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The impact of the covid-19 pandemic on major Asian stock markets: evidence of decoupling effects

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  • Onour, Ibrahim

Abstract

s: This paper investigates the impact of covid-19 pandemic on stock markets behavior in Asia stock markets: Shanghai, Hong Kong , Japan, and Korea during the period 12/2/2019 to 13/3/ 2020. Results indicate evidence of two states that distinguish the behavior of the stock markets during the sample period. In state 1, Shanghai stock market reacted positively to Hong Kong and Japan stock markets behavior, but in state 2, Hong Kong stock market digressed and Japan’s Nikkie remained a strong driver of Shanghai stock market. Our findings also indicate in state 1, Hong Kong market was significantly influenced by Korea stock market, but in state 2, reacted significantly to the news from Shanghai stock market, and then digressed from Korea stock market behavior. The response of Japan stock exchange indicate Nikkei was strongly linked with Shanghai stock exchange in state 1, but decoupled from all three markets in state 2.

Suggested Citation

  • Onour, Ibrahim, 2021. "The impact of the covid-19 pandemic on major Asian stock markets: evidence of decoupling effects," MPRA Paper 115994, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:115994
    as

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    File URL: https://mpra.ub.uni-muenchen.de/115994/1/MPRA_paper_115994.pdf
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    References listed on IDEAS

    as
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    3. Kim, Chang-Jin & Nelson, Charles R., 1998. "Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 385-396, October.
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    More about this item

    Keywords

    covid-19; Markov switching; Asia; stock markets;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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