Direct and spillover portfolio effects of COVID-19.
Res Int Bus Finance
; 65: 101932, 2023 Apr.
Article
em En
| MEDLINE
| ID: mdl-36987439
ABSTRACT
This paper investigates the direct and spillover portfolio effects from the global outbreak of COVID-19. We find that an increase of the newly added cases of one specific country causes investors to significantly decrease their portfolio allocations in the outbreak countries (direct effect). Simultaneously, investors also decrease their allocations to other countries (spillover effect). In addition, we provide evidence and documentation that the transmission mechanism underlying foreign exposures matter to the above-mentioned portfolio effect. Moreover, we provide evidence for phase heterogeneity. The first wave of the COVID-19 pandemic has significant direct and spillover portfolio effects, but the impacts are weakened in second wave of the pandemic. The capital reallocation effect occurs only when the disease becomes global. Finally, our heterogeneities analysis shows that both local and spillover effects are mitigated when the economies are more developed and democratic and when the country has better health care facilities.
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Base de dados:
MEDLINE
Idioma:
En
Revista:
Res Int Bus Finance
Ano de publicação:
2023
Tipo de documento:
Article
País de afiliação:
China