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Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19
16 references·5 citing·40 second hop
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(2020)Stock markets’ reaction to CO…General diagnostic tests for cross-sectional dependence in panels (2020)General diagnostic tests for …Financial markets under the global pandemic of COVID-19 (2020)Financial markets under the g…Feverish Stock Price Reactions to COVID-19* (2020)Feverish Stock Price Reaction…Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Economic impact of government…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…A simple panel unit root test in the presence of cross‐section dependence (2007)A simple panel unit root test…Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)Estimation and Inference in L…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…Estimation of a Change Point in Multiple Regression Models (1997)Estimation of a Change Point …Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…Exchange Rates and the Current Account. (1980)Exchange Rates and the Curren…Testing and estimating structural breaks in time series and panel data in Stata (2025)Testing and estimating struct…The impact of the integration of the digital economy and the real economy on the risk of stock price collapse (2024)The impact of the integration…Demographic transition and inflation (2024)Demographic transition and in…Eurozone government bond spreads: A tale of different ECB policy regimes (2023)Eurozone government bond spre…Climate Risk and Stock Markets: Implications for Market Efficiency and Return Predictability (2023)Climate Risk and Stock Market…Continuous Auctions and Insider Trading (1985)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)The Cross-Section of Expected Stock Returns (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)How Sovereign Is Sovereign Credit Risk? (2011)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)Unit root tests for panel data (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)Estimating long-run relationships from dynamic heterogeneous panels (1995)Macroeconomic Forecasting Using Diffusion Indexes (2002)General Diagnostic Tests for Cross Section Dependence in Panels (2004)Testing slope homogeneity in large panels (2007)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)Testing for Granger non-causality in heterogeneous panels (2012)The effect of renewable energy consumption on economic growth: Evidence from top 38 countries (2015)Biases in Dynamic Models with Fixed Effects (1981)Spatial Econometrics: Methods and Models (1988)How does fiscal decentralization affect CO2 emissions? The roles of institutions and human capital (2020)Environmental concern in the era of industrialization: Can financial development, renewable energy and natural resources alleviate some load? (2022)Natural resource scarcity, fossil fuel energy consumption, and total greenhouse gas emissions in top emitting countries (2023)Financial contagion during COVID–19 crisis (2020)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)
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References

  • 2007A simple panel unit root test in the presence of cross‐section dependence12,758 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 2006Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure5,067 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 2020General diagnostic tests for cross-sectional dependence in panels2,752 cited
  • 2020Financial markets under the global pandemic of COVID-192,349 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2020Stock markets’ reaction to COVID-19: Cases or fatalities?1,253 cited
  • 2020Feverish Stock Price Reactions to COVID-19*1,199 cited
  • 1980Exchange Rates and the Current Account.1,042 cited
  • 2020The Unprecedented Stock Market Impact of COVID-19903 cited
  • 1997Estimation of a Change Point in Multiple Regression Models829 cited

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  • 2020Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets763 cited
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    • 2023Climate Risk and Stock Markets: Implications for Market Efficiency and Return Predictability34 cited
    • 2023Eurozone government bond spreads: A tale of different ECB policy regimes23 cited
    • 2024Demographic transition and inflation14 cited