IDEAS home Printed from https://ideas.repec.org/a/cii/cepiie/2022-q2-170-7.html

Understanding the transmission of COVID-19 news to French financial markets in early 2020

Author

Listed:
  • Willem Thorbecke

Abstract

News of COVID-19 cases roiled the French stock market in 2020. Finance theory indicates that changes in returns across many assets are driven by economy-wide rather than firm-specific factors. To identify these factors, this paper investigates the time series exposure of 174 French assets to macroeconomic variables. It then uses these exposures to examine the cross-sectional pattern of asset price changes due to coronavirus news. The results indicate that investors responded to COVID-19 news by bidding down the prices of assets that do badly when oil prices fall and the euro appreciates and by bidding up the prices of assets that do well when the European Central Bank eases. Banking sector stocks were not harmed by COVID-19 news, indicating that fears of a sovereign-bank nexus were not driving the response.

Suggested Citation

  • Willem Thorbecke, 2022. "Understanding the transmission of COVID-19 news to French financial markets in early 2020," International Economics, CEPII research center, issue 170, pages 103-114.
    • Handle: RePEc:cii:cepiie:2022-q2-170-7
    as

    Download full text from publisher

    File URL: https://www.sciencedirect.com/science/article/pii/S2110701722000099
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ran Lu & Hongjun Zeng, 2022. "VIX and major agricultural future markets: dynamic linkage and time-frequency relations around the COVID-19 outbreak," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 40(2), pages 334-353, September.
    2. Kamal, Javed Bin & Wohar, Mark, 2023. "Heterogenous responses of stock markets to covid related news and sentiments: Evidence from the 1st year of pandemic," International Economics, Elsevier, vol. 173(C), pages 68-85.
    3. Niall O’Donnell & Darren Shannon & Barry Sheehan, 2024. "The impact of monetary policy interventions on banking sector stocks: an empirical investigation of the COVID-19 crisis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-41, December.

    More about this item

    Keywords

    ;
    ;
    ;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • I10 - Health, Education, and Welfare - - Health - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cii:cepiie:2022-q2-170-7. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/cepiifr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.