Bayesian state-space modelling of stock markets in G7 countries During the COVID-19 Pandemic
This work examines the impact of Coronavirus disease (COVID-19) on the stock market of Group of Seven (G7) countries during the first wave of COVID-19 using daily data from March, 1st of 2020 to December, 31st of 2020. Focussing on such period, a Bayesian Structural Time Series Model (BSTSM) was use...
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| Language: | English |
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Elsevier
2024-11-01
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| Series: | Heliyon |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844024154771 |
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| author | Oluwadare O. Ojo |
| author_facet | Oluwadare O. Ojo |
| author_sort | Oluwadare O. Ojo |
| collection | DOAJ |
| description | This work examines the impact of Coronavirus disease (COVID-19) on the stock market of Group of Seven (G7) countries during the first wave of COVID-19 using daily data from March, 1st of 2020 to December, 31st of 2020. Focussing on such period, a Bayesian Structural Time Series Model (BSTSM) was used to capture the effects of first wave of COVID-19 on the stock market performance of these G7 countries by employing a Markov Chain Monte Carlo (MCMC) method. We considered an Autoregressive (AR) model with time-varying parameters and a local linear trend model to know if the stock price of these countries during the period of the first wave of COVID-19 is changing over time. There was a stochastic trend in stock prices of G7 countries during the period of the first wave of COVID-19 while the AR process itself was also changing over time. The stock market of the USA followed by Japan performed better than other G7 countries during the first phase of the COVID-19 pandemic while the stock market of France was affected during the COVID-19 pandemic. |
| format | Article |
| id | doaj-art-9c4e5bc115984898ac237d2c2eb9ddcf |
| institution | DOAJ |
| issn | 2405-8440 |
| language | English |
| publishDate | 2024-11-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Heliyon |
| spelling | doaj-art-9c4e5bc115984898ac237d2c2eb9ddcf2025-08-20T02:48:58ZengElsevierHeliyon2405-84402024-11-011022e3944610.1016/j.heliyon.2024.e39446Bayesian state-space modelling of stock markets in G7 countries During the COVID-19 PandemicOluwadare O. Ojo0Department of Statistics, Federal University of Technology, Akure, NigeriaThis work examines the impact of Coronavirus disease (COVID-19) on the stock market of Group of Seven (G7) countries during the first wave of COVID-19 using daily data from March, 1st of 2020 to December, 31st of 2020. Focussing on such period, a Bayesian Structural Time Series Model (BSTSM) was used to capture the effects of first wave of COVID-19 on the stock market performance of these G7 countries by employing a Markov Chain Monte Carlo (MCMC) method. We considered an Autoregressive (AR) model with time-varying parameters and a local linear trend model to know if the stock price of these countries during the period of the first wave of COVID-19 is changing over time. There was a stochastic trend in stock prices of G7 countries during the period of the first wave of COVID-19 while the AR process itself was also changing over time. The stock market of the USA followed by Japan performed better than other G7 countries during the first phase of the COVID-19 pandemic while the stock market of France was affected during the COVID-19 pandemic.http://www.sciencedirect.com/science/article/pii/S2405844024154771BayesianCOVID-19G7 countriesState-space modellingStock markets |
| spellingShingle | Oluwadare O. Ojo Bayesian state-space modelling of stock markets in G7 countries During the COVID-19 Pandemic Heliyon Bayesian COVID-19 G7 countries State-space modelling Stock markets |
| title | Bayesian state-space modelling of stock markets in G7 countries During the COVID-19 Pandemic |
| title_full | Bayesian state-space modelling of stock markets in G7 countries During the COVID-19 Pandemic |
| title_fullStr | Bayesian state-space modelling of stock markets in G7 countries During the COVID-19 Pandemic |
| title_full_unstemmed | Bayesian state-space modelling of stock markets in G7 countries During the COVID-19 Pandemic |
| title_short | Bayesian state-space modelling of stock markets in G7 countries During the COVID-19 Pandemic |
| title_sort | bayesian state space modelling of stock markets in g7 countries during the covid 19 pandemic |
| topic | Bayesian COVID-19 G7 countries State-space modelling Stock markets |
| url | http://www.sciencedirect.com/science/article/pii/S2405844024154771 |
| work_keys_str_mv | AT oluwadareoojo bayesianstatespacemodellingofstockmarketsing7countriesduringthecovid19pandemic |