Causality and volatility in the Colcap index of the Colombian Stock Exchange as a result of Covid-19 infections and deaths
Article Sidebar
Main Article Content
This article analyses the causality and volatility of the Colcap index of the Colombian Stock Exchange caused by Covid-19 infections and deaths. The methodology is econometric by estimating linear and non- linear Granger causality tests. The test results show that the stock market investors overreacted to COVID- 19 infections and deaths. The non-linear causality test also determined that investors took the evolution of infections in the last three to 10 days and the number of deaths in the last 15 days into account for their investment decision. In contrast, the linear Granger test indicates that they considered the evolution of infections and deaths over the last 11 days.
Albarracín S, Bojanini JD. Rendimientos del índice COLCAP en tiempos de COVID-19 [Internet]. [Bogotá]: Colegio de Estudios Superiores de Administración; 2021. Disponible en: https://repository.cesa.edu.co/handle/10726/4125
Gómez Rodríguez T, Ríos Bolívar H, Zambrano Reyes A. Volatilidad y COVID-19: evidencia empírica internacional. Rev Mex Econ Finanz [Internet]. 2021;16(3):1–22. Disponible en: http://dx.doi.org/10.21919/remef.v16i3.605 DOI: https://doi.org/10.21919/remef.v16i3.605
Das R, Debnath A. Analyzing the covid-19 pandemic of volatility spillover influence the collaboration of foreign and Indian stock markets. Rev finanz política econ [Internet]. 2022;14(2). Disponible en: http://dx.doi.org/10.14718/revfinanzpolitecon.v14.n2.2022.5 DOI: https://doi.org/10.14718/revfinanzpolitecon.v14.n2.2022.5
Contessi S, De Pace P. The international spread of COVID-19 stock market collapses. Fin Res Lett [Internet]. 2021;42(101894):101894. Disponible en: http://dx.doi.org/10.1016/j.frl.2020.101894 DOI: https://doi.org/10.1016/j.frl.2020.101894
Baek S, Mohanty SK, Glambosky M. COVID-19 and stock market volatility: An industry level analysis. Fin Res Lett [Internet]. 2020;37(101748):101748. Disponible en: http://dx.doi.org/10.1016/j.frl.2020.101748 DOI: https://doi.org/10.1016/j.frl.2020.101748
Wen F, Cao J, Liu Z, Wang X. Dynamic volatility spillovers and investment strategies between the Chinese stock market and commodity markets. Int Rev Fin Anal [Internet]. 2021;76(101772):101772. Disponible en: http://dx.doi.org/10.1016/j.irfa.2021.101772 DOI: https://doi.org/10.1016/j.irfa.2021.101772
Giraldo Picón EL. Pronóstico de volatilidades a los rendimientos de activos financieros de renta variable en Colombia a través de modelos ARCH y GARCH [Internet]. [Manizales, Colombia]: Universidad Nacional de Colombia; 2022. Disponible en: https://repositorio.unal.edu.co/handle/unal/81518
Romero Álvarez YP. IMPACTO DE LA PANDEMIA POR COVID-19 EN LA CANASTA ACCIONARIA DEL COLCAP EN COLOMBIA. Revista Pensamiento Gerencial [Internet]. 2021;9(9):1–9. Disponible en: https://revistas.unisucre.edu.co/index.php/rpg/article/view/860/950
Chowdhury, Emon Kalyan. Strategic approach to analyze the effect of Covid-19 on the stock market volatility and uncertainty: a first and second wave perspective. Journal of Capital Markets Studies [Internet]. 2022, 6(3): 225-241. DOI: https://doi.org/10.1108/JCMS-05-2022-0015
Harjoto, Maretno Agus, et al. How do equity markets react to COVID-19? Evidence from emerging and developed countries. Journal of Economics and Business [Internet]. 2021,115(1),: 105966. Disponible en: https://doi.org/10.1016%2Fj.jeconbus.2020.105966 DOI: https://doi.org/10.1016/j.jeconbus.2020.105966
Corradi, Valentina; Distaso, Walter; Mele, Antonio. Macroeconomic determinants of stock market volatility and volatility risk-premiums. Swiss Finance Institute Research Paper [Internet]. 2012: 12-18. Disponible en: https://dx.doi.org/10.2139/ssrn.2005021 DOI: https://doi.org/10.2139/ssrn.2005021
