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Impact of COVID-19 on Taiwanese stock market

Author

Listed:
  • Wang, Mei-Chih
  • Chang, Hao-Wen
  • Chang, Tsangyao

Abstract

This study examines the impact of confirmed COVID-19 cases on Taiwan’s stock market returns from January 30, 2020, to April 14, 2023, incorporating factors including interest rates, crude oil prices, and exchange rates. Results show significant short and medium-term cross-quantile dependence between COVID-19 cases and stock returns, weakening the relationship over extended lag periods. The findings highlight the Taiwanese stock market’s sensitivity to daily case increases, with varying correlations over time, especially in lower and medium quantiles, indicating changing dependency structures.

Suggested Citation

  • Wang, Mei-Chih & Chang, Hao-Wen & Chang, Tsangyao, 2025. "Impact of COVID-19 on Taiwanese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
    • Handle: RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002055
    DOI: 10.1016/j.najef.2024.102280
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    More about this item

    Keywords

    COVID-19 Pandemic; Taiwan Stock Market Return; Cross-Quantilogram Approach;
    All these keywords.

    JEL classification:

    • I18 - Health, Education, and Welfare - - Health - - - Government Policy; Regulation; Public Health
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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