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Published, Version of Record (VoR)CC BY V4.0, Open
Journal article
Dynamic Connectedness among Vaccine Companies’ Stock Prices: Before and after Vaccines Released
Mathematics (Basel), v 10(15), p2812
01 Jan 2022
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This study investigates the interconnectedness among the stocks of the publicly listed vaccine-producing companies before and after vaccine releases in 2020/21. In doing so, the study utilizes the daily frequency equity returns of the major vaccine producers, including Moderna, Pfizer, Johnson & Johnson, Sinopharm and AstraZeneca. First, the investigation applies the TVP-VAR Dynamic Connectedness approach to explore the time–frequency connectedness between the stocks of those vaccine producers. The empirical findings demonstrate that Moderna performs as the most prominent net volatility contributor, whereas Sinopharm is the highest net volatility receiver. Interestingly, the vaccine release significantly increases the stock market connectedness among our sampled vaccine companies. Second, the cross-quantile dependency framework allows for the observation of the interconnectedness under the bearish and bullish stock market conditions by splitting any paired variables into 19 quantiles when considering short-, medium- and long-memories. The results also show that a high level of connectivity among the vaccine producers exists under bullish stock market conditions. Notably, Moderna transmits significant volatility spillovers to Sinopharm, Johnson & Johnson and AstraZeneca under both the bearish and bullish conditions, though the volatility transmission from Moderna to Pfizer is less pronounced. The policy implication proposes that the vaccine release allows companies to increase their stock returns and induce substantial volatility spillovers from company to company.
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Details
- Title
- Dynamic Connectedness among Vaccine Companies’ Stock Prices: Before and after Vaccines Released
- Creators
- Kazi Sohag - Ural Federal UniversityAnna GainetdinovaShawkat HammoudehRiad Shams
- Publication Details
- Mathematics (Basel), v 10(15), p2812
- Publisher
- MDPI AG
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000839777700001
- Scopus ID
- 2-s2.0-85136824048
- Other Identifier
- 991019167588804721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Mathematics