Breakpoint Analysis for the COVID-19 Pandemic and Its Effect on the Stock Markets

Abstract

In this research, statistical models are formulated to study the effect of the health crisis arising from COVID-19 in global markets. Breakpoints in the price series of stock indexes are considered. Such indexes are used as an approximation of the stock markets in different countries, taking into account that they are indicative of these markets because of their composition. The main results obtained in this investigation highlight that countries with better institutional and economic conditions are less affected by the pandemic. In addition, the effect of the health index in the models is associated with their non-significant parameters. This is due to that the health index used in the modeling would not determine the different capacities of the countries analyzed to respond efficiently to the pandemic effect. Therefore, the contagion is the preponderant factor when analyzing the structural breakdown that occurred in the world economy.

Lot-Size Models with Uncertain Demand Considering Its Skewness/Kurtosis and Stochastic Programming Applied to Hospital Pharmacy with Sensor-Related COVID-19 Data

“…COVID-19 arrived in South America in February 2020 [ 1 ] and was declared a pandemic by the World Health Organization (WHO) in March 2020 ( ; accessed on 16 July 2021). The COVID-19 pandemic has changed the usual people behavior around the world, and its impact on health and the worldwide economy and finance is notorious [ 2 , 3 , 4 ]. The number of people affected by COVID-19, the number of lives lost, and the results of the measures taken by government authorities throughout the world are aspects to be studied [ 5 ].…”

Disjoint and Functional Principal Component Analysis for Infected Cases and Deaths Due to COVID-19 in South American Countries with Sensor-Related Data

“…Despite the fact that some countries already knew that they had COVID-19 infected cases in their territory since the beginning of February 2020, it was in mid-March 2020 when the governments made the first decisions to control the spread of the virus. With full knowledge of what was happening in Asia and Europe, some South American countries minimized the impact that COVID-19 would have on the economy [2,3] and on people's health. Other countries were a little more cautious and took strong measures from mid-March 2020, such as closing borders and confining citizens.…”

“…The COVID-19 pandemic has deteriorated the usual dynamics that rule the world [1]. Its impact on health and the worldwide economy is evident [2,3]. The number of people affected by the COVID-19 disease, the significant number of human lives that have been lost, and the consequences of the containment measures are urgent concerns that should be analyzed.…”

Predicting PM2.5 and PM10 Levels during Critical Episodes Management in Santiago, Chile, with a Bivariate Birnbaum-Saunders Log-Linear Model

“…(i) Incorporation in the modeling of temporal, spatial, functional and quantile regression structures, as well as measurement errors, and partial least squares, are suitable to be studied and can improve the predictive capability of the model [57][58][59][60][61][62][63]. (ii) Traditional robust estimation methods as well as the theoretical study of quantitative robustness are also of interest [64].…”