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World capital markets facing the first wave of COVID-19: Traditional event study versus sensitivity to new cases

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  • Angosto-Fernández Pedro Luis

    (Casa del Paso Building. Universidad Miguel Hernández de Elche. Plaza de Las Salesas, s/n. Zip Code: 03300, Orihuela, Spain)

  • Ferrández-Serrano Victoria

    (La Galia Building. Universidad Miguel Hernández de Elche. Avenida de la Universidad s/n. Zip Code: 3202, Elche, Spain)

Abstract

The aim of the paper is to analyse the impact of the new coronavirus on financial markets. The sample comprises returns from 80 countries, across all regions and incomes for the period known as the first wave. By combining event study methodology and time series analysis of new COVID-19 cases it is found that the negative price effect is widespread but unequal across regions. It is also noted that the distribution of the impact is also uneven with a high concentration in the week after the first local case but especially in the weeks around the pandemic declaration. Finally, it has been shown at different levels how the markets most affected by the crisis are not necessarily the most sensitive to the virus.

Suggested Citation

  • Angosto-Fernández Pedro Luis & Ferrández-Serrano Victoria, 2022. "World capital markets facing the first wave of COVID-19: Traditional event study versus sensitivity to new cases," Economics and Business Review, Sciendo, vol. 8(4), pages 5-38, December.
    • Handle: RePEc:vrs:ecobur:v:8:y:2022:i:4:p:5-38:n:4
    DOI: 10.18559/ebr.2022.4.2
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    References listed on IDEAS

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    More about this item

    Keywords

    financial markets; event study; COVID-19; coronavirus; stock returns;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • 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

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