Research output: Contribution to journal › Article › peer-review
Research output: Contribution to journal › Article › peer-review
}
TY - JOUR
T1 - Frequency connectedness and cross-quantile dependence among medicare, medicine prices and health-tech equity
AU - Sohag, K.
AU - Shams, S. M. R
AU - Gainetdinova, Anna
AU - Nappo, Fabio
PY - 2023
Y1 - 2023
N2 - We investigate the dynamic connectedness among health-tech equity and medicine prices (producer and consumer) and Medicare cost indices for the US market. In doing so, we apply Cross-Quantilogram Dynamic Connectedness based on Time-Varying Parameter Vector Autoregression (TVP-VAR) approaches to analyse historical high-frequency time-series data. TVP-VAR results show that health-tech equity is the highest volatility transmitter while Medicare price is the highest volatility receiver. We also find medicine producer price is the net volatility contributor while the retail price of medicine is the net volatility receiver. The Cross-Quantilogram analysis confirms a strong bivariate quantile dependence between respective markets at a higher quantile of each market. Cross-quantilogram demonstrates a higher level of connectedness among the markets when considering medium and long memory. We observe health-tech equity turned to be a profound volatility contributor, while medicine price (both producer and retail prices) and Medicare appeared to net volatility receiver during the time of COVID19 Pandemic. The financial performance of health-tech equity returns elevates the price volatility of medicine and eventually Medicare cost, which imply that equity return should be incorporated forming medicine prices. © 2022 Elsevier Ltd.
AB - We investigate the dynamic connectedness among health-tech equity and medicine prices (producer and consumer) and Medicare cost indices for the US market. In doing so, we apply Cross-Quantilogram Dynamic Connectedness based on Time-Varying Parameter Vector Autoregression (TVP-VAR) approaches to analyse historical high-frequency time-series data. TVP-VAR results show that health-tech equity is the highest volatility transmitter while Medicare price is the highest volatility receiver. We also find medicine producer price is the net volatility contributor while the retail price of medicine is the net volatility receiver. The Cross-Quantilogram analysis confirms a strong bivariate quantile dependence between respective markets at a higher quantile of each market. Cross-quantilogram demonstrates a higher level of connectedness among the markets when considering medium and long memory. We observe health-tech equity turned to be a profound volatility contributor, while medicine price (both producer and retail prices) and Medicare appeared to net volatility receiver during the time of COVID19 Pandemic. The financial performance of health-tech equity returns elevates the price volatility of medicine and eventually Medicare cost, which imply that equity return should be incorporated forming medicine prices. © 2022 Elsevier Ltd.
UR - http://www.scopus.com/inward/record.url?partnerID=8YFLogxK&scp=85124661256
U2 - 10.1016/j.technovation.2022.102483
DO - 10.1016/j.technovation.2022.102483
M3 - Article
VL - 120
JO - Technovation
JF - Technovation
SN - 0166-4972
M1 - 102483
ER -
ID: 34724144