Dynamic Connectedness among Vaccine Companies’ Stock Prices: Before and after Vaccines Released

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 &...

Full description

Saved in:
Bibliographic Details
Published in:Mathematics (Basel) 2022-08, Vol.10 (15), p.2812
Main Authors: Sohag, Kazi, Gainetdinova, Anna, Hammoudeh, Shawkat, Shams, Riad
Format: Article
Language:English
Subjects:
Behavior
connectedness
Coronaviruses
COVID-19 vaccines
cross-quantilogram
Disease transmission
Economic crisis
Emerging markets
Financial institutions
Immunization
International finance
Investments
Mathematics
Natural gas prices
Pandemics
Pharmaceutical industry
Portfolio management
Quantiles
Securities markets
Stock exchanges
stock market
TVP-VAR
vaccine producer
vaccine release
Vaccines
Volatility
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
ISSN:2227-7390
2227-7390
DOI:10.3390/math10152812