Abstract:
:The novel coronavirus disease (COVID-19) is one of the worst pandemics in human history. Our research objective is to assess the contagion effect on Japanese firms and to evaluate the Japanese government's COVID-19 measures during the period from April 7, 2020, to May 25, 2020. We propose a susceptible-infected-recovered-dead model for COVID-19 and derive COVID-19 parameters for Japan. Subsequently, we analyze the effect of COVID-19 on Japanese firms through correlation-based network and credit risk analyses. The main findings are that the Tokyo Stock Price Index moved in the opposite direction of COVID-19 parameters and COVID-19 parameters are almost the only risk factors that impact a firm's credit risk during the period. Finally, we find that the interconnection analysis between the COVID-19 infection network and the financial networks contribute to the existing pandemic risk management knowledge.
journal_name
Res Int Bus Financejournal_title
Research in international business and financeauthors
Kanno Mdoi
10.1016/j.ribaf.2021.101491keywords:
["COVID-19","Correlation-based network","Net cash","Risk contagion","Stock market","Susceptible-infected-recovered-dead (SIRD) model"]subject
Has Abstractpub_date
2021-12-01 00:00:00pages
101491eissn
0275-5319issn
1878-3384pii
S0275-5319(21)00112-4journal_volume
58pub_type
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journal_title:Research in international business and finance
pub_type: 杂志文章
doi:10.1016/j.ribaf.2020.101299
更新日期:2020-12-01 00:00:00