Covid - 19 Crisis and stock market volatility Markov switching nonlinear approach at the level of industries

Subject Areas : Financial Economics

جعفر حقیقت ¹ , سارا معصوم زاده ² , فاطمه سیدهاشمی ³

1 - عضو هیئت علمی دانشگاه
2 - دانشجوی دکترا
3 - دانشجوی دکترا

Received: 2021-10-24 Accepted : 2022-09-20 Published : 2025-03-08

Keywords: c22, c51, g21,

Abstract :

Abstract

Health care systems around the world are facing significant challenges following the emergence of the Quid 19 virus and the development of acute respiratory syndrome. The changes that have taken place in the daily lives of the people after this epidemic have led to many challenges and changes; Iran's stock market has not been immune to the effects of this crisis. Therefore, the present study examines the impact of Covid 19 crisis on stock market turmoil in seven stock exchange industries of financial intermediaries, automobiles, rubber and plastics, chemical products, base metals, sugar and mineral products in the period from February 11, 2017 to February 20, 2017. April 1400 uses the Markov nonlinear model of switching in two modes before Covid 19 and after Covid 19. The results show that with the increase in the number of deaths due to covid virus 19, the total risk turmoil in the metals industry has increased and in the intermediary financial institutions, automobiles, rubber and plastics, chemical products, sugar and mineral products has decreased. Also, with the increase in the number of deaths due to covid virus 19, systematic risk fluctuations have increased in the industries of financial intermediaries and sugar and sugar, and in the industries of automobiles, rubber and plastics, chemical products, basic metals and mineral products have decreased. Improved covid 19 virus has a positive effect on the overall risk of intermediate financial institutions, rubber and plastics industries, a negative impact on the overall risk of basic metals, automotive, chemical products, sugar and mineral products, a systematic risk of intermediate financial institutions, automobile , Rubber, plastics, sugar and sugar have a positive effect and have a negative effect on the systematic risk of chemical, base metals and mineral products industries.

Keywords: Covid 19, stock market, volatility, nonlinear method.

References:


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