Covid-19 severity, government responses and stock market reactions: a study of 14 highly affected countries

Pham, Thi Thanh Xuan; Chu, Thi Thanh Trang

doi:10.1108/jrf-04-2023-0085

Cited by 4 publications

(2 citation statements)

References 36 publications

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“…Due to the fact that the COVID-19 epidemic spread faster than previous diseases, a plethora of research studies investi-gated its impact on different aspects of financial and economic activity. Several studies analyse the impact of COVID-19 on financial markets (Ashraf 2020;Chowdhury et al 2022;Bille and Caporin 2022;Ben-Ahmed et al 2022;Padungsaksawasdi and Treepongkaruna 2023;Ullah 2023;Yiu and Tsang 2023;Pham and Chu 2024, among several others), European trade flows (Caporale et al 2023), foreign investment flows (Kocak and Baris-Tuzemen 2022), international trade (Kim et al 2023;Tudorache and Nicolescu 2023), shipping trade (Xu et al 2021), the labour market (Crossley et al 2021), and tourism (Scarlett 2021). Other studies examine the impact of the COVID-19 pandemic on economic uncertainty (Altig et al 2020;Ng 2021;Abdelkafi et al 2023) and investigate its economic effects (Erdogan et al 2020;Chudik et al 2021;Milani 2021;Chowdhury et al 2022;Matei 2023;Vrontos et al 2024).…”

Section: Literature Reviewmentioning

confidence: 99%

Modeling the Economic Impact of the COVID-19 Pandemic Using Dynamic Panel Models and Seemingly Unrelated Regressions

Vrontos,

Galakis,

Panopoulou

et al. 2024

Econometrics

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The importance of assessing and estimating the impact of the COVID-19 pandemic on financial markets and economic activity has attracted the interest of researchers and practitioners in recent years. The proposed study aims to explore the pandemic’s impact on the economic activity of six Euro area economies. A class of dynamic panel data models and their corresponding Seemingly Unrelated Regression (SUR) models are developed and applied to model the economic activity of six Eurozone countries. This class of models allows for common and country-specific covariates to affect the real growth, as well as for cross-sectional dependence in the error processes. Estimation and inference for this class of panel models are based on both Bayesian and classical techniques. Our findings reveal that significant heterogeneity exists among the different economies with respect to the explanatory/predictive factors. The impact of the COVID-19 pandemic varied across the Euro area economies under study. Nonetheless, the outbreak of the COVID-19 pandemic profoundly affected real economic activity across all regions and countries. As an exogenous shock of such magnitude, it caused a sharp increase in overall uncertainty that spread quickly across all sectors of the global economy.

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Section: Literature Reviewmentioning

confidence: 99%

Modeling the Economic Impact of the COVID-19 Pandemic Using Dynamic Panel Models and Seemingly Unrelated Regressions

Vrontos,

Galakis,

Panopoulou

et al. 2024

Econometrics

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“…Similarly, Hong et al (2024) explore the interactions and risk transmissions between mature and emerging crude oil markets, offering a vital understanding of how global crises affect market interconnections. Pham and Chu (2024) scrutinize governmental responses to the pandemic and their impacts on stock markets, offering a comparative analysis of different countries' measures on financial markets.…”

Section: Introductionmentioning

confidence: 99%

Deciphering volatility spillovers amidst crises: analyzing the interplay among commodities, equities and socially responsible investments during the COVID-19 shock and financial turbulence

Ben Amar,

Hasnaoui,

Boubrahimi

et al. 2024

JRF

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PurposeThis study aims to elucidate the volatility spillovers among commodities, equities and socially responsible investments, underpinning their dynamic correlations during the economic instability wrought by the COVID-19 pandemic and associated financial crises.Design/methodology/approachThis research quantitatively analyzes volatility transmission across various financial assets from January 2005 to October 2020 by employing the Diebold and Yilmaz (2012) spillover index. The methodology incorporates a temporal examination to capture the evolution of volatility dependencies pre and post the emergence of COVID-19.FindingsThe findings indicate substantial volatility spillovers among the assets in question, aligning with the current financialisation of commodity markets and a rise in financial market integration. These spillovers also show variation over time. Notably, the interconnectedness among the assets intensifies during periods of stress. For instance, the total spillover index significantly surpassed 80% toward the end of January 2020, following the onset of the COVID-19 crisis. Furthermore, the results imply that financial markets appear to be segmented.Practical implicationsThe findings afford investors a more comprehensive insight into both the character and scale of the interdependencies across a broad array of financial markets. Indeed, grasping the extent to which financial markets are segmented or integrated during times of stress and stability is crucial for investors. Such understanding is key to more accurately evaluating risks, diversifying investment portfolios and devising more efficient hedging strategies.Originality/valueThis study contributes to financial literature by offering a comprehensive investigation into the spillover effects across a diverse set of asset classes during an unprecedented global health crisis, filling a gap in existing research on market behavior against the backdrop of a pandemic-induced financial crisis.

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Time-varying effects of the COVID-19 pandemic on stock markets and economic activity: evidence from the US and Europe

Caporale,

Çatık,

Helmi

et al. 2024

Empirica

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This paper examines the effects of the COVID-19 pandemic on CDS, stock returns, and economic activity in the US and the five European countries that have been most affected: the UK, Germany, France, Italy, and Spain. The sample period covers the period from 11 March 2020 to 19 February 2021. In the empirical analysis, first, we estimate benchmark linear VAR models and then, given the evidence of parameter instability, TVP-VAR models with stochastic volatility, which are ideally suited to capturing the changing dynamics in both financial markets and the real economy. The linear VAR responses of CDS to the number of COVID-19 cases are positive and statistically significant, whilst those of electricity consumption are insignificant and those of stock returns vary across countries in terms of their sign and significance. The results from the TVP-VAR analysis indicate that the effects of shocks on the system variables was more pronounced during the initial stages of the pandemic and then decreased in the following months. Specifically, there was a positive impact of the number of COVID-19 cases on CDS and a negative one on stock returns and economic activity, the latter two being interlinked.

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Covid-19 severity, government responses and stock market reactions: a study of 14 highly affected countries

Cited by 4 publications

References 36 publications

Modeling the Economic Impact of the COVID-19 Pandemic Using Dynamic Panel Models and Seemingly Unrelated Regressions

Modeling the Economic Impact of the COVID-19 Pandemic Using Dynamic Panel Models and Seemingly Unrelated Regressions

Deciphering volatility spillovers amidst crises: analyzing the interplay among commodities, equities and socially responsible investments during the COVID-19 shock and financial turbulence

Time-varying effects of the COVID-19 pandemic on stock markets and economic activity: evidence from the US and Europe

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