Frequency connectedness and cross-quantile dependence among medicare, medicine prices and health-tech equity

We investigate the dynamic connectedness among health-tech equity and medicine prices (producer and consumer) and Medicare cost indices for the US market. In doing so, we apply Cross-Quantilogram Dynamic Connectedness based on Time-Varying Parameter Vector Autoregression (TVP-VAR) approaches to anal...

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Bibliographic Details
Published in:Technovation 2023-02, Vol.120, p.102483, Article 102483
Main Authors: Sohag, Kazi, Shams, S.M. Riad, Gainetdinova, Anna, Nappo, Fabio
Format: Article
Language:English
Subjects:
Cross-quantilogram
Health-tech equity
Medicare
Medicine price
USA
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Summary:We investigate the dynamic connectedness among health-tech equity and medicine prices (producer and consumer) and Medicare cost indices for the US market. In doing so, we apply Cross-Quantilogram Dynamic Connectedness based on Time-Varying Parameter Vector Autoregression (TVP-VAR) approaches to analyse historical high-frequency time-series data. TVP-VAR results show that health-tech equity is the highest volatility transmitter while Medicare price is the highest volatility receiver. We also find medicine producer price is the net volatility contributor while the retail price of medicine is the net volatility receiver. The Cross-Quantilogram analysis confirms a strong bivariate quantile dependence between respective markets at a higher quantile of each market. Cross-quantilogram demonstrates a higher level of connectedness among the markets when considering medium and long memory. We observe health-tech equity turned to be a profound volatility contributor, while medicine price (both producer and retail prices) and Medicare appeared to net volatility receiver during the time of COVID19 Pandemic. The financial performance of health-tech equity returns elevates the price volatility of medicine and eventually Medicare cost, which imply that equity return should be incorporated forming medicine prices. •This study shows the connectedness among health-tech equity and medicine prices.•Health-tech equity is the highest volatility transmitter.•Medicare price is the highest volatility receiver in US economy.•Medicare turned out to be a net volatility receiver during the COVID19 Pandemic.
ISSN:0166-4972
1879-2383
DOI:10.1016/j.technovation.2022.102483