Economic uncertainty of pandemic and international airlines behaviour

This paper examines the role of uncertainty due to infectious diseases in predicting twenty International airline stocks within a nonparametric causality-in-quantiles framework. We observe that: First, the BDS test shows that nonlinearity is very important when examining the causal relationship betw...

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Bibliographic Details
Published in:PloS one 2022-05, Vol.17 (5), p.e0266842
Main Authors: Fasanya, Ismail O, Adekoya, Oluwasegun B, Oliyide, Johnson A
Format: Article
Language:English
Subjects:
Airlines
Causality
Control
COVID-19
Economic aspects
Epidemics
Forecasts and trends
Infectious diseases
Investments
Management
Medicine and Health Sciences
Nonlinear systems
Pandemics
People and Places
Physical Sciences
Policy
Quantiles
Research and Analysis Methods
Return on investment
Social Sciences
Stock exchanges
Travel restrictions
Uncertainty
United States
Volatility
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Summary:This paper examines the role of uncertainty due to infectious diseases in predicting twenty International airline stocks within a nonparametric causality-in-quantiles framework. We observe that: First, the BDS test shows that nonlinearity is very important when examining the causal relationship between EMV-ID and airline stock returns and its volatility. Second, the nonparametric quantiles-based causality test shows that airline stocks predictability driven by pandemic-based uncertainty is stronger mostly around the lower quantiles, with weak evidences in middle and higher quantiles. Relevant policy implications can be drawn from these findings.
ISSN:1932-6203
1932-6203
DOI:10.1371/journal.pone.0266842