Covid-19 Vaccination Impact on Four Asean Countries’ Stock With Spatial Dependency: A Comparison of Panel and Geographically Weighted Regression

Marizsa Herlina; Shafira  Rizq; Eti  Kurniati; Nabila Zahratu  Fuadi

doi:10.20956/j.v21i1.36177

Authors

Marizsa Herlina Department of Statistics, Faculty of Mathematic and Natural Science, Bandung Islamic University, Indonesia
Shafira Rizq Department of Management and Public Policy, Social Science and Politic Faculty, Gadjahmada University
Eti Kurniati Department of Mathematics, Faculty of Mathematic and Natural Science, Bandung Islamic University, Indonesia
Nabila Zahratu Fuadi Department of Statistics, Faculty of Mathematic and Natural Science, Bandung Islamic University, Indonesia

DOI:

https://doi.org/10.20956/j.v21i1.36177

Keywords:

GWR Panel, Regression Panel, Vaccination, Stock Returns

Abstract

Research about various policies and responses toward COVID-19 cases and its impact on stocks has grown recently. It shows that spatial influence is one of the keys in this research. The pandemic is not free from spatial dependence regarding how it indirectly impacts a country’s economy. Each country has different policies to handle COVID-19, such as lockdowns and vaccination. WHO stated that all countries require vaccination to build human immunity against COVID-19 in the future. Naturally, ASEAN implemented this policy; thus, it is crucial to see the extent of the impact of vaccination on the ASEAN economy. However, the residuals have heterogeneity problems when using the panel regression model. One of the reasons is that there is spatial dependence, especially when modeling the COVID-19 pandemic. Therefore, comparing panel regression with a geographically weighted regression panel (GWR-Panel) is substantial when exploring the reaction of stock returns to vaccination and positive cases of COVID-19 in Indonesia, Malaysia, Singapore, and Thailand

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