Economic uncertainty of pandemic and international airlines behaviour

Abstract

This paper examines the role of uncertainty due to infectious diseases in predicting twenty International airline stocks within a nonparametric causality-in-quantiles framework. We observe that: First, the BDS test shows that nonlinearity is very important when examining the causal relationship between EMV-ID and airline stock returns and its volatility. Second, the nonparametric quantiles-based causality test shows that airline stocks predictability driven by pandemic-based uncertainty is stronger mostly around the lower quantiles, with weak evidences in middle and higher quantiles. Relevant policy implications can be drawn from these findings.