In: Ekonomický časopis/Journal of Economics, vol. 69, no. 5
Petar Sorić 
Detaily:
Rok, strany: 2021, 472 - 493
Jazyk: eng
Kľúčové slová:
COVID-19 pandemic, economic uncertainty, stringency index, stock market, panel VAR;
JEL Classification: C33, G15, G41
Typ článku: Vedecký článok
Typ dokumentu: PDF / PDF
O článku:
The COVID-19 pandemic and consequent economic lockdown have triggered unprecedented economic uncertainty. The financial markets responded instantly, pricing in the uncertainty boom. This paper assesses the impact of anti-COVID social distancing measures on stock markets across the globe. Analyzing 60 world economies in a panel vector autoregression framework, we find that the stringency of social distancing interventions has a negative effect on market returns, but its character is strictly transitory and it fades away within 7 days. The magnitude of the pandemic in terms of recorded disease cases and deaths reveal a very similar pattern, causing a significant, but short-lived decline of stock prices. Our estimates reveal a considerable asymmetry in the identified interrelationships. Less developed markets seem to respond to the economic lockdown more intensively than highly developed economies.
The COVID-19 pandemic and consequent economic lockdown have triggered unprecedented economic uncertainty. The financial markets responded instantly, pricing in the uncertainty boom. This paper assesses the impact of anti-COVID social distancing measures on stock markets across the globe. Analyzing 60 world economies in a panel vector autoregression framework, we find that the stringency of social distancing interventions has a negative effect on market returns, but its character is strictly transitory and it fades away within 7 days. The magnitude of the pandemic in terms of recorded disease cases and deaths reveal a very similar pattern, causing a significant, but short-lived decline of stock prices. Our estimates reveal a considerable asymmetry in the identified interrelationships. Less developed markets seem to respond to the economic lockdown more intensively than highly developed economies.
Ako citovať:
ISO 690:
Sorić, P. 2021. COVID-19 and the Stock Markets: A Glance at the Initial Effects of the Pandemic. In Ekonomický časopis/Journal of Economics, vol. 69, no.5, pp. 472-493. 0013-3035. DOI: https://doi.org/10.31577/ekoncas.2021.05.02
APA:
Sorić, P. (2021). COVID-19 and the Stock Markets: A Glance at the Initial Effects of the Pandemic. Ekonomický časopis/Journal of Economics, 69(5), 472-493. 0013-3035. DOI: https://doi.org/10.31577/ekoncas.2021.05.02
O vydaní:
Vydavateľ: Ekonomický ústav SAV / Ekonomický ústav SAV
Publikované: 31. 5. 2021