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

Sohag, Kazi, Gainetdinova, Anna, Hammoudeh, Shawkat and Shams, Riad (2022) Dynamic Connectedness among Vaccine Companies’ Stock Prices: Before and after Vaccines Released. Mathematics, 10 (15). p. 2815. ISSN 2227-7390

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Official URL: https://doi.org/10.3390/math10152812


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.

Item Type: Article
Additional Information: Funding information: The research funding from the Ministry of Science and Higher Education of the Russian Federation (Ural Federal University project within the Priority-2030 Program) is gratefully acknowledged.
Uncontrolled Keywords: vaccine release; vaccine producer; stock market; connectedness; cross-quantilogram; TVP-VAR
Subjects: B900 Others in Subjects allied to Medicine
G100 Mathematics
N900 Others in Business and Administrative studies
Department: Faculties > Business and Law > Newcastle Business School
Depositing User: Elena Carlaw
Date Deposited: 09 Aug 2022 10:36
Last Modified: 09 Aug 2022 10:45
URI: http://nrl.northumbria.ac.uk/id/eprint/49788

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