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

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