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Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis
16 references·11 citing·43 second hop
Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis (2018)Did the S.A.R.S. epidemic weaken the inte…Financial Inclusion, Gender Dimension, and Economic Impact on Poor Households (2013)Financial Inclusion, Gender D…The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach (2006)The impact of the SARS outbre…Responding to global infectious disease outbreaks: Lessons from SARS on the role of risk perception, communication and management (2006)Responding to global infectio…Measuring Market Risk (2005)Measuring Market RiskGlobalization and Disease: The Case of SARS (2004)Globalization and Disease: Th…Economic Impact of SARS: The Case of Hong Kong (2004)Economic Impact of SARS: The …Bulletin of the World Health Organization (2003)Bulletin of the World Health …Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Money and output viewed through a rolling window (1998)Money and output viewed throu…Value at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…Subsample instability and asymmetries in money-income causality (1994)Subsample instability and asy…Prospective reference theory: Toward an explanation of the paradoxes (1989)Prospective reference theory:…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Using the Longitudinal Structure of Earnings to Estimate the Effect of Training Programs (1984)Using the Longitudinal Struct…Estimating the Effect of Training Programs on Earnings (1978)Estimating the Effect of Trai…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Two decades of contagion effect on stock markets: Which events are more contagious? (2021)Two decades of contagion effe…The impact of COVID-19 shocks on the volatility of stock markets in technologically advanced countries (2021)The impact of COVID-19 shocks…Spillovers of the COVID-19 Pandemic: Impact on Global Economic Activity, the Stock Market, and the Energy Sector (2021)Spillovers of the COVID-19 Pa…Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis (2021)Impact of COVID-19 pandemic o…COVID–19 impact on the shipping industry: An event study approach (2021)COVID–19 impact on the shippi…COVID‐19 impact, sustainability performance and firm value: international evidence (2021)COVID‐19 impact, sustainabili…Analysis of the impact of COVID-19 pandemic on G20 stock markets (2021)Analysis of the impact of COV…The Response of the Stock Market to the Announcement of Global Pandemic (2020)The Response of the Stock Mar…The Outbreak of COVID-19 and Stock Market Responses: An Event Study and Panel Data Analysis for G-20 Countries (2020)The Outbreak of COVID-19 and …The impact of national culture on the increase of COVID-19: A cross-country analysis of European countries (2020)The impact of national cultur…The COVID-19 IMPACT on the ASIAN STOCK MARKETS (2020)The COVID-19 IMPACT on the AS…The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)Evaluating Value-at-Risk Models via Quantile Regression (2010)A comprehensive review of Value at Risk methodologies (2013)Metrics for evaluating the performance of machine learning based automated valuation models (2021)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)COVID-19 and stock market volatility: An industry level analysis (2020)Hospitality and tourism industry amid COVID-19 pandemic: Perspectives on challenges and learnings from India (2020)The impact of COVID-19 on stock markets (2020)Perception of Risk (1987)Risk Society: Towards a New Modernity (1993)Risk Society, Towards a New Modernity (1994)Monitoring the level of government trust, risk perception and intention of the general public to adopt protective measures during the influenza A (H1N1) pandemic in the Netherlands (2011)‘No Ebola…still doomed’ – The Ebola-induced tourism crisis (2018)Knowledge, attitude, and practice regarding COVID-19 outbreak in Bangladesh: An online-based cross-sectional study (2020)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Testing Density Forecasts, With Applications to Risk Management (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Incentive Effects of the U.S. Welfare System: A Review (1992)Active Labour Market Policy Evaluations: A Meta‐Analysis (2010)Workplace Heterogeneity and the Rise of West German Wage Inequality* (2013)Toward a Psychology of Human Agency (2006)The behaviour change wheel: A new method for characterising and designing behaviour change interventions (2011)Social determinants of mental health (2014)When Does Privatization Work? The Impact of Private Ownership on Corporate Performance in the Transition Economies (1999)The Effects of Public R&D Subsidies on Firms' Innovation Activities (2003)Teacher Quality in Educational Production: Tracking, Decay, and Student Achievement* (2010)
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References

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  • 1998Money and output viewed through a rolling window319 cited
  • 1994Subsample instability and asymmetries in money-income causality282 cited
  • 2004Globalization and Disease: The Case of SARS

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270 cited
  • 2004Economic Impact of SARS: The Case of Hong Kong266 cited
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    • 2021Spillovers of the COVID-19 Pandemic: Impact on Global Economic Activity, the Stock Market, and the Energy Sector76 cited
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    • 2021The impact of COVID-19 shocks on the volatility of stock markets in technologically advanced countries51 cited