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The Impact of COVID-19 on the Cypriot Stock Market Dynamics

Author

Listed:
  • Christos Christodoulou-Volos

    (Department of Economics and Business, Neapolis University Pafos, Cyprus)

  • Dikaios Tserkezos

    (Department of Economics and Business, Neapolis University Pafos, Cyprus)

Abstract

This paper examines the effects of coronavirus disease 2019 (COVID-19) pandemic outbreak on the Cypriot Stock Exchange (CSE), which has encountered substantial turmoil. For this purpose, daily stock market returns were used over the period of September 3, 2019 - July 10, 2020, for the Cypriot economy. The study applied Granger causality models to explore whether the CSE is impacted by the crisis generated by novel coronavirus. Hsiao’s approach to Granger causality was employed to investigate the causalities among COVID-19 and stock market returns, as well as between pandemic measures and several commodities. The analyses uncover intricate dynamics and contributing factors, shedding light on the observed volatility. The findings demonstrate significant volatility throughout the pandemic, with notable shifts in market conditions. Nevertheless, the stock market showcased resilience and recovery during the initial shutdown period. These insights contribute to understanding the pandemic’s impact on the CSE, offering crucial guidance for investors, policymakers, and market participants.

Suggested Citation

  • Christos Christodoulou-Volos & Dikaios Tserkezos, 2024. "The Impact of COVID-19 on the Cypriot Stock Market Dynamics," International Journal of Economics and Financial Issues, Econjournals, vol. 14(4), pages 214-221, July.
    • Handle: RePEc:eco:journ1:2024-04-24
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    References listed on IDEAS

    as
    1. Al-Awadhi, Abdullah M. & Alsaifi, Khaled & Al-Awadhi, Ahmad & Alhammadi, Salah, 2020. "Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    2. Cepoi, Cosmin-Octavian, 2020. "Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil," Finance Research Letters, Elsevier, vol. 36(C).
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Coronavirus Disease 2019; Unit-root Test; Stock Market; Hsiao’s Approach; Granger Causality;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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