Анализ влияния пандемии COVID-19 на индексы фондовой биржи Италии
DOI:
https://doi.org/10.17059/ekon.reg.2022-4-22Ключевые слова:
коронавирус, COVID-19, индексы итальянской фондовой биржи, Италия, эконометрическая модель, смертность, корреляция, фондовая биржa, пандемияАннотация
Изоляция и меры социального дистанцирования негативно повлияли на развитие мировой экономики и финансовых рынков. В настоящей статье исследуется влияние пандемии COVID-19 на цены индексов итальянской фондовой биржи. Парные модели зависимости основных индексов итальянской фондовой биржи от числа выздоровевших и умерших пациентов были проанализированы с помощью метода наименьших квадратов. Использование программного пакета Gretl позволило провести различные тесты для проверки выполнимости условий Гаусса-Маркова: тест Уайта для тестирования гетероскедастичности остатков, критерий Дарбина-Уотсона для анализа автокорреляции остатков, а также оценка нормальности распределения остатков. Построенные статистически значимые регрессионные модели демонстрируют влияние заболеваемости и смертности населения Италии в период пандемии COVID-19 на цену 11 основных биржевых индексов. Результаты исследования выявили снижение и высокую волатильность доходности акций в период пандемии коронавируса весной 2020 года в Италии по сравнению с обычным периодом. Разработанная эконометрическая модель показала, что COVID-19 оказал негативное влияние на доходность акций и ряд других показателей фондового рынка Италии. Также была выявлена статистически значимая связь между количеством умерших от коронавируса и ключевыми биржевыми индексами.
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