Analysis of the impact of COVID-19 pandemic on G20 stock markets

Li, Yanshuang; Xin-tian, Zhuang; Jian, Wang; Dong, Zibing

doi:10.1016/j.najef.2021.101530

Cited by 60 publications

(42 citation statements)

References 64 publications

(100 reference statements)

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“…Public health emergencies have been suggested to hit global economic growth, social stability and cause upheaval in financial markets ( 5 , 13 – 15 ), for instance, SARS in 2004 ( 16 ), H1N1 in 2009 ( 17 ), and EBOV in 2014 ( 18 ). Currently, the COVID-19 pandemic is also regarded as exerting significant influence on the economy ( 12 , 19 , 20 ), even surpassing that of the previous health crisis ( 21 ).…”

Section: Literature Reviewmentioning

confidence: 99%

“…It is consistent with risk aversion in portfolio investment suggested by Modern Portfolio Theory (MPT) and Capital Asset Pricing Model (CAPM), which use the Standard Deviation ( SD ) as the volatility to detect the relationship between expected return and investment risk. There is even attempt to explore the cross-region spillovers between countries' stock markets hit by COVID-19 ( 15 ). Nevertheless, few literatures focus on the influence of COVID-19 in the post-epidemic period, let alone their comparison, which may currently yield more practical significance.…”

Section: Literature Reviewmentioning

confidence: 99%

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Impact of the COVID-19 Pandemic on China's Stock Market Volatility, During and After the Outbreak: Evidence From an ARDL Approach

Jin

2022

Front. Public Health

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PurposeIn this study, we empirically investigate the impact of the COVID-19 pandemic on China's stock price volatility during and after its initial outbreak, using time-series daily data covering the period from July to October, 2020 and 2021, respectively.Design/Methodology/ApproachIn the estimation, the ARDL bounds test approach was employed to examine the existence of co-integration and the relationship of long-run and short-run between the new infection rates and stock price volatility, as stable and unstable variables are mixed. The inner-day and inter-day volatility, based on the Shanghai (securities) composite index, are estimated in separate empirical models. In addition, the Inter-bank overnight lending rate (IBOLR) is controlled in order to consider the effect of liquidity and investment cost.Findings and ImplicationsWe find that in the initial year (2020) of the epidemic, the new infection rate is negatively correlated to stock prices in the short-term, whereas no significant evidence existed in the long-term, regardless of model specifications. However, after the epidemic's outbreak (2021), the result depicts that new infections increased stock prices in the long-term, and depressed its inner-day volatility in the short-term, which is inconsistent with most investigations. This phenomenon may be due to the fact that investors were more concerned about the withdrawal of monetary easing and fiscal stimulus, which were introduced to fight against the epidemic's impact on economy, than the epidemic itself. This study complements the limitations of most existing studies, which just focus on the period of the epidemic's outbreak, and provides insight into macroeconomic policy making in the era of the post COVID-19 epidemic such as the structural and ordered exit of the stimulating policies, intervention in IBOLR and balance social and economic sustainability.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Impact of the COVID-19 Pandemic on China's Stock Market Volatility, During and After the Outbreak: Evidence From an ARDL Approach

Jin

2022

Front. Public Health

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“…The impact of the Covid-19 pandemic on financial markets has been documented in the recent two years [1] . For instance, Zhang et al [2] showed that the shock induced by the Covid-19 outbreak has had a persistent effect on the long-range structure of global markets.…”

Section: Introductionmentioning

confidence: 99%

A singular value decomposition entropy approach to assess the impact of Covid-19 on the informational efficiency of the WTI crude oil market

Espinosa-Paredes¹,

Alvarez-Ramı́rez

2022

Chaos, Solitons & Fractals

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“…There are the rapidly growing body of literature on the financial market and social economics reaction to COVID-19. The stock market’s reaction to COVID-19 is first paid closely attentions, and is found that the large risk of stock market is formed during the COVID-19 pandemic, see e.g., Ashraf (2020) , Baker, Bloom, Davis, et al (2020) , Cox, Greenwald, and Ludvigson (2020) , Liu, Huynh, and Dai (2021) , Duan, Liu, and Wang (2021) , Li et al, 2021a , Li et al, 2021b , Rehman, Kang, Ahmad, et al (2021) , and Zhang, Ding, Hang, et al (2022) . The reaction of the bond market to COVID-19 is another perspective and has been paid closely attentions, and is found that the bond spread and liquidity are deteriorated clearly, and the extreme liquidity pressure has been caused by the financing constraint which is from different financial institutions or intermediaries (e.g., see Apergis et al, 2022 , Falato et al, 2021 , Haddad et al, 2021 , Paczos and Shakhnov, 2022 ).…”

Section: Introductionsmentioning

confidence: 99%