Evaluation of Changes on World Stock Exchanges in Connection with the SARS-CoV-2 Pandemic. Survival Analysis Methods

Risks

Beata Bieszk-Stolorz¹  Krzysztof Dmytrów¹ 

[1] Institute of Economics and Finance, University of Szczecin, 71-101 Szczecin, Poland;

关键词: stock indices;    risk assessment;    survival analysis models;    SARS-CoV-2 pandemic;   

DOI  :  10.3390/risks9070121

来源: DOAJ

【 摘 要 】

The aim of our research was to compare the intensity of decline and then increase in the value of basic stock indices during the SARS-CoV-2 coronavirus pandemic in 2020. The survival analysis methods used to assess the risk of decline and chance of rise of the indices were: Kaplan–Meier estimator, logit model, and the Cox proportional hazards model. We observed the highest intensity of decline in the European stock exchanges, followed by the American and Asian plus Australian ones (after the fourth and eighth week since the peak). The highest risk of decline was in America, then in Europe, followed by Asia and Australia. The lowest risk was in Africa. The intensity of increase was the highest in the fourth and eleventh week since the minimal value had been reached. The highest odds of increase were in the American stock exchanges, followed by the European and Asian (including Australia and Oceania), and the lowest in the African ones. The odds and intensity of increase in the stock exchange indices varied from continent to continent. The increase was faster than the initial decline.

【 授权许可】

Unknown