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Impact of Infectious Diseases on Stock Markets: Evidence from Developed Markets

Author

Listed:
  • Lögün Anıl

    (Atatürk University, Faculty of Economics and Administrative Sciences, Department of Econometrics, Erzurum, Türkiye.)

  • Aydin Buket

    (Atatürk University, Faculty of Economics and Administrative Sciences, Department of Economics, Erzurum, Türkiye.)

  • Aydin Rahman

    (Bitlis Eren University, Faculty of Economics and Administrative Sciences, Department of Economics, Bitlis, Türkiye.)

Abstract

This study investigates the relationship between developed country market indices and the infectious disease stock market volatility index between March 11, 2020, and March 11, 2022. Thus, we seek an answer to the question of how global shocks will affect developed countries. In this context, indices such as S&P 500, CAC 40 and NIKKEI 225 are considered to represent developed country markets. The findings of the study indicate that the infectious disease stock market volatility index variable is significant, according to the GARCH model estimation for the CAC 40 index. In the EGARCH model estimation results for the NIKKEI 225 and S&P 500 indices, the infectious disease stock market volatility index variable is found to be significant. The results of this paper are important for policymaking by governments, investors, and the corporate sector in order to avoid future developments that could lead to financial shocks.

Suggested Citation

  • Lögün Anıl & Aydin Buket & Aydin Rahman, 2024. "Impact of Infectious Diseases on Stock Markets: Evidence from Developed Markets," Zagreb International Review of Economics and Business, Sciendo, vol. 27(2), pages 223-236.
    • Handle: RePEc:vrs:zirebs:v:27:y:2024:i:2:p:223-236:n:1010
    DOI: 10.2478/zireb-2024-0024
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    References listed on IDEAS

    as
    1. Wang, Dong & Li, Ping & Huang, Lixin, 2022. "Time-frequency volatility spillovers between major international financial markets during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 46(PA).
    2. Ashraf, Badar Nadeem, 2020. "Stock markets’ reaction to COVID-19: Cases or fatalities?," Research in International Business and Finance, Elsevier, vol. 54(C).
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Covid-19; Advanced markets; Asymmetric relationship; GARCH; EGARCH;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • 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

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