What caused global stock market meltdown during the COVID pandemic–Lockdown stringency or investor panic?

Aggarwal, Shobhit; Nawn, Samarpan; Dugar, Amish

doi:10.1016/j.frl.2020.101827

Cited by 81 publications

(68 citation statements)

References 10 publications

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“…Therefore, the estimates provide evidence of a significant negative (positive) effect of the change in the feverish connections on stock market returns (volatility). The finding is in line with the literature ( Siganos, Vagenas-Nanos, Verwijmeren, 2014 , Helseth, Krakstad, Molnár, Norlin, 2020 , Lyócsa, Baumöhl, Vỳrost, Molnár, 2020 , Lyócsa, Molnár, 2020 , Haroon, Rizvi, 2020 , Cepoi, 2020 , Aggarwal, Nawn, Dugar, 2021 ), that has focused on the key role of sentiment index in financial markets dynamics. These results suggest investors should consider the implications of feverish shocks in their portfolio choices.…”

Section: Resultssupporting

confidence: 92%

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Feverish sentiment and global equity markets during the COVID-19 pandemic

Huynh

Foglia

Nasir

et al. 2021

Journal of Economic Behavior & Organization

123

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This paper proposes a new approach to estimating investor sentiments and their implications for the global financial markets. Contextualising the COVID-19 pandemic, we draw on the six behavioural indicators (media coverage, fake news, panic, sentiment, media hype and infodemic) of the 17 largest economies and data from January 2020 to February 2021. Our key findings, obtained using a time-varying parameter-vector auto-regression (TVP-VAR) model, indicate the total and net connectedness for the new index, entitled ‘feverish sentiment’. This index provides us insight into economies that send or receive the sentiment shocks. The construction of the network structures indicates that the United Kingdom, China, the United States and Germany became the epicentres of the sentimental shocks that were transmitted to other economies. Furthermore, we also explore the predictive power of the newly constructed index on stock returns and volatility. It turns out that investor sentiment positively (negatively) predicts the stock volatility (return) at the onset of COVID-19. This is the first study of its kind to assess international feverish sentiments by proposing a novel approach and its impacts on the equity market. Based on empirical findings, the study also offers some policy directions to mitigate the fear and panic during the pandemic.

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Section: Resultssupporting

confidence: 92%

“…To measure the feverish sentiment related to COVID-19, we draw on the work of Rognone et al. (2020) , Haroon and Rizvi (2020) , Cepoi (2020) and Aggarwal et al. (2021) , and we use the RavenPack database.…”

Section: Data and Feverish Sentiment Index Constructionmentioning

confidence: 99%

Feverish sentiment and global equity markets during the COVID-19 pandemic

Huynh

Foglia

Nasir

et al. 2021

Journal of Economic Behavior & Organization

123

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“…Since the beginning of the pandemic until 31 January 2021, about 103 million cases of COVID-19 have been reported worldwide, causing 2.23 million deaths [5]. The novel coronavirus pandemic constitutes a massive global health crisis [6,7] that has quickly evolved into a global meltdown [8,9]. COVID-19 has hit the economies and humans on an unprecedented scale since the Great Depression (1929)(1930)(1931)(1932)(1933) or the global financial crisis (2008)(2009) and is epidemically compared to the Spanish flu pandemic of 1918 [10][11][12].…”

Section: Introductionmentioning

confidence: 99%

Is the Alternative Energy Sector COVID-19 Resistant? Comparison with the Conventional Energy Sector: Markov-Switching Model Analysis of Stock Market Indices of Energy Companies

Czech

Wielechowski

2021

Energies

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The outbreak and rapid spread of the COVID-19 pandemic has hit the global financial markets, including the energy sector. Alternative energy belongs to the economy’s key sectors concerning environmental issues and seems to be a full-fledged alternative for fossil-based conventional energy. This paper aims to assess the impact of COVID-19 on the stock market indices related to the alternative and conventional energy sector. We use daily data on the Morgan Stanley Capital International (MSCI) Global Alternative Energy Index, the MSCI All Country World Index (ACWI) Energy Index, and self-developed Average-49 COVID-19 New Cases Index and Average-49 Stringency Index. The research covers the period January–October 2020. The average level of the MSCI Global Alternative Energy Index in COVID-19 year was more than a quarter higher than in 2019 while the MSCI ACWI Energy fell almost one-third in the same period. Based on the Markov-switching model, we show that both the MSCI Global Alternative Energy and the MSCI ACWI Energy are not significantly affected by the epidemic status. The analysed indices decline as the government anti-COVID-19 policy becomes more stringent, but the relationship is statistically significant only in the high-volatility regime. In comparison to the conventional energy index, we reveal that the alternative energy index stays most of its time in the low-volatility regime without being adversely and significantly affected by the COVID-19 related indicators. Our study shows that the alternative energy sector, represented by the MSCI Global Alternative Energy Index, seems to be more resistant to COVID-19 than the conventional energy sector. It might imply that the novel coronavirus pandemic has not depreciated but emphasised the growing concern about climate change and environmental pollution.

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“…Based on the recommendations of medical scientists on face and hand masks, the popularity of cashless payments has led to an increase in the price of digital money such as Bitcoin in the world and its impact on the stock market has been studied by [3]. The work in [9] studied the stock markets of 12 countries with high liquidity and proved that people's panic increases market risk and negatively affects stock prices.…”

Section: Literature Reviewmentioning

confidence: 99%

Econometric Analysis of Stock Market Performance during COVID-19 Pandemic: A Case Study of Uzbekistan Stock Market

Eshov¹,

Osamy²,

Aziz³

et al. 2021

IJACSA

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This article highlights the impact of the Coronavirus disease (COVID-19). COVID-19 pandemic on the stock market of Uzbekistan on the basis of empirical research and the main factors affecting the stock market are identified as well. Secondary statistical data were collected from the Tashkent Stock Exchange, the Central Bank of the Republic of Uzbekistan, the State Statistics Committee of the Republic of Uzbekistan and other public funds, and the regression equation of the SEMmodel of the impact of the Covid-19 pandemic on the stock market of Uzbekistan was formed. In particular, indicators such as the latest daily and total number of people infected with Covid-19 in the Republic of Uzbekistan, the total number of recovered people after being infected with Covid-19, the total number of people who died of the disease, the daily number of recovered people post-infection, the stock market index of Uzbekistan, Uzbekistan Indicators such as the number of daily securities traded on the Republican Stock Exchange "Tashkent", the exchange rate of the US dollar set by the Central Bank of the Republic of Uzbekistan were selected as the main factors. The constructed regression equation was examined using F-statistics, Student's t-test, and multicorrelation tests to determine the level of adequacy. The authors identify factors based on a systematic analysis of the scientific work of world-renowned scientists on major stock markets and creates a SEM-model of the factors affecting the Uzbek stock market during the pandemic.

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What caused global stock market meltdown during the COVID pandemic–Lockdown stringency or investor panic?

Cited by 81 publications

References 10 publications

Feverish sentiment and global equity markets during the COVID-19 pandemic

Feverish sentiment and global equity markets during the COVID-19 pandemic

Is the Alternative Energy Sector COVID-19 Resistant? Comparison with the Conventional Energy Sector: Markov-Switching Model Analysis of Stock Market Indices of Energy Companies

Econometric Analysis of Stock Market Performance during COVID-19 Pandemic: A Case Study of Uzbekistan Stock Market

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