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Impact of COVID-19 on Stock Markets

Author

Listed:
  • Gkaitantzis Christos
  • Nikandrou Charalampos
  • Kyriazakou Eleni

    (Department of Economics, University of Macedonia, Thessaloniki, Greece)

Abstract

Using time-series data for 19 countries, we examine whether market connectedness (measured by market returns and volatility) increased over time because of the global financial crisis and the COVID-19 pandemic. Using a vector autoregression–based spillover index, we show that shock spillover varies over time and increases because of crises.

Suggested Citation

  • Gkaitantzis Christos & Nikandrou Charalampos & Kyriazakou Eleni, 2021. "Impact of COVID-19 on Stock Markets," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(2), pages 1-4.
    • Handle: RePEc:ayb:jrnael:36
    DOI: 2021/10/06
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    References listed on IDEAS

    as
    1. Francis X. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
    2. Mr. Sunil Sharma & Sushil Bikhchandani, 2000. "Herd Behavior in Financial Markets: A Review," IMF Working Papers 2000/048, International Monetary Fund.
    3. Susan Sunila Sharma & Yezhou Sha, 2020. "Part A: Special Section on COVID-19 Research," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(15), pages 3551-3553, December.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Behera, Harendra & Gunadi, Iman & Rath, Badri Narayan, 2023. "COVID-19 uncertainty, financial markets and monetary policy effects in case of two emerging Asian countries," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 173-189.

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    More about this item

    Keywords

    returns; volatility; covid-19;
    All these keywords.

    JEL classification:

    • I10 - Health, Education, and Welfare - - Health - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

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