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Article

Uncertainty Due to Infectious Diseases and Stock–Bond Correlation

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Department of Management Science & Technology, University of Patras, Megalou Aleksandrou 1, Koukouli, 26334 Patras, Greece
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Department of Business Administration, University of Patras, University Campus—Rio, P.O. Box 1391, 26504 Patras, Greece
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College of Business, Zayed University, Abu Dhabi P.O. Box 144534, United Arab Emirates
*
Author to whom correspondence should be addressed.
Academic Editor: Kajal Lahiri
Received: 29 January 2021 / Revised: 24 March 2021 / Accepted: 30 March 2021 / Published: 19 April 2021
(This article belongs to the Special Issue Health Econometrics)
We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock–bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger causality test with the use of artificial neural networks so as to investigate the predictability of this type of uncertainty on realized stock–bond correlation and jumps. Our findings reveal that uncertainty-due-to-infectious-diseases has significant predictive value on the changes of the stock–bond relation. View Full-Text
Keywords: artificial neural networks; Granger causality test; nonlinearity; uncertainty; infectious diseases; stock–bond correlation artificial neural networks; Granger causality test; nonlinearity; uncertainty; infectious diseases; stock–bond correlation
MDPI and ACS Style

Gkillas, K.; Konstantatos, C.; Siriopoulos, C. Uncertainty Due to Infectious Diseases and Stock–Bond Correlation. Econometrics 2021, 9, 17. https://0-doi-org.brum.beds.ac.uk/10.3390/econometrics9020017

AMA Style

Gkillas K, Konstantatos C, Siriopoulos C. Uncertainty Due to Infectious Diseases and Stock–Bond Correlation. Econometrics. 2021; 9(2):17. https://0-doi-org.brum.beds.ac.uk/10.3390/econometrics9020017

Chicago/Turabian Style

Gkillas, Konstantinos, Christoforos Konstantatos, and Costas Siriopoulos. 2021. "Uncertainty Due to Infectious Diseases and Stock–Bond Correlation" Econometrics 9, no. 2: 17. https://0-doi-org.brum.beds.ac.uk/10.3390/econometrics9020017

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