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  1. 1 Ekonomický časopis (Journal of Economics)

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  1. 1 Sorić P.

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COVID-19 AND THE STOCK MARKETS: A GLANCE AT THE INITIAL EFFECTS OF THE PANDEMIC

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Sorić P.
Ekonomický časopis (Journal of Economics)
|
2021
|
vol. 69
|
issue 5
472 – 493
EN
The COVID-19 pandemic and consequent economic lockdown have triggered unprecedented economic uncertainty. The financial markets responded instantly, pricing in the uncertainty boom. This paper assesses the impact of anti-COVID social distancing measures on stock markets across the globe. Analysing 60 world economies in a panel vector auto-regression framework, we find that the stringency of social distancing interventions has a negative effect on market returns, but its character is strictly transitory and it fades away within 7 days. The magnitude of the pandemic in terms of recorded disease cases and deaths reveal a very similar pattern, causing a significant, but short-lived decline of stock prices. Our estimates reveal a considerable asymmetry in the identified interrelationships. Less developed markets seem to respond to the economic lockdown more intensively than highly developed economies.
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