Frequency connectedness and cross-quantile dependence among medicare, medicine prices and health-tech equity

Kazi Sohag, S.M. Riad Shams*, Anna Gainetdinova, Fabio Nappo

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)


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.

Original languageEnglish
Article number102483
Number of pages16
Early online date15 Feb 2022
Publication statusE-pub ahead of print - 15 Feb 2022


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