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Infectious disease equity market volatility, geopolitical risk, speculation, and commodity returns: Comparative analysis of five epidemic outbreaks

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  • Long, Shaobo
  • Guo, Jiaqi

Abstract

This paper uses a time-varying Granger causality test and time-varying parameter vector autoregression with stochastic volatility model to analyze the effects of infectious disease equity market volatility (ID-EMV), geopolitical risk (GPR), and speculation on commodity returns. The time-varying effects of ID-EMV, GPR, and speculation on commodity returns are investigated and compared in five epidemics during 1998–2021: Bird Flu in 1998, SARS in 2003, Swine Flu in 2009, MERS and Ebola in 2014, and COVID-19 in 2019. A further analysis is performed for five commodity subcategories of textiles, industry, metals, livestock, and food. Results show that time-varying effects are significant, and most responses to ID-EMV are positive, to GPR are changing from negative to positive, and to speculation are negative. Notably, ID-EMV in the ongoing COVID-19 pandemic is the worst hit to commodity returns in more than two decades.

Suggested Citation

  • Long, Shaobo & Guo, Jiaqi, 2022. "Infectious disease equity market volatility, geopolitical risk, speculation, and commodity returns: Comparative analysis of five epidemic outbreaks," Research in International Business and Finance, Elsevier, vol. 62(C).
    • Handle: RePEc:eee:riibaf:v:62:y:2022:i:c:s0275531922000770
    DOI: 10.1016/j.ribaf.2022.101689
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    More about this item

    Keywords

    Infectious Disease Pandemic; COVID-19; Commodity Returns; Geopolitical Risk; Speculation;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance

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