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Have Stock Markets across the Globe Been Kidnapped by the Covid-19 Pandemic?

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  • Huaibing Yu

Abstract

Based on data of 6 major developed stock markets, this paper provides empirical evidences about how stock markets across the globe behave during the Covid-19 global pandemic. Evidences show that the movements of most stock market indices were individually dependent on the development of the Covid-19 pandemic in the corresponding countries during the pre-bottom period. However, this phenomenon largely faded away after stock markets bottomed out and entered into the recovery stage. Vector error correction model (VECM) confirms the cross-markets equilibrium during the Covid-19 pandemic and the majority of stock markets are expected to restore to new equilibriums relatively quickly if exogenous shocks are introduced in the future.

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  • Huaibing Yu, 2020. "Have Stock Markets across the Globe Been Kidnapped by the Covid-19 Pandemic?," Bulletin of Applied Economics, Risk Market Journals, vol. 7(2), pages 165-173.
    • Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:2:p:165-173
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    Cited by:

    1. Yu, Huaibing, 2024. "Why isn't composite equity issuance favored by the stock market? A risk-based explanation for the anomaly," International Review of Financial Analysis, Elsevier, vol. 94(C).
    2. Yu, Huaibing, 2022. "Does sustainable competitive advantage make a difference in stock performance during the Covid-19 pandemic?," Finance Research Letters, Elsevier, vol. 48(C).

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    More about this item

    Keywords

    Covid-19 Pandemic; Stock Market; Cointegration; Market Behavior; Market Impact;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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