Romero-Meza R, Coronado S, Ibañez-Veizaga F. COVID-19 y causalidad en la volatilidad del mercado accionario chileno. Estud Gerenc [Internet]. 2021;242–50. Disponible en: http://dx.doi.org/10.18046/j.estger.2021.159.4412 DOI: https://doi.org/10.18046/j.estger.2021.159.4412
Ashraf, Badar Nadeem. Stock markets’ reaction to COVID-19: Cases or fatalities?. Research in international business and finance [Internet], 2020, 54(1):101249. Disponible en: https://doi.org/10.1016%2Fj.ribaf.2020.101249 DOI: https://doi.org/10.1016/j.ribaf.2020.101249
Al-Awadhi AM, Alsaifi K, Al-Awadhi A, Alhammadi S. Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. J Behav Exp Finance [Internet]. 2020;27(100326):100326. Disponible en: http://dx.doi.org/10.1016/j.jbef.2020.100326 DOI: https://doi.org/10.1016/j.jbef.2020.100326
Reimer, Guillermina; Briozzo, Anahí; Capobianco, Guillermo. Eventos informativos sobre COVID-19 y su efecto en índices bursátiles. Una revisión de la evidencia empírica. Estudios Gerenciales, 2023, 39(167): 219-232. Disponible en: https://doi.org/10.18046/j.estger.2023.167.5759 DOI: https://doi.org/10.18046/j.estger.2023.167.5759
Chaengkham S, Wianwiwat S. The impacts of macroeconomic and financial indicators on stock market index: evidence from Thailand. Int J Trade Glob Mark [Internet]. 2021;14(2):197. Disponible en: http://dx.doi.org/10.1504/ijtgm.2021.114058 DOI: https://doi.org/10.1504/IJTGM.2021.114058
Ali I, Rehman KU, Yilmaz AK, Khan MA, Afzal H. Causal relationship between macro-economic indicators and stock exchange prices in Pakistan. African Journal of Business Management [Internet]. 2010;4(10):312–9. Disponible en: https://www.internationalscholarsjournals.com/articles/causal-relationship-between-macro-economic-indicators-and-stock-exchange-prices-in-pakistan.pdf
Bora D, Basistha D. The outbreak of COVID-19 pandemic and its impact on stock market volatility: Evidence from a worst-affected economy. J Public Aff [Internet]. 2021;21(4):e2623. Disponible en: http://dx.doi.org/10.1002/pa.2623 DOI: https://doi.org/10.1002/pa.2623
Qureshi M, Adrian T, Natalucci F. Macro-financial stability in the COVID-19 crisis: Some reflections. IMF Work Pap [Internet]. 2022;2022(251):1. Disponible en: http://dx.doi.org/10.5089/9798400223532.001 DOI: https://doi.org/10.5089/9798400223532.001
Green TC, Figlewski S. Market risk and model risk for a financial institution writing options. J Finance [Internet]. 1999;54(4):1465–99. Disponible en: http://dx.doi.org/10.1111/0022-1082.00152 DOI: https://doi.org/10.1111/0022-1082.00152
Mandelbrot B. New methods in statistical economics. J Polit Econ [Internet]. 1963;71(5):421–40. Disponible en: http://dx.doi.org/10.1086/258792 DOI: https://doi.org/10.1086/258792
Rothschild M, Stiglitz J. Equilibrium in competitive insurance markets: An essay on the economics of imperfect information. Q J Econ [Internet]. 1976;90(4):629. Disponible en: http://dx.doi.org/10.2307/1885326 DOI: https://doi.org/10.2307/1885326
Schiemann F, Sakhel A. Carbon disclosure, contextual factors, and information asymmetry: The case of physical risk reporting. Eur Account Rev [Internet]. 2019;28(4):791–818. Disponible en: http://dx.doi.org/10.1080/09638180.2018.1534600 DOI: https://doi.org/10.1080/09638180.2018.1534600
Khan M, Kayani UN, Khan M, Mughal KS, Haseeb M. COVID-19 pandemic & financial market volatility; Evidence from GARCH models. J Risk Fin Manag [Internet]. 2023;16(1):50. Disponible en: http://dx.doi.org/10.3390/jrfm16010050 DOI: https://doi.org/10.3390/jrfm16010050
Pérez-Faúndez N. Impacto de la crisis del coronavirus sobre los índices bursátiles FTSE 100 y DAX [Internet]. [España]: Universidad de Valladolid; 2021. Disponible en: https://uvadoc.uva.es/handle/10324/51515
Alfaro L, Chari A, Greenland A, Schott P. Aggregate and firm-level stock returns during pandemics, in real time. Cambridge, MA: National Bureau of Economic Research; 2020. DOI: https://doi.org/10.3386/w26950
Sanguinetti-Sánchez LA. Impacto de la Covid-19 sobre la volatilidad del mercado de valores peruano [Internet]. [Lima, Perú]: Universidad de Piur; 2022. Disponible en: https://pirhua.udep.edu.pe/handle/11042/5655
Emenogu NG, Adenomon MO, Nweze NO. On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting. Financ Innov [Internet]. 2020;6(1). Disponible en: http://dx.doi.org/10.1186/s40854-020-00178-1 DOI: https://doi.org/10.1186/s40854-020-00178-1
Rakshit B, Neog Y. Effects of the COVID-19 pandemic on stock market returns and volatilities: evidence from selected emerging economies. Stud Econ Fin [Internet]. 2022;39(4):549–71. Disponible en: http://dx.doi.org/10.1108/sef-09-2020-0389 DOI: https://doi.org/10.1108/SEF-09-2020-0389
Albulescu C. Coronavirus and financial volatility: 40 days of fasting and fear. 2020; Disponible en: http://dx.doi.org/10.48550/ARXIV.2003.04005 DOI: https://doi.org/10.2139/ssrn.3550630
Albulescu C. Do COVID-19 and crude oil prices drive the US economic policy uncertainty? 2020; Disponible en: http://dx.doi.org/10.48550/ARXIV.2003.07591 DOI: https://doi.org/10.2139/ssrn.3555192
Onali E. COVID-19 and stock market volatility. SSRN Electron J [Internet]. 2020; Disponible en: http://dx.doi.org/10.2139/ssrn.3571453 DOI: https://doi.org/10.2139/ssrn.3571453
Haroon O, Rizvi SAR. COVID-19: Media coverage and financial markets behavior-A sectoral inquiry. J Behav Exp Finance [Internet]. 2020;27(100343):100343. Disponible en: http://dx.doi.org/10.1016/j.jbef.2020.100343 DOI: https://doi.org/10.1016/j.jbef.2020.100343
Granger CWJ. Investigating causal relations by econometric models and cross-spectral methods. Econometrica [Internet]. 1969;37(3):424. Disponible en: http://dx.doi.org/10.2307/1912791 DOI: https://doi.org/10.2307/1912791
Diks C, Panchenko V. A new statistic and practical guidelines for nonparametric Granger causality testing. J Econ Dyn Control [Internet]. 2006;30(9–10):1647–69. Disponible en: http://dx.doi.org/10.1016/j.jedc.2005.08.008 DOI: https://doi.org/10.1016/j.jedc.2005.08.008
Coronado S, Jimenez-Rodriguez R, Rojas O. An empirical analysis of the relationships between crude oil, gold and stock markets. Energy J [Internet]. 2018;39(01). Disponible en: http://dx.doi.org/10.5547/01956574.39.si1.scor DOI: https://doi.org/10.5547/01956574.39.SI1.scor
Oronado S, Fullerton TM, Rojas O. A Nonlinear Empirical Analysis of Oil Price Co-movements. International Journal of Energy Economics and Policy [Internet]. 2018;8(3):290–4. Disponible en: https://www.econjournals.com/index.php/ijeep/article/view/6248
Valdés Medina FE, Saavedra García ML, Gutiérrez Navarro AA. Análisis del impacto de la pandemia COVID-19 en las cotizaciones de las empresas farmacéuticas listadas en el índice NYSE. Cuad Econ [Internet]. 2021;40(85). Disponible en: http://dx.doi.org/10.15446/cuad.econ.v40n85.90900 DOI: https://doi.org/10.15446/cuad.econ.v40n85.90900
Accepted 2024-01-18
Published 2024-02-26
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Authors grant the journal and Universidad del Valle the economic rights over accepted manuscripts, but may make any reuse they deem appropriate for professional, educational, academic or scientific reasons, in accordance with the terms of the license granted by the journal to all its articles.
Articles will be published under the Creative Commons 4.0 BY-NC-SA licence (Attribution-NonCommercial-ShareAlike).