Coronavirus (COVID-19) — An epidemic or pandemic for financial markets

Ali, Mohsin; Alam, Nafis; Rizvi, Syed Aun R.

doi:10.1016/j.jbef.2020.100341

Cited by 598 publications

(529 citation statements)

References 19 publications

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“…US stock market reached the circuit breaker mechanism four times in ten days, the main UK's index, FTSE, plunged more than 10% on March 12th, the day after the state of global pandemic was declared (Zhang, Hu and Ji, 2020). The S&P 500 index noted a 30% decline in 16 trading days (Ali, Alam and Rizvi, 2020). B. N. Ashraf (2020) analysed the impact of the number of con rmed COVID-19 cases and deaths on main stock market indices in 64 countries by means of the panel data analysis.…”

Section: Literature Reviewmentioning

confidence: 99%

Survival analysis in assessment of influence of the SARS-CoV-2 pandemic on probability and intensity of decline in the value of stock indices

Bieszk‐Stolorz

Dmytrów

2020

Preprint

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The aim of the study is to assess the strength of the world stock exchanges reaction to the SARS-CoV-2 coronavirus pandemic at the turn of 2019-2020. The risk and intensity of the decline in the values of the basic stock indices were analysed. The spreading pandemic within a few months covered all continents and had a significant impact on the socio-economic situation of all countries. The study used methods of duration analysis. The time of the 20% drop in stock market indices was studied. This is a value that is taken as a sign of crisis. Kaplan-Meier's estimator was used to assess the probability of indices' value decrease. The risk of decline was determined by means of a logit model and the intensity of the decline was determined by means of an empirical hazard estimator and a Cox proportional hazard model. The intensity and risk of decline of stock indices varied from continent to continent. The intensity was highest in the fourth and eighth week after the peak and was highest on European exchanges and then American and Asian exchanges (including Australia). The risk of falling stock indices was highest in America, followed by Europe, Asia and Australia, and lowest in Africa. Half of the analysed indices recorded a 20-percent drop in value after 52 days (median duration). The study is a prelude to further analyses related to the crisis and the normalisation of the situation on world stock exchanges. It allows to learn about the impact of the pandemic on the economic situation and to detect differences between the continents. The methods from the survival analysis are used in the study to assess the impact of the pandemic on the intensity and risk of decline in stock exchange indices.

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Section: Literature Reviewmentioning

confidence: 99%

Survival analysis in assessment of influence of the SARS-CoV-2 pandemic on probability and intensity of decline in the value of stock indices

Bieszk‐Stolorz

Dmytrów

2020

Preprint

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“…Ramelli and Wagner (2020) signify the fever in the stock markets as the virus spread to Europe and the US. Similarly, Ali et al (2020) report that, as the virus moved from epidemic to pandemic as well as from China to Europe and the US, panic in the stock markets increased. However, Zaremba et al (2020) demonstrate that it is the government interventions that increase the volatility in the stock markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Pan(dem)ic Reactions in Turkish Stock Market: Evidence from share repurchases

Pirgaip

2020

Preprint

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Share repurchases have been widely used in global markets for years for various purposes such as to pay out cash, to stabilize stock prices, and so on. However, their use has recently been challenged due to the economic and financial uncertainty imposed by the COVID-19 outbreak. Not only governments have put bans or restrictions on the repurchasing transactions but also some major companies themselves have suspended their buyback programmes to preserve cash. On the other hand, repurchase activity has manifested itself in Turkish capital markets somewhat unexpectedly under uncertain market conditions. This study is one of the first attempts to explore the impact of share repurchase transactions on stock returns in an emerging market severely hit by COVID-19. Event study analyses reveal that market reaction to repurchase activity in the aftermath of the pandemic declaration of March 11, 2020 was significantly positive. Moreover, short-term stock performance of repurchasing firms was far greater than that of their non-repurchasing peers. These results have important policy implications in terms of corporate payout decisions which have recently been challenged by the new coronavirus.

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“…The limited number of papers produces a quantitative estimation of Covid-19 impact on economic activities including financial markets. Such studies include; Baker et al (2020) examines the impact of Covid-19 on the US stock market relative to the previous infectious disease outbreak , Corbet, Larkin, and Lucey (2020) investigated the contagion effect of Covid-19 between stock markets in China, Ali, Alam, and Rizvi (2020) analyzed financial markets downfall and volatility, Corbet, Hou, Hu, Lucey, and Oxley (2020) examines the impact on companies whose identity is similar with Covid-19 virus, Shehzad, Xiaoxing, and Kazouz (2020) However, to the best of my attentiveness, none of these literature has attempted to investigate the magnitude and direction of financial innovations spillover during Covid-19 pandemic, apart from Akhtaruzzaman et al (2020).…”

Section: Asian Development Policy Reviewmentioning

confidence: 99%