Impacts of COVID-19 on Various Financial Assets in Korea: A Bayesian Network Approach

37 Pages Posted: 25 Jan 2023

See all articles by Ha Kyung Chung

Ha Kyung Chung

Korea Development Institute (KDI) - Macroeconomic Policy Division

Wonho Song

Chung-Ang University

Abstract

This study conducts an empirical analysis of how the various financial assets in South Korea (stock, bond, exchange rates, Bitcoin, Koribor, gold, and oil) react during the COVID-19 pandemic period using the Bayesian network approach. We consider various asset types together, especially providing the results graphically. Our empirical results show that, first, the Bayesian Networks are useful for analyzing causal relationships among multiple assets. Second, COVID-19 directly or indirectly affects asset markets. In the post-COVID-19 period, network structures are more complex than the pre-COVID-19 period. Third, we apply the Bayesian network to the analysis of submarkets as a robustness check.

Keywords: COVID-19, Financial Markets, Bayesian network, asset returns

Suggested Citation

Chung, Ha Kyung and Song, Wonho, Impacts of COVID-19 on Various Financial Assets in Korea: A Bayesian Network Approach. Available at SSRN: https://ssrn.com/abstract=4333917 or http://dx.doi.org/10.2139/ssrn.4333917

Ha Kyung Chung

Korea Development Institute (KDI) - Macroeconomic Policy Division ( email )

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