The Impact of COVID-19 Pandemic on Stock Markets: An Empirical Analysis of World Major Stock Indices

• 발행기관: 한국유통과학회
• 저자명: Karamat KHAN Huawei ZHAO Han ZHANG Huilin YANG Muhammad Haroon SHAH Atif JAHANGER
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 7 No.7, 463~474쪽, 전체 12쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2020.07.30

영문 초록

This study aims to investigate the impact of COVID-19 pandemic on the stock markets of sixteen countries. Pooled OLS regression, conventional t-test and Mann-Whitney test are used to estimate the results of the study. We construct a weekly panel data of COVID-19 new cases and stock returns. Pooled OLS estimation result shows that the growth rate of weekly new cases of COVID-19 negatively predicts the return in stock market. Next, the returns on leading stock indices of these countries during the COVID-19 outbreak period are compared with returns during the non-COVID period. We use a t-test and Mann-Whitney test to compare the returns. The results reveal that investors in these countries do not react to the media news of COVID-19 at the early stage of the pandemic. However, once the human-to-human transmissibility had been confirmed, all of the stock market indices negatively reacted to the news in the short- and long-event window. Interestingly, we noticed that the Shanghai Composite Index, which was severely affected during the short-event window, bounced back during the long-event window. This indicates that the Chinese government’s drastic measures to contain the spread of the pandemic regained the confidence of investors in the Shanghai Stock Market.

목차

1. Introduction

2. Literature Review

3. Research Methods and Materials

4. Results and Discussion

References

키워드

COVID-19 SARS Pandemic Stock Return New Cases