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

• Authors: Sorić Petar
• Languages of publication: EN

Abstracts

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.

Keywords

EN

COVID-19 PANDEMIC; ECONOMIC UNCERTAINTY; STRINGENCY INDEX; STOCK MARKET

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2021
• Volume: 69
• Issue: 5
• Pages: 472 – 493

Contributors

author

Sorić Petar

• University of Zagreb, Faculty of Economics and Business Zagreb, Trg J.F. Kennedyja 6, 10 000 Zagreb, Croatia

Identifiers

DOI

https://doi.org/10.31577/ekoncas.2021.05.02