The Impact of External Shocks on the Volatility of Stock Returns: New Evidence from four Developed Countries

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題名:	The Impact of External Shocks on the Volatility of Stock Returns: New Evidence from four Developed Countries
作者:	Xie, Z.;Chen, S.-W.;Wu, A.-C.
日期:	2022-03
上傳時間:	2022-03-17 12:10:21 (UTC+8)
摘要:	This paper re-investigates the influences of external shocks from history, e.g., the global financial crisis (GFC) or the coronavirus epidemic 2019 (COVID-19), on the volatility of stock returns of four developed countries. To this end, we employ the unobserved component Markov switching heteroscedasticit model (UC-MS). A merit of the UC-MS model is that it allows us to evaluate the influence of external shocks on the permanent and transitory components of stock returns separately. The empirical results show that, in the US, Germany, France, and the UK, on average the duration of the high-volatility regime of the transitory component is short-lived and speedily reverts to the low-volatility regime. The UC-MS measure of volatility suggests that the COVID-19 pandemic is not only a transient fad, but also the fundamental cause. It impacts the volatility of stock returns in the transitory and permanent components at the same time. The high volatility of stock returns comes mostly from the transitory component of stock returns rather than the permanent component.
關聯:	臺灣經濟預測與政策=Taiwan Economic Forecast and Policy 52(2), p.49-88
顯示於類別:	[國際企業學系暨研究所] 期刊論文

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