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Stock market vulnerability to the Covid-19 pandemic: Evidence from emerging Asian stock markets

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  • Rabhi, Ayoub

Abstract

This paper studies empirically the emerging Asian stock market vulnerability to pandemics. Taking the Covid-19 virus as a case study, we used the ARDL panel data approach to investigate the impact of the daily Covid-19 confirmed cases along with a behavioral component based on a triggering fear event related to news about Covid-19 deaths. The results indicate that both the reported daily growth of Covid-19 confirmed cases along with the triggering fear event related to news about death, affected the Asian stock markets performance negatively, other variables such as oil price, gold price, exchange rates, and the U.S stock market were also found to be determinants of the Asian stock markets during the studied period.

Suggested Citation

  • Rabhi, Ayoub, 2020. "Stock market vulnerability to the Covid-19 pandemic: Evidence from emerging Asian stock markets," MPRA Paper 101774, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:101774
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    References listed on IDEAS

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    1. Al-Awadhi, Abdullah M. & Alsaifi, Khaled & Al-Awadhi, Ahmad & Alhammadi, Salah, 2020. "Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    2. Zhang, Dayong & Hu, Min & Ji, Qiang, 2020. "Financial markets under the global pandemic of COVID-19," Finance Research Letters, Elsevier, vol. 36(C).
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    5. Pesaran, M. Hashem & Smith, Ron, 1995. "Estimating long-run relationships from dynamic heterogeneous panels," Journal of Econometrics, Elsevier, vol. 68(1), pages 79-113, July.
    6. Andrew Atkeson, 2020. "What Will be the Economic Impact of COVID-19 in the US? Rough Estimates of Disease Scenarios," Staff Report 595, Federal Reserve Bank of Minneapolis.
    7. Zhu, Hui-Ming & Li, Rong & Li, Sufang, 2014. "Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 208-223.
    8. Karlsson, Martin & Nilsson, Therese & Pichler, Stefan, 2014. "The impact of the 1918 Spanish flu epidemic on economic performance in Sweden," Journal of Health Economics, Elsevier, vol. 36(C), pages 1-19.
    9. Shekhar Mishra & Sathya Swaroop Debasish, 2019. "The quantile dependence between global crude oil price and stock markets in emerging Asia: evidence from major oil consuming nations," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 9(3), pages 309-331.
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    Cited by:

    1. Fatih GÜZEL & Melek ACAR, 2021. "The effects of epidemics on capital markets volatility: A case study of Borsa Istanbul," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 13(1), pages 50-70, May.

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    More about this item

    Keywords

    Behavioral finance; Covid-19; Event study; Pandemic; Stock market;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G1 - Financial Economics - - General Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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