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Impact of COVID-19 pandemic disease outbreak on the global equity markets

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  • Imlak Shaikh

Abstract

Behavioural finance literature explains that investment decisions are subject to ‘investor sentiment’ and, consequently, may affect the pricing of various asset classes. Our study examines the 12 major equity markets amid the COVID-19 pandemic disease outbreak in relation to returns and volatility behaviour. Empirical results show that the number of new cases and deaths recorded daily because of COVID-19 has disrupted investors’ sentiments globally, and also, the market has experienced an unparalleled negative return. Market connectedness and volatility spillover deliberate on the increased risk of emergent pandemic crises, which has become more pronounced during the first quarter of 2020. Further, after the global financial crisis, the volatility index has appeared at its highest level for the very first time. The unprecedented rise in the volatility index level indicates more significant pressure on put options as a hedge against the pandemic uncertainty.

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  • Imlak Shaikh, 2021. "Impact of COVID-19 pandemic disease outbreak on the global equity markets," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 34(1), pages 2317-2336, January.
    • Handle: RePEc:taf:reroxx:v:34:y:2021:i:1:p:2317-2336
    DOI: 10.1080/1331677X.2020.1863245
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    Cited by:

    1. Adriana AnaMaria Davidescu & Eduard Mihai Manta & Oana Mihaela Vacaru (Boita) & Mihaela Gruiescu & Razvan Gabriel Hapau & Paul Laurentiu Baranga, 2023. "Has the COVID-19 Pandemic Led to a Switch in the Volatility of Biopharmaceutical Companies?," Mathematics, MDPI, vol. 11(14), pages 1-24, July.
    2. Ahmed Mohamed Habib & Umar Nawaz Kayani, 2024. "Price reaction of global economic indicators: evidence from the COVID-19 pandemic and the Russia–Ukraine conflict," SN Business & Economics, Springer, vol. 4(1), pages 1-21, January.
    3. Blajer-Gołębiewska, Anna & Honecker, Lukas & Nowak, Sabina, 2024. "Investor sentiment response to COVID-19 outbreak-related news: A sectoral analysis of US firms," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    4. Adnan Abo Al Haija & Rahma Lahyani, 2023. "Dynamic interactions of actual stock returns with forecasted stock returns and investors’ risk aversion: empirical evidence interplaying the impact of Covid-19 pandemic," Review of Quantitative Finance and Accounting, Springer, vol. 61(3), pages 1129-1149, October.

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