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Impact Of Covid-19 On Financial Markets: Case Of The Italian Stock Exchange

Author

Listed:
  • MAHFOUD DJEBBAR

    (Setif 1 University, Algeria, Research Laboratory: LEMAC)

  • ADILA MERIMET

    (Guelma University, Algeria, Research Laboratory: LSDRG)

Abstract

The aim of this study is to shed light on the repercussions of Corona pandemic on financial markets. Using the Vector Autoregression, VAR, model, we estimate the relationship between the Italian Stock Exchange’s Index, FTSEMib, and the number of cases and deaths by Covid-19 in Italy over the period February 24, 2020 to May 15, 2020. We find that both the number of infections and the number of deaths from Coronavirus negatively affect the stock market, and that the analysis of variance shows that the relative importance of daily infections by Covid-19 in explaining the fluctuations of the Italian Stock Exchange index has reached 17% in the medium and long terms, while the relative importance of daily deaths from Covid-19 in explaining the fluctuations of the Italian Stock Exchange index does not exceed 2% in the medium and long terms.

Suggested Citation

  • Mahfoud Djebbar & Adila Merimet, 2021. "Impact Of Covid-19 On Financial Markets: Case Of The Italian Stock Exchange," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 27, pages 9-31, June.
    • Handle: RePEc:aic:revebs:y:2021:j:27:djebbarm
    DOI: 10.47743/rebs-2021-1-0001
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    References listed on IDEAS

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    More about this item

    Keywords

    Covid-19; financial markets; Italian stock exchange; VAR;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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