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Stock Market Responses to COVID-19: The Behaviors of Mean Reversion, Dependence and Persistence

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  • Yener, Coskun
  • Akinsomi, Omokolade
  • Gil-Alana, Luis A.
  • Yaya, OlaOluwa S

Abstract

We examine stock market responses during the COVID-19 pandemic period using fractional integration techniques. The evidence suggests that stock markets generally follow a synchronized movement before and the stages of the pandemic shocks. We find while mean reversion significantly declines, the degree of persistence and dependence has been increased in the majority of the stock market indices in whole sample analysis covering the period of 02.08.2019 and 09.07.2020. This outcome implies increasing integration and possibly declining benefits of diversification for the global stock portfolio management.

Suggested Citation

  • Yener, Coskun & Akinsomi, Omokolade & Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2023. "Stock Market Responses to COVID-19: The Behaviors of Mean Reversion, Dependence and Persistence," MPRA Paper 117002, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:117002
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    References listed on IDEAS

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    More about this item

    Keywords

    Coronavirus; stock markets; fractional integration; long memory; mean reversion.;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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