Comovement of stock markets after the first COVID wave: a study into five most affected countries

Abstract

PurposeThe purpose of this paper is to look at the contemporaneous movement of the stock market indices of the five most COVID-infected countries, namely, the USA, Brazil, Russia, India and UK after the first wave along with market indices of the three least affected countries, namely, Hong Kong, South Korea and New Zealand during the first wave.Design/methodology/approachData have been collected from the website of Yahoo finance on daily closing values of five indices. Augmented Dickey–Fuller test with its three forms has been applied to check the stationarity of the select five indices at the level and at the first difference before the pandemic, during the pandemic and post-first wave of the pandemic. Johansen cointegration test is applied to find out that there is no cointegration among the select five indices.FindingsThe five countries do neither fall in the same economic and political zone nor do they have the same economic status. But during the period of pandemic and the new-normal period, the cointegration is very distinct. The developing and developed nations thus stood at an indifferentiable stage of the economic crisis which is well reflected in their stock markets. However, the least three COVID-affected countries do not show any cointegration during the pandemic time.Originality/valueThe comovement even seen during the normal time in the other studies is not compared to a similar period in earlier years. But, in this study to look into the exclusive effect of COVID pandemic, the period most affected with it is compared with the period after it and that in the immediate past year had no effect.

Iraqi Stock Exchange Reactions to the Oil price, Covid-19 Aftermath, and the Saudi Stock Exchange Movements pre-during Vaccination Program

“…Furthermore, there is almost consensus among studies results during covid-19 that an increase rapidly in the number of covid-19 deaths led to a decline in financial assets value except for gold (Kyriazis, 2021). A number of studies found during the Covid-19 the relatedness and interdependence among the regional or global stock market indicators (Youssef et al, 2021;Al-Najjar, 2022), while a few studies' results indicated weak connectedness and inverse relationship between the local and the international equity markets even under the impact of the Covid-19 pandemic (Amewu et al, 2022;Das and Gupta, 2022). Not very many studies during the Covid-19 found a negative relationship between the currency exchange rate and the stock market (Syahri and Robiyanto, 2020;Nwosa, 2021), while no study mentioned any positive relationship between the exchange rate and stock market during the pandemic, but some indicated that there was no evidence of any interaction at all (Chaudhry et al, 2021;Kumar and Robiyanto, 2021).…”

Comovement of stock markets pre- and post-COVID-19 pandemic: a study of Asian markets

“…This technique was originated by Granger (1986) and Johansen (1988) and has been widely applied in investigating stock market integration like Taylor et al (1989), Kasa (1992), Gulzar, Mujtaba Kayani, Xiaofen, Ayub, and Rafique (2019) etc. Das and Gupta (2022) used Johansen cointegration test to examine the comovement of stock indices of five most COVID affected nations after first wave along with the market indices of three least affected nations during the first wave. The study found evidence of cointegration between different indices during the pandemic period and no integration between least three COVID-affected countries during the pandemic time.…”