map, so this paper lights no cell and moves no belief. It is still indexed, cited and linked below.
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1 citing paper in PubMed.
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1 author.
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Abstract
This work examines the impact of Coronavirus disease (COVID-19) on the stock market of Group of Seven (G7) countries during the first wave of COVID-19 using daily data from March, 1st of 2020 to December, 31st of 2020. Focussing on such period, a Bayesian Structural Time Series Model (BSTSM) was used to capture the effects of first wave of COVID-19 on the stock market performance of these G7 countries by employing a Markov Chain Monte Carlo (MCMC) method. We considered an Autoregressive (AR) model with time-varying parameters and a local linear trend model to know if the stock price of these countries during the period of the first wave of COVID-19 is changing over time. There was a stochastic trend in stock prices of G7 countries during the period of the first wave of COVID-19 while the AR process itself was also changing over time. The stock market of the USA followed by Japan performed better than other G7 countries during the first phase of the COVID-19 pandemic while the stock market of France was affected during the COVID-19 pandemic.
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