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Risk aversion connectedness in developed and emerging equity markets before and after the COVID-19 pandemic

ABSTRACT: This study investigates the dynamic connectedness across the variance risk premium in international developed and emerging equity markets based on a Bayesian time-varying parameter vector autoregressive methodology. The empirical results indicate that the total spillover index is on average 65.6%, indicating a high, albeit declining, level of interconnectedness across the investor sentiment in the three markets under review until early 2020. Following the COVID-19 outbreak though, the total investors' risk aversion connectedness – as expected – strengthens, but more importantly, its dynamics alter, indicating that the risk aversion of emerging markets is an important contributor to the connectedness of international markets. Variance risk premium; Diebold and Yilmaz; Spillovers; Emerging markets; Risk aversion; TVP-VAR; Covid; Financial crisis; Financial market; International finance; Behavioral economics; Econometrics

SUBMITTER: Fassas A

PROVIDER: S-EPMC7744712 | biostudies-literature | 2020 Dec

REPOSITORIES: biostudies-literature

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Project description:The current COVID-19 pandemic is the most severe pandemic of the 21st century, on track to having a rising death toll. Beyond causing respiratory distress, COVID-19 may also cause mortality by way of suicide. The pathways by which emerging viral disease outbreaks (EVDOs) and suicide are related are complex and not entirely understood. We aimed to systematically review the evidence on the association between EVDOs and suicidal behaviors and/or ideation. An electronic search was conducted using five databases: Medline, Embase, Web of Science, PsycINFO and Scopus in April 2020. A rapid systematic review was carried out, which involved separately and independently extracting quantitative data of selected articles. The electronic search yielded 2480 articles, of which 9 met the inclusion criteria. Most of the data were collected in Hong Kong (n = 3) and the USA (n = 3). Four studies reported a slight but significant increase in deaths by suicide during EVDOs. The increase in deaths by suicide was mainly reported during the peak epidemic and in older adults. Psychosocial factors such as the fear of being infected by the virus or social isolation related to quarantine measures were the most prominent factors associated with deaths by suicide during EVDOs. Overall, we found scarce and weak evidence for an increased risk of deaths by suicide during EVDOs. Our results inform the need to orient public health policies toward suicide prevention strategies targeting the psychosocial effects of EVDOs. High-quality research on suicide risk and prevention are warranted during the current pandemic. Highlights • Few studies assessed the association between suicidal behaviors or ideation and emerging viral outbreaks.• The literature reports weak evidence for increased suicide rates during emerging viral outbreaks.• Psychosocial factors are associated with deaths by suicide during emerging viral outbreaks.• Suicide prevention strategies are needed during emerging viral outbreaks.

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Risk aversion connectedness in developed and emerging equity markets before and after the COVID-19 pandemic

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