Directional Return Predictability Among Stock Indices Before and After the COVID-19 Outbreak

초록

This study uses the Granger non-causality test in quantiles to examine how directional return predictability across nine major equity indices changed around the COVID-19 shock. In the pre-COVID-19 period, directional predictability among East Asian indices is concentrated in the lower tail, especially over the quantile interval [0.05,0.2], consistent with stronger downside dependence under bearish market conditions. In the post-COVID-19 period, lower-tail dependence remains present, but the most distinctive strengthening emerges in the upper tail, with the interval [0.8,0.95] showing the densest pattern of significant linkages among East Asian markets. These results suggest that the pandemic and the subsequent policy-response environment altered not only the intensity but also the distributional location of cross-market dependence.

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