Modeling and Forecasting Time Series Using Transfer Function and Intervention Methods

The impact of the pandemic declaration on public awareness and behavior: Focusing on COVID-19 google searches

The unprecedented outbreaks of epidemics such as the coronavirus has caused major socio-economic changes. To analyze public risk awareness and behavior in response to the outbreak of epidemic diseases, this study focuses on RSV (Relative Search Volume) provided by Google Trends. This study uses the social big data provided by Google RSV to investigate how the WHO's pandemic declaration affected public awareness and behavior. 37 OECD countries were analyzed and clustered according to the degree of reaction to the declaration, and the United States, France and Germany were selected for comparative study. The results of this study statistically confirmed that the pandemic declaration increased public awareness and had the effect of increasing searches for information on COVID-19 by more than 20%. In addition, this rapid rise in RSV also reflected interest in the COVID-19 test and had the effect of inducing individuals to be tested, which helped identify new cases. The significance of this study is that it provided the theoretical foundation for using RSV and its implications to understand and strategically utilize public awareness and behavior in situations where the WHO and governments must launch policies in response to the outbreak of new infectious diseases such as COVID-19.

On the Effect of Stock Stabilization Fund: A Case of Taiwan

The purpose of this paper is to investigate the effect of Taiwan's stock stabilization fund on the stock market. Stabilization funds have long been used by many countries to achieve the goal of market stabilization. However, the actual impacts of the funds still remain a puzzle. This is the first paper that empirically examines the effect of the stabilization fund on the stock market. Taiwan's stock stabilization fund, which was inaugurated in February 1996 after the panic selling induced by the announcement of military exercise by mainland China, provides an experimental environment for investigating whether this alternative mechanism is effective in stabilizing the stock price when the market is in panic. By intervention analysis, we find that in the short run, the stabilization fund is statistically significant in preventing the market price from further declining after the announcement of the mainland China's military exercise. This evidence still holds after controlling the effects of the following two events: Morgan-Stanley's announcement to include Taiwan stock index into its worldwide equity market indices, and the event of U.S. aircraft carrier sent to Taiwan Strait to secure this area during the period of military exercise by mainland China.