The COVID-19 pandemic, declared on March 11, 2020 by the World Health Organisation (WHO), has had a severe economic and financial impact on every economy around the world. This paper aims to analyze the short-term impact of COVID-19 on global financial stock market indices. We study the impact of six different WHO announcements regarding COVID-19 on five different sectors (Pharma, Healthcare, Information Technology, Hotel & Airline) based on the indices of three different economies (World, Developed and Emerging economy). We also study the movement of stock prices and volume of nine different global stock market indices (classified as developed & emerging) based on the number of new cases and deaths due to COVID-19. The study’s findings suggest that there is a significant effect of COVID-19 on global financial stock markets. However, the effect is varied for developed and emerging economies.

In this paper, we examine the stock market efficiency of the members of the Association of South East Asian Nations (ASEAN). We use the conventional individual variance ratio tests like the MacKinlay (1988) test, Choi (1999) test, Wright (2000) test andChen andDeo (2006)) test to check for the efficient market hypothesis in these markets.We also perform the spectral shape test of Durlauf (1991) and Average exponential test as in Andrews and Ploberger (1996) Contribution/ OriginalityThis study contributes to the existing literature of the stock market efficiency of the member nations of the ASEAN region by employing individual variance ratio tests, spectral shape test and Average exponential test. This study documents that stock indices of Cambodia, Lao and Singapore are weak form efficient.

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We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable amount of mean reversion. We argue that ELR ratio is more conclusive in detecting mean reversion when compared to the traditional Lo and MacKinlay variance ratio variance ratio. On the empirical side, we find that mean reversion is a robust feature among the constituents of India's BSE SENSEX stock index.

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