Causal estimation of COVID-19 and SARS on China's stock market: evidence from a time series counterfactual prediction

Causal estimation of COVID-19 and SARS on China's stock market: evidence from a time series counterfactual prediction

This investigation infers the time evolution causal effect of COVID-19 and SARS on China's stock market based on predicting the counterfactual market response using a diffusion-regression state-space model. The results show that SARS caused an average negative impact of 5.4% on stock prices. In...

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Bibliographic Details
Main Authors: Yun Feng, Xin Li
Format: Article
Language:English
Published: Taylor & Francis Group 2021-03-01
Series:Ekonomska Istraživanja
Subjects:
stock market
covid-19
sars
causal inference
counterfactual predicting
Online Access:http://dx.doi.org/10.1080/1331677X.2021.1910533

Internet

http://dx.doi.org/10.1080/1331677X.2021.1910533

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