Spatial Dependency on Vaccination and Stock Returns Marizsa Herlina (a*), Shafira Rizq (b), Ade Yunita Mufrihat (c), Eti Kurniati(d), Tika Amalia (a), Safira Pratiwi(a), Nabila Zahratu Fuadi(a)
a) Department of Statistics, Faculty of Mathematics and Natural Sciences, Universitas Islam Bandung, Bandung, Indonesia
*marizsa.herlina[at]unisba.ac.id
b) Department of Public Policy and Management, Faculty of Social and Political Sciences, Gadjah Mada University, DI Yogyakarta, Indonesia
c) Department of Development Economics, Faculty of Economics and Business, Universitas Islam Bandung, Bandung, Indonesia.
d) Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Islam Bandung, Bandung, Indonesia.
Abstract
The covid-19 is affecting the global economy including the stock market. With Covid-19 spreading in a fast manner, the government has been trying to find a way to control the virus outbreak. As to achieve herd immunity, and with the asymptomatic transmission of Covid-19, it is believed that vaccination is the answer. Several studies have been carried out to explore the vaccination impact to the stock market and panel regression is one of the common analyses that have been carried out. However, there is a problem with using the panel model in ASEAN daily vaccination data and stock market which is the possibility of the existence of cross-dependency and/or heterogeneity. Therefore, this studies tried to explore and compare the spatial method to overcome spatial dependency using Spatial Autoregressive (SAR) and Spatial Durbin Error Model (SDEM) in the vaccination data. The spatial closeness are proxied by the bilateral cross-country investments. The results show that SAR and SDEM are not better fitting models compared to the panel regression model. we concluded that there is no spatial dependency existed in the vaccination to the stock market.